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Basic Stochastic Processes (Springer Undergraduate Mathematics Series)
Synopses & ReviewsPublisher Comments:This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which in principle belongs to probability theory, but is essential as a tool for stochastic processes. Although the book is a final year text, the author has chosen to use exercises as the main means of explanation for the various topics, and the book will have a strong selfstudy element. The author has concentrated on the major topics within stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory, Renewal Theory, Martingales and It? Stochastic Processes.
Synopsis:Stochastic processes is a tool widely used by statisticians and researchers working, for example, in the mathematics of finance. This is an introductory text that has a strong emphasis on exercises, complete with informal hints and fullyworked solutions.
Synopsis:Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book for selfstudy provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes. The book centers on exercises as the main means of explanation.
Table of ContentsPreliminaries. Stochastic Processes: case studies. Markov Chains. Spectral Theory of Stationary Processes. Renewal Theory. Martingales. Itô Stochastic Processes.
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