发帖
雷达卡
Authors: Richard Durrett
A concise treatment and textbook on the most important topics in Stochastic Processes
All concepts illustrated by examples and more than 300 carefully chosen exercises for effective learning
New edition includes added and revised exercises, including many biological exercises, in addition to restructured and rewritten sections with a goal toward clarity and simplicity
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.
Table of contents
Front Matter
Pages i-ix
Markov Chains
Pages 1-94
Poisson Processes
Pages 95-124
Renewal Processes
Pages 125-145
Continuous Time Markov Chains
Pages 147-200
Martingales
Pages 201-222
Mathematical Finance
Pages 223-250
Back Matter
Pages 251-275
本帖隐藏的内容
Essentials of Stochastic Processes (3rd Edition).pdf
(2.46 MB, 需要: 20 个论坛币)
京公网安备 11010802022788号
