Elements of Stochastic Processes: A Computational Approach

Howard, C. Douglas

ISBN 10: 0979757673 / ISBN 13: 9780979757679

Published by FE Press, LLC, 2017

Book is in Used-Good condition. Pages and cover are clean and intact. Used items may not include supplementary materials such as CDs or access codes. May show signs of minor shelf wear and contain limited notes and highlighting. 0.96. Seller Inventory # 0979757673-2-4

Synopsis:

This book is a one-semester upper-level undergraduate treatment of some of the fundamental probabilistic models that arise in many diverse applications. The presentation of these models is “computational” in the sense that it is easily adapted to computer-based Monte Carlo simulation.

A guiding principle was to be as rigorous as possible without the use of measure theory. Some of the topics contained herein are:

· Fundamental limit theorems such as the weak and strong laws of large numbers, the central limit theorem, as well as the monotone, dominated, and bounded convergence theorems

· Markov chains with finitely many states

· Random walks on Z, Z2 and Z3

· Arrival processes and Poisson point processes

· Brownian motion, including basic properties of Brownian paths such as continuity but lack of differentiability

· An introductory look at stochastic calculus including a version of Ito’s formula with applications to finance, and a development of the Ornstein-Uhlenbeck process with an application to economics

About the Author: Douglas Howard is the coordinator of the bachelor of science major in Financial Mathematics at Baruch College, City University of New York, where he has taught in the mathematics department for nearly twenty years and is on the faculty of the Financial Engineering MS Program. He has almost a decade of Wall Street experience involving the application of probabilistic models to the financial markets.

Bibliographic Details

Title: Elements of Stochastic Processes: A ...
Publisher: FE Press, LLC
Publication Date: 2017
Binding: Soft cover
Condition: Good