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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 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.

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Book Details

ISBN: 9780198568148
ISBN-10: 0198568142
Format: Paperback
(245mm x 172mm x 19mm)
Pages: 342
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 21-Jul-2005
Country of Publication: United Kingdom

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