Essentials of Stochastic Processes (Relié)

Rick Durrett

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  • Springer

  • Paru le : 11/07/2001
  • 1 million de livres à découvrir
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This book is for a first course on stochastic processes to be taken by undergraduates or master's students, who have had a course in probability theory, but who have not had a course in measure theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal theory, and Brownian motion and martingales. The last two topics are important for the brief treatment of option pricing. The book presents only the essentials of the subject, the parts of the theory most important for applications. To allow readers to choose their own level of detail, many of the proofs begin with a nonrigorous answer to the question "Why is this true ?" followed by a proof that fills in the missing details. Probability theory was developed to solve problems, so most of the text is devoted to analyzing examples. There are more than 325 carefully chosen problems to deepen the reader's understanding.
    • Markov chains
    • Martingales
    • Poisson processes
    • Continuous-time Markov chains
    • Renewal theory
    • Brownian motion.
  • Date de parution : 11/07/2001
  • Editeur : Springer
  • Collection : springer texts in statistics
  • ISBN : 0-387-98836-X
  • EAN : 9780387988368
  • Présentation : Relié
  • Nb. de pages : 281 pages
  • Poids : 0.585 Kg
  • Dimensions : 16,0 cm × 24,0 cm × 2,0 cm

Biographie de Rick Durrett

Rick Durrett received his Ph.D. degree in operations research from Stanford University in 1976. He taught in the UCLA mathematics department before coming to Cornell University in 1985. Professor Durrett is the author of four other books and more than one hundred journal articles. Most of his current research concerns the use of probability models in ecology and genetics.

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