Author : Richard Durrett
Release : 2016-11-07
Genre : Mathematics
Kind :
Book Rating : 148/5 ( reviews)

GET EBOOK

Essentials of Stochastic Processes - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Essentials of Stochastic Processes write by Richard Durrett. This book was released on 2016-11-07. Essentials of Stochastic Processes available in PDF, EPUB and Kindle. 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 stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.