ENGLISH

Stochastic Processes and Models

By David Stirzaker

Book information

Publisher
Oxford University Press, USA
Year
2005
ISBN
9780198568148, 0198568142
Open Library ID
OL7401138M
Language
english
Format
PDF
Filesize
1 MB (1371499 bytes)
Pages
342\342
Topic
Economy
Library
avaxhome.ws
Time added
2010-05-31 15:29:46
Финансово-экономические дисциплины;Финансовая мате

Description

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.

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