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Essentials of Stochastic Processes

2016-11-07 Mathematics
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Release : 2016-11-07
Genre : Mathematics
Kind : eBook
Book Rating : 148/5 ( reviews)

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Book Synopsis Essentials of Stochastic Processes by : Richard Durrett

Download or read book Essentials of Stochastic Processes written by Richard Durrett. This book was released on 2016-11-07. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

Essentials of Stochastic Processes

2018-04-22 Mathematics
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Release : 2018-04-22
Genre : Mathematics
Kind : eBook
Book Rating : 316/5 ( reviews)

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Book Synopsis Essentials of Stochastic Processes by : Richard Durrett

Download or read book Essentials of Stochastic Processes written by Richard Durrett. This book was released on 2018-04-22. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

Essentials of Stochastic Processes

2016-11-17 Mathematics
Download Essentials of Stochastic Processes PDF Online Free

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Release : 2016-11-17
Genre : Mathematics
Kind : eBook
Book Rating : 133/5 ( reviews)

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Book Synopsis Essentials of Stochastic Processes by : Richard Durrett

Download or read book Essentials of Stochastic Processes written by Richard Durrett. This book was released on 2016-11-17. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

Essentials of Stochastic Processes

2006 Mathematics
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Release : 2006
Genre : Mathematics
Kind : eBook
Book Rating : 983/5 ( reviews)

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Book Synopsis Essentials of Stochastic Processes by : Kiyosi Itō

Download or read book Essentials of Stochastic Processes written by Kiyosi Itō. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: This book is an English translation of Kiyosi Ito's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Levy processes), stationary processes, and Markov processes, which constitute the three most important classes of stochastic processes. Written by one of the leading experts in the field, this volume presents to the reader lucid explanations of the fundamental concepts and basic results in each of these three major areasof the theory of stochastic processes. With the requirements limited to an introductory graduate course on analysis (especially measure theory) and basic probability theory, this book is an excellent text for any graduate course on stochastic processes. Kiyosi Ito is famous throughout the world forhis work on stochastic integrals (including the Ito formula), but he has made substantial contributions to other areas of probability theory as well, such as additive processes, stationary processes, and Markov processes (especially diffusion processes), which are topics covered in this book. For his contributions and achievements, he has received, among others, the Wolf Prize, the Japan Academy Prize, and the Kyoto Prize.

Stochastic Processes

2013-06-29 Mathematics
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Release : 2013-06-29
Genre : Mathematics
Kind : eBook
Book Rating : 657/5 ( reviews)

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Book Synopsis Stochastic Processes by : Kiyosi Ito

Download or read book Stochastic Processes written by Kiyosi Ito. This book was released on 2013-06-29. Available in PDF, EPUB and Kindle. Book excerpt: This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the Lévy-Itô decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.

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