ENGLISH

Essentials of Stochastic Processes

By Richard Durrett

Book information

Year
2010
ISBN
038798836X, 9780387988368
Language
english
Format
PDF
Filesize
881 kB (901916 bytes)
Edition
Corrected
Pages
280\280
Library
Kolxo3
Time added
2012-08-21 20:00:00

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.

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