Basic Stochastic Processes: A Course Through Exercises (Springer Undergraduate Mathematics Series)

Zdzislaw Brzezniak

ISBN 10: 3540761756 / ISBN 13: 9783540761754

Published by Springer 2000-07-26, 2000

About this Item

Seller Inventory # 6666-GRD-9783540761754

Bibliographic Details

• Title: Basic Stochastic Processes: A Course Through Exercises (Springer Undergraduate Mathematics Series)
• Publisher: Springer 2000-07-26
• Publication Date: 2000
• Language: English
• ISBN 10: 3540761756
• ISBN 13: 9783540761754
• Binding: Paperback
• Condition: New

About this title

Synopsis

This book has been designed for a final year undergraduate course in stochastic processes. It will also be suitable for mathematics undergraduates and others with interest in probability and stochastic processes, who wish to study on their own. The main prerequisite is probability theory: probability measures, random variables, expectation, independence, conditional probability, and the laws of large numbers. The only other prerequisite is calculus. This covers limits, series, the notion of continuity, differentiation and the Riemann integral. Familiarity with the Lebesgue integral would be a bonus. A certain level of fundamental mathematical experience, such as elementary set theory, is assumed implicitly. Throughout the book the exposition is interlaced with numerous exercises, which form an integral part of the course. Complete solutions are provided at the end of each chapter. Also, each exercise is accompanied by a hint to guide the reader in an informal manner. This feature willbe particularly useful for self-study and may be of help in tutorials. It also presents a challenge for the lecturer to involve the students as active participants in the course.

Review

This book fulfils its aim of providing good and interesting material for advanced undergraduate study.

The Times Higher Education Supplement

This is probably one of the best books to begin learning about the sometimes complex topic of stochastic calculus and stochastic processes from a more mathematical approach. Some literature are often accused of unnecessarily complicating the subject when applied to areas of finance. With this book you are allowed to explore the rigorous side of stochastic calculus, yet maintain a physical insight of what is going on. The authors have concentrated on the most important and useful topics that are encountered in common physical and financial systems

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