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Stochastic Processes and Models

Stochastic Processes and Models
Author: David Stirzaker
ISBN 13: 9780198568148
ISBN 10: 198568142
Edition: 1
Publisher: Oxford University Press
Publication Date: 2005-09-15
Format: Paperback
Pages: 344
List Price: $74.00

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.