Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series) - Hardcover

Lawler, Gregory F.

  • 4.37 out of 5 stars
    27 ratings by Goodreads
 
9781584886518: Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series)
Hardcover
ISBN 10: 158488651X ISBN 13: 9781584886518
Publisher: Chapman and Hall/CRC, 2006

Synopsis

Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory.

For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter.

New to the Second Edition:

  • Expanded chapter on stochastic integration that introduces modern mathematical finance
  • Introduction of Girsanov transformation and the Feynman-Kac formula
  • Expanded discussion of Itô's formula and the Black-Scholes formula for pricing options
  • New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion

    Applicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.

    • "synopsis" may belong to another edition of this title.

    About the Author

    Greogory F. Lawler

    "About this title" may belong to another edition of this title.

    Publisher
    Chapman and Hall/CRC
    Publication date
    2006
    Language
    English
    ISBN 10 
    158488651X
    ISBN 13 
    9781584886518
    Binding
    Hardcover
    Edition number
    2
    Number of pages
    248
    Rating
    • 4.37 out of 5 stars
      27 ratings by Goodreads