Stochastic Processes And Models by David Stirzaker

Stochastic Processes And Models

byDavid Stirzaker

Paperback | January 27, 2006

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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 processmodel 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.

About The Author

David Stirzaker is at Oxford University.
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Details & Specs

Title:Stochastic Processes And ModelsFormat:PaperbackDimensions:344 pages, 9.69 × 6.73 × 0.78 inPublished:January 27, 2006Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198568142

ISBN - 13:9780198568148

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Table of Contents

Probability and Random VariablesIntroduction to Stochastic ProcessesMarkov ChainsMarkov Chains in Continuous TimeDiffusionsHints and solutions to selected exercises

Editorial Reviews

"The author has indeed produced a very good textbook. ... The book or any of its chapters can be strongly recommended to any university with a modern programme." --Bulletin of the London Mathematical Society