FIRST LOOK AT STOCHASTIC PROCESSES, A

JEFFREY S ROSENTHAL

ISBN 10: 9811207909 / ISBN 13: 9789811207907

Editore: World Scientific Publishing Co, 2019

New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Codice articolo ABEJUNE24-396066

Riassunto:

This textbook introduces the theory of stochastic processes, that is, randomness which proceeds in time. Using concrete examples like repeated gambling and jumping frogs, it presents fundamental mathematical results through simple, clear, logical theorems and examples. It covers in detail such essential material as Markov chain recurrence criteria, the Markov chain convergence theorem, and optional stopping theorems for martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and/or space, Poisson processes, and renewal theory. Interspersed throughout are applications to such topics as gambler's ruin probabilities, random walks on graphs, sequence waiting times, branching processes, stock option pricing, and Markov Chain Monte Carlo (MCMC) algorithms. The focus is always on making the theory as well-motivated and accessible as possible, to allow students and readers to learn this amazing subject as easily and painlessly as possible.

Dati bibliografici

Titolo: FIRST LOOK AT STOCHASTIC PROCESSES, A
Casa editrice: World Scientific Publishing Co
Data di pubblicazione: 2019
Legatura: Rilegato
Condizione: Brand New