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Essentials of Stochastic Processes

✍ Scribed by Richard Durrett

Year
2010
Tongue
English
Leaves
280
Edition
Corrected
Category
Library
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✦ Synopsis

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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