Basic stochastic processes : a course through exercises
- Zdzisław Brzeźniak and Tomasz Zastawniak.
- London : Springer, c1999.
- Physical description
- x, 225 p. : ill. ; 24 cm.
- Springer undergraduate mathematics series.
- Includes bibliographical references and index.
- Preliminaries.- Stochastic Processes: case studies.- Markov Chains.- Spectral Theory of Stationary Processes.- Renewal Theory.- Martingales.- Ito Stochastic Processes.
- (source: Nielsen Book Data)
- Publisher's Summary
- This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which in principle belongs to probability theory, but is essential as a tool for stochastic processes. Although the book is a final year text, the author has chosen to use exercises as the main means of explanation for the various topics, and the book will have a strong self-study element. The author has concentrated on the major topics within stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory, Renewal Theory, Martingales and Ito Stochastic Processes.
(source: Nielsen Book Data)
- Publication date
- Springer undergraduate mathematics series
- 3540761756 (Berlin : pbk. : acid-free paper)
- 9783540761754 (Berlin : pbk. : acid-free paper)