Stochastic Processes with Applications (Wiley Series in Probability and Statistics – Applied Probability and Statistics Section) - Hardcover

Bhattacharya, Rabi N.; Waymire, Edward C.

Hardcover

ISBN 10: 0471842729 ISBN 13: 9780471842729

Publisher: Wiley–Blackwell, 1990

Synopsis

This graduate work on stochastic processes provides a self- contained and systematic treatment of major topics such as random walk, Brownian motion, martingales, Markov chains indiscrete and continuous, stochastic optimization and stochastic differential equations. Beginning at a very simple technical level, the book gradually builds intuition and familiarity with techniques. For greater flexibility in instruction, some technical details are relegated to the end of each chapter under the label "theoretical complements". In this way the main body of the work becomes accessible to a wide range of readers, while the "theoretical complements" sections make the book mathematically complete for the more advanced reader.

About this title

Review

'This may be the best all-around treatment [of stochastic processes] for use by graduate students with varied backgrounds but with some mathematical ambitions.' William G. Faris, University of Arizona

'The book is remarkably comprehensive. The additional notes at the end of the chapters contain a fund of information.' Richard F. Gundy, Rutgers University

Book Description

A very broad coverage of the most applicable aspects of stochastic processes. The emphasis is on the most important classes of these processes from the viewpoint of theory as well as applications, namely, Markov processes. It is for graduate students, but will also be useful to professionals as a reference.

Edition details

• Publisher: Wiley–Blackwell
• Publication date: 1990
• Language: English
• ISBN 10: 0471842729
• ISBN 13: 9780471842729
• Binding: Hardcover
• Number of pages: 688