Description

Stochastic processes have become important for many fields, including mathematical finance and engineering. Written by one of the worlds leading probabilists, this book presents recent results previously available only in specialized monographs. It features the introduction and use of martingales, which allow readers to do much more with Brownian motion, e.g., applications to option pricing, and integrates queueing theory into the presentation of continuous time Markov chains and renewal theory., ISBN13: 9780387988368 ISBN10: 038798836X Material Type: hardcover

Product Details

ISBN10: 038798836X
ISBN13: 9780387988368
Publisher: [Durrett, Richard]
Print Length: 289

Authors

[Durrett, Richard]

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Essentials of Stochastic Processes (Springer Texts in Statistics)

Name: Essentials of Stochastic Processes (Springer Texts in Statistics)
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SKU: P.29.3 F_05-09-25_H0000DOY
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by [Durrett, Richard]

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Stochastic processes have become important for many fields, including mathematical finance and engineering. Written by one of the worlds leading probabilists, this book presents recent results previously available only in specialized monographs. It features the introduction and use of martingales, which allow readers to do much more with Brownian motion, e.g., applications to option pricing, and integrates queueing theory into the presentation of continuous time Markov chains and renewal theory. ISBN13: 9780387988368 ISBN10: 038798836X Material Type: hardcover