Introduction to Stochastic Processes - Rilegato

Lawler, Gregory F.

 
9781584886518: Introduction to Stochastic Processes
Rilegato
ISBN 10: 158488651X ISBN 13: 9781584886518
Casa editrice: Chapman and Hall/CRC, 2006

Sinossi

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.

    • Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

    Informazioni sull'autore

    Greogory F. Lawler

    Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

    Editore
    Chapman and Hall/CRC
    Data di pubblicazione
    2006
    Lingua
    Inglese
    ISBN 10 
    158488651X
    ISBN 13 
    9781584886518
    Rilegatura
    Copertina rigida
    Numero edizione
    2
    Numero di pagine
    248
    Contatto del produttore
    Taylor and Francis, GPSR Taylor and Francis
    gpsr@taylorandfrancis.com

    Taylor & Francis Verlag GmbH, Kaufingerstraße 24
    München
    80331
    Germania