Essentials of Stochastic Processes

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Springer Science & Business Media, 2012. 5. 19. - 266페이지
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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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Chapter 1 Markov Chains
1
Chapter 2 Poisson Processes
93
Chapter 3 Renewal Processes
119
Chapter 4 Continuous Time Markov Chains
139
Chapter 5 Martingales
185
Chapter 6 Mathematical Finance
209
Appendix A Review of Probability
241
References
258
Index
261
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Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA math department for nine years and at Cornell for twenty-five before moving to Duke in 2010. He is the author of 8 books and almost 200 journal articles, and has supervised more that 40 Ph.D. students. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

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