Essentials of Stochastic Processes (Springer Texts in Statistics) - Hardcover

Richard Durrett

Hardcover

ISBN 10: 1461436141 ISBN 13: 9781461436140

Publisher: Springer, 2012

Synopsis

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

About this title

About the Author

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA math department for nine years and at Cornell for twenty-five before moving to Duke in 2010. He is the author of 8 books and almost 200 journal articles, and has supervised more that 40 Ph.D. students. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

Review

From the reviews of the second edition:

“The book consists of six chapters and 265 pages. ... Each chapter has a chapter summary before the exercises. The chapter summary restates the theorems of each section and adds short new commentary. ... With its many examples and applications, chosen from the broad experience of the author, this book is an excellent text for a course in applied probability.” (Myron Hlynka, Mathematical Reviews, February, 2014)

“This is the second edition of introductory text book on stochastic processes by Richard Durrett. ... The new edition contains many new examples and problems. The chapters have been reorganized to facilitate the learning process. ... The new edition makes the topic of stochastic processes even more accessible for undergraduate students and people coming from fields of applications.” (H. M. Mai, Zentralblatt MATH, Vol. 1244, 2012)

Edition details

• Publisher: Springer
• Publication date: 2012
• Language: English
• ISBN 10: 1461436141
• ISBN 13: 9781461436140
• Binding: Hardcover
• Number of pages: 266