Essentials of Stochastic Processes / Edition 1

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Overview

This book is for a first course on stochastic processes to be taken by undergraduates or masters 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.
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Editorial Reviews

From the Publisher
From the reviews of the second edition:
“This is the second edition of introductory text book on shastic processes by Richard Durrett. … The new edition contains many new examples and problems. The chapters have been reorganized to facilitate the learning process. … The new edition makes the topic of shastic processes even more accessible for undergraduate students and people coming from fields of applications.” (H. M. Mai, Zentralblatt MATH, Vol. 1244, 2012)
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Product Details

  • ISBN-13: 9781441931719
  • Publisher: Springer New York
  • Publication date: 12/1/2010
  • Series: Springer Texts in Statistics Series
  • Edition description: Softcover reprint of hardcover 1st ed. 1999
  • Edition number: 1
  • Pages: 281
  • Product dimensions: 0.61 (w) x 9.21 (h) x 6.14 (d)

Meet the Author

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA math department for nine years and at Cornell for twenty-five before moving to Duke in 2010. He is the author of 8 books and almost 200 journal articles, and has supervised more that 40 Ph.D. students. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

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Table of Contents

1. Markov Chains; 2. Martingales; 3. Poisson Processes; 4. Markov Chains; 5. Renewal Theory; 6. Brownian Motion

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Sort by: Showing 1 Customer Reviews
  • Anonymous

    Posted August 1, 2003

    I pity you if you're using this book

    An atrocious book. 0 stars wouldn't do it justice. Durrett obviously has never heard of the term proof-read. The book is peppered with typos, many of which appear in important theorems. The more you read, the more confused you get. How this book ever got published is beyond me. How professors are actually willing to use this book for the purpose of teaching is even more baffling. The administrators at Cornell should strip Durrett of his tenure and make him take mandatory writing lessons.

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