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.
- | Author: David Stirzaker
- | Publisher: OUP Oxford
- | Publication Date: Sep 15, 2005
- | Number of Pages: 342 pages
- | Binding: Paperback or Softback
- | ISBN-10: 0198568142
- | ISBN-13: 9780198568148
