A First Look at Stochastic Processes (Hardback)
Hardcover 212 pages English October 04, 2019
(No reviews yet)
Write a Review
Write a Review
World Scientific Publishing Company
A First Look at Stochastic Processes (Hardback)
Millions of titlesEvery book you're looking for
Carbon-neutral shippingFree on orders over $39.99
Fast shipping worldwideDelivered to your door
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 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 fascinating subject as easily and painlessly as possible.
- Author:
- Jeffrey S Rosenthal
- Publisher:
- WSPC
- Publication Date:
- October 04, 2019
- Number of pages:
- 212 pages
- Language:
- English
- Binding:
- Hardcover
- ISBN-10:
- 9811207909
- ISBN-13:
- 9789811207907