Essentials of Stochastic Processes
Springer Science & Business Media, 2012. 5. 19. - 266페이지
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.
다른 사람들의 의견 - 서평 쓰기
서평을 찾을 수 없습니다.
기타 출판본 - 모두 보기
answer average balls binomial model bulb call option cars chain with transition compute concrete example Consider converges Customers arrive defined definition density function desired result detailed balance condition distribution with rate expected number expected value exponential amount exponentially distributed exponentially distributed amount Find the stationary finite flip formula Formulate a Markov geometric distribution gives implies irreducible jump large numbers law of large Lemma Let Xn limiting fraction long run machine Markov chain Markov property martingale minfn outcomes Poisson distribution Poisson process process with rate Proof prove random variables random walk renewal process replaced replicate the option risk neutral risk neutral probability satisfies the detailed server solve space Springer Science+Business Media stationary distribution step stock price supermartingale Suppose Theorem transient transition matrix transition probability variance vector waiting