✦ LIBER ✦

Introduction to Stochastic Processes

✍ Scribed by Gregory F. Lawler

Book ID: 127446787
Publisher: Chapman & Hall
Year: 1995
Tongue: English
Weight: 2 MB
Series: Chapman & Hall probability series
Edition: 1
Category: Library
City: New York
ISBN-13: 9780412995118

No coin nor oath required. For personal study only.

✦ Synopsis

Focusing on mathematical ideas rather than proofs, Introduction to Stochastic Processes provides access to important fundamentals of stochastic processes. This second edition features additional material on stochastic integration, with expanded discussion of Girsanov transformation, an introduction to the Feynman-Kac formula, and an exposition on the Black-Scholes formula with applications from the field of mathematical finance. This new edition also includes new and expanded topics such as Doob's maximal inequality in the chapter on martingales and self similarity in the chapter on Brownian motion. It remains an ideal reference for professional mathematicians and statisticians as well as students.

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