Basic Stochastic Processes: a Course Through Exercises - Softcover

Zdzislaw Brzezniak

Softcover

ISBN 10: 8181283279 ISBN 13: 9788181283276

Publisher: Springer (India) Pvt. Ltd., 2005

Synopsis

About the Book :- This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which in principle belongs to probability theory, but is essential as a tool for stochastic processes. Although the book is a final year text, the author has chosen to use exercises as the main means of explanation for the various topics, and the book will have a strong self-study element. The author has concentrated on the major topics within stochastic analysis: martingales in discrete time and their convergence, Markov chains, stochastic process in continuous time, with emphasis on the Poisson process and Brownian motion, as well as It? stochastic calculus including stochastic differential equations. The Springer Undergraduate Mathematics Series (SUMS) is a new series of guides, written for undergraduates in the Mathematical Sciences. The books cover the basics of each topic via explanatory text, examples and problems. Students can read and check their understanding of the text against fully worked solutions at the back of each chapter. Contents :- Preface 1.Review of Probability 2.Conditional Expectation 3.Martingales in Discrete Time 4.Martingale Inequalities and Convergence 5.Markov Chains 6.Stochastic Processes in Continuous Time 7.It? stochastic Calculus Index.

Edition details

• Publisher: Springer (India) Pvt. Ltd.
• Publication date: 2005
• Language: English
• ISBN 10: 8181283279
• ISBN 13: 9788181283276
• Binding: Paperback
• Number of pages: 240