Ebook: Essentials of Stochastic Processes
Author: Durrett Richard
- Tags: (BIC subject category)KCA, (BIC subject category)KJT, (BIC subject category)PBT, (BIC subject category)PBW, (BISAC Subject Heading)BUS049000, (BISAC Subject Heading)BUS061000, (BISAC Subject Heading)BUS069030, (BISAC Subject Heading)MAT003000, (BISAC Subject Heading)MAT029000, (BISAC Subject Heading)PBT, (Produktform)Paperback / softback, (Springer Nature Marketing Classification)B, (Springer Nature Subject Code)SCM26024: Operations Research Management Science, (Springer Nature Subject Code)SCM27004: Probab
- Series: Springer Texts in Statistics
- Year: 2016
- Publisher: Springer International Publishing
- City: Cham
- Edition: 3rd edition
- Language: English
- epub
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader's understanding.
Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in...