Stochastic processes and models /
Stirzaker, David.
Stochastic processes and models / - Oxford ; New York : Oxford University Press, c2005. - vi, 331 p. :ill,
Includes index.
Includes bibliographical references: p. 323.
The book provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: random walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing.
9780198568131 0198568134
Stochastic processes.
Stochastic models.
QA274 / .S76 2005
519.2'3 / STI
Stochastic processes and models / - Oxford ; New York : Oxford University Press, c2005. - vi, 331 p. :ill,
Includes index.
Includes bibliographical references: p. 323.
The book provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: random walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing.
9780198568131 0198568134
Stochastic processes.
Stochastic models.
QA274 / .S76 2005
519.2'3 / STI