Introduction to Stochastic Processes

Introduction to Stochastic Processes
Author :
Publisher : CRC Press
Total Pages : 249
Release :
ISBN-10 : 9781482286113
ISBN-13 : 1482286114
Rating : 4/5 (114 Downloads)

Book Synopsis Introduction to Stochastic Processes by : Gregory F. Lawler

Download or read book Introduction to Stochastic Processes written by Gregory F. Lawler and published by CRC Press. This book was released on 2018-10-03 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Introduction to Stochastic Processes Related Books

Introduction to Stochastic Processes
Language: en
Pages: 418
Authors: Erhan Cinlar
Categories: Mathematics
Type: BOOK - Published: 2013-02-20 - Publisher: Courier Corporation

GET EBOOK

Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums
Introduction to Stochastic Processes
Language: en
Pages: 249
Authors: Gregory F. Lawler
Categories: Mathematics
Type: BOOK - Published: 2018-10-03 - Publisher: CRC Press

GET EBOOK

Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundatio
Introduction to Stochastic Processes with R
Language: en
Pages: 504
Authors: Robert P. Dobrow
Categories: Mathematics
Type: BOOK - Published: 2016-03-07 - Publisher: John Wiley & Sons

GET EBOOK

An introduction to stochastic processes through the use of R Introduction to Stochastic Processes with R is an accessible and well-balanced presentation of the
An Introduction to Stochastic Processes and Their Applications
Language: en
Pages: 302
Authors: Petar Todorovic
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

GET EBOOK

This text on stochastic processes and their applications is based on a set of lectures given during the past several years at the University of California, Sant
Introduction To Stochastic Processes
Language: en
Pages: 245
Authors: Mu-fa Chen
Categories: Mathematics
Type: BOOK - Published: 2021-05-25 - Publisher: World Scientific

GET EBOOK

The objective of this book is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts — Mar