Basic Stochastic Processes
A Course Through Exercises
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Beschreibung
Stochastic processes is a tool widely used by statisticians and
researchers working, for example, in the mathematics of finance. This is
an introductory text that has a strong emphasis on exercises, complete
with informal hints and fully-worked solutions.
Informal hints and fully worked solutions accompanying the exercises Strong emphasis on self-study Includes supplementary material: sn.pub/extras
Autor*in
Zdzislaw Brzezniak
Themen in »Basic Stochastic Processes«
Brownian motion Markov chain Martingale Poisson process Probability theory Random variable Uniform integrability filtration renewal theory stochastic process
Stimmen zu »Basic Stochastic Processes«
This book fulfils its aim of providing good and interesting material for advanced undergraduate study.
The Times Higher Education Supplement
This is probably one of the best books to begin learning about the sometimes complex topic of stochastic calculus and stochastic processes from a more mathematical approach. Some literature are often accused of unnecessarily complicating the subject when applied to areas of finance. With this book you are allowed to explore the rigorous side of stochastic calculus, yet maintain a physical insight of what is going on. The authors have concentrated on the most important and useful topics that are encountered in common physical and financial systems
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