Stochastic Processes and Models

by David Stirzaker

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Publisher	Oxford University Press
Language	English
Book type	Paperback
Utgiven	2005-07-21
Pages	342
ISBN	9780198568148
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Used within following courses

1MS012

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: random 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.

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