Essentials of Stochastic Processes (Springer Texts in Statistics)

Durrett, Richard

ISBN 10: 331945613X / ISBN 13: 9783319456133

Published by Springer, 2016

About this Item

Ships in a BOX from Central Missouri! UPS shipping for most packages, (Priority Mail for AK/HI/APO/PO Boxes). Seller Inventory # 001982425N

Bibliographic Details

Title: Essentials of Stochastic Processes (Springer...

Publisher: Springer

Publication Date: 2016

Binding: hardcover

Condition: New

Edition: 3rd ed. 2016.

About this title

Synopsis:

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding.
 
 Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded.  In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

About the Author:

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA mathematics department for 9 years and at Cornell for 25 years before moving to Duke in 2010. He is author of 8 books and more than 200 journal articles and has supervised more that 45 Ph.D. students. He is a member of the National Academy of Science. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.