Essentials of Stochastic Processes
Seiten
1999
|
1999. Corr. 2nd Printing ed.
Springer-Verlag New York Inc.
978-0-387-98836-8 (ISBN)
Springer-Verlag New York Inc.
978-0-387-98836-8 (ISBN)
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Designed for a Master's Level course in stochastic processes. This work features the introduction and use of martingales, which allow one to do much more with Brownian motion, such as, option pricing, and queueing theory is integrated into the Continuous Time Markov Chain and Renewal Theory chapters as examples.
Stochastic processes have become important for many fields, including mathematical finance and engineering. Written by one of the worlds leading probabilists, this book presents recent results previously available only in specialized monographs. It features the introduction and use of martingales, which allow readers to do much more with Brownian motion, e.g., applications to option pricing, and integrates queueing theory into the presentation of continuous time Markov chains and renewal theory.
Stochastic processes have become important for many fields, including mathematical finance and engineering. Written by one of the worlds leading probabilists, this book presents recent results previously available only in specialized monographs. It features the introduction and use of martingales, which allow readers to do much more with Brownian motion, e.g., applications to option pricing, and integrates queueing theory into the presentation of continuous time Markov chains and renewal theory.
1. Markov Chains; 2. Martingales; 3. Poisson Processes; 4. Markov Chains; 5. Renewal Theory; 6. Brownian Motion
Erscheint lt. Verlag | 1.5.2001 |
---|---|
Reihe/Serie | Springer Texts in Statistics |
Zusatzinfo | 1, black & white illustrations |
Verlagsort | New York, NY |
Sprache | englisch |
Maße | 156 x 234 mm |
Gewicht | 586 g |
Einbandart | gebunden |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
ISBN-10 | 0-387-98836-X / 038798836X |
ISBN-13 | 978-0-387-98836-8 / 9780387988368 |
Zustand | Neuware |
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