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Basic Stochastic Processes : A Course Through Exercises - Tomasz Zastawniak

Basic Stochastic Processes

A Course Through Exercises

By: Tomasz Zastawniak, Zdzislaw Brzezniak

Paperback | 26 July 2000 | Edition Number 1999

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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 self-study element. The author has concentrated on the major topics within stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory, Renewal Theory, Martingales and Ito Stochastic Processes.
Industry Reviews

This book fulfils its aim of providing good and interesting material for advanced undergraduate study.

The Times Higher Education Supplement

This is probably one of the best books to begin learning about the sometimes complex topic of stochastic calculus and stochastic processes from a more mathematical approach. Some literature are often accused of unnecessarily complicating the subject when applied to areas of finance. With this book you are allowed to explore the rigorous side of stochastic calculus, yet maintain a physical insight of what is going on. The authors have concentrated on the most important and useful topics that are encountered in common physical and financial systems

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