TY  - BOOK
AU  - Stirzaker,David
TI  - Stochastic processes and models
SN  - 9780198568131 
AV  - QA274 .S76 2005
U1  - 519.2'3 
PY  - 2005///
CY  - Oxford, New York
PB  - Oxford University Press
KW  - Stochastic processes
KW  - Stochastic models
N1  - Includes index; Includes bibliographical references: p. 323
N2  - 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.
UR  - http://www.loc.gov/catdir/toc/ecip0515/2005019570.html
UR  - http://www.loc.gov/catdir/enhancements/fy0638/2005019570-d.html
ER  -