Stochastic processes and models /
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TextPublication details: Oxford ; New York : Oxford University Press, c2005.Description: vi, 331 p. :illISBN: - 9780198568131
- 0198568134
- 519.2'3 STI
- QA274 .S76 2005
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| 512.024'33 JAC Mathematics for economics and business / | 518.0285 NUM Numerical optimization : | 519.2'3 SHI Gaussian process regression analysis for functional data / | 519.2'3 STI Stochastic processes and models / | 519.5024'33 BAR Statistics for economics, accounting, and business studies / | 519.5'35 AFI Practical multivariate analysis / | 519.5'35 HAR Multivariate statistics : |
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.
rpm 24/05/2013
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