Stochastic Processes and Models

By: David Stirzaker

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Paperback | 1 August 2005

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Paperback
342 Pages

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24.41 x 16.99 x 1.8

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Stochastic Processes and Models provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: randon walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing. The text has been thoroughly class-tested and is ideal for an undergraduate second course in probability for students of statistics, mathematics, finance and operational research.

Industry Reviews

`...the author has indeed produced a very good textbook...the book or any of its chapters can be strongly recommended to any university with a modern probability programme...'' Alexander Veretennikov, Bulletin of the London Mathematical Society, `Strongly recommended to students and their teachers' Jordan Stoyanov, JRSSA `The book has an efficient writing style that is rarely found in mathematical textbooks; it is concise without being terse...Stochastic Processes and Models is an excellent foundational text both for grounding application orientated students in some basic theory and building intuition for those students interested in more advanced study in probability theory.' John Fricks, Pennsylvania State University, USA, JASA, 2007 `This excellent introductory book on simple stochastic processes and models is designed for readers familiar with ideas of elementary probability theory.' Ilya Pavlyukevitch, Zentralblatt Math, Vol 1084

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