Essentials of Stochastic Processes

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Springer, 2016. 11. 7. - 275페이지
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This test is designed for a Master's Level course in stochastic processes. It features the introduction and use of martingales, which allow one to do much more with Brownian motion, e.g., option pricing, and queueing theory is integrated into the Continuous Time Markov Chain and Renewal Theory chapters as examples.
 

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1 Markov Chains
1
2 Poisson Processes
95
3 Renewal Processes
125
4 Continuous Time Markov Chains
147
5 Martingales
201
6 Mathematical Finance
223
A Review of Probability
251
References
268
Index
271
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저자 정보 (2016)

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA mathematics department for 9 years and at Cornell for 25 years before moving to Duke in 2010. He is author of 8 books and more than 200 journal articles and has supervised more that 45 Ph.D. students. He is a member of the National Academy of Science. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

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