Stochastic Processes and Models

by David Stirzaker

Overview

Stochastic Processes and Models provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: randon walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing. The text has been thoroughly class-tested and is ideal for an undergraduate second course in probability for students of statistics, mathematics, finance and operational research.

Product Details

ISBN-13:	9780198568148
Publisher:	Oxford University Press
Publication date:	09/15/2005
Edition description:	New Edition
Pages:	342
Product dimensions:	9.60(w) x 6.70(h) x 0.70(d)

About the Author

Oxford University

Table of Contents

Probability and Random VariablesIntroduction to Stochastic ProcessesMarkov ChainsMarkov Chains in Continuous TimeDiffusionsHints and solutions to selected exercises

Editorial Reviews

"The author has indeed produced a very good textbook. ... The book or any of its chapters can be strongly recommended to any university with a modern programme." —Bulletin of the London Mathematical Society

From the Publisher