Basic Stochastic Processes

By:

Brzezniak, Zdzislaw

Contributor(s):

Zastawniak, Thomaz

Material type: Text

TextSeries: Springer undergraduate mathematics seriesPublication details: London: Springer-Verlag, 1999.Description: x, 225 pages : illustrationsISBN:

9783540761754
3540761756

Subject(s):

Stochastic processes

DDC classification:

519.2 BRZ

Contents:

1. Review of probability -- 2. Conditional expectation -- 3. Martingles in discrete time -- 4. Martingale inequalities and convergence -- 5. Markov chains -- 6. Stochastic processes in continuous time -- 7. Ito Stocahstic calculus.

Summary: "This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working, for example, in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which is essential as a tool for stochastic processes. Although the book is a final year text, the authors have chosen to use exercises as the main means of explanation for the various topics, hence the course has a strong self-study element. The authors have concentrated on major topics within stochastic analysis: martingales in discrete time and their convergence, Markov chains, stochastic processes in continuous time, with emphasis on the Poisson process and Brownian motion, as well as Ito stochastic calculus including stochastic differential equations."--Jacket.

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Lending Books	Main Library Stacks	Reference	519.2 BRZ (Browse shelf(Opens below))	Available		008567

Total holds: 0

Index

1. Review of probability --
2. Conditional expectation --
3. Martingles in discrete time --
4. Martingale inequalities and convergence --
5. Markov chains --
6. Stochastic processes in continuous time --
7. Ito Stocahstic calculus.

"This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working, for example, in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which is essential as a tool for stochastic processes. Although the book is a final year text, the authors have chosen to use exercises as the main means of explanation for the various topics, hence the course has a strong self-study element. The authors have concentrated on major topics within stochastic analysis: martingales in discrete time and their convergence, Markov chains, stochastic processes in continuous time, with emphasis on the Poisson process and Brownian motion, as well as Ito stochastic calculus including stochastic differential equations."--Jacket.

There are no comments on this title.

to post a comment.