Hardcover

ISBN 10: 158488651X ISBN 13: 9781584886518

Publisher: Chapman and Hall/CRC, 2006

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.

About the Author:

Gregory F. Lawler is Professor of Mathematics and Statistics at the University of Chicago. He received the George Polya Prize in 2006 for his work with Oded Schramm and Wendelin Werner.

Review:

"Well-chosen examples and interesting exercises make this text a good choice for a first course in stochastic processes for a broad class of students." - Journal of the American Statistical Association