PERHAPS A GIFT VOUCHER FOR MUM?: MOTHER'S DAY

Close Notification

Your cart does not contain any items

Essentials of Stochastic Processes

Richard Durrett

$168.95   $134.76

Paperback

Not in-store but you can order this
How long will it take?

QTY:

English
Springer International Publishing AG
22 April 2018
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding.

 

 Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded.  In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

By:  
Imprint:   Springer International Publishing AG
Country of Publication:   Switzerland
Edition:   Softcover reprint of the original 3rd ed. 2016
Dimensions:   Height: 235mm,  Width: 155mm,  Spine: 15mm
Weight:   4.394kg
ISBN:   9783319833316
ISBN 10:   3319833316
Series:   Springer Texts in Statistics
Pages:   275
Publication Date:  
Audience:   Professional and scholarly ,  Undergraduate
Format:   Paperback
Publisher's Status:   Active
1) Markov Chains.- 2) Poisson Processes.- 3) Renewal Processes.- 4) Continuous Time Markov Chains.- 5) Martingales.- 6) Mathematical Finance.- 7) A Review of Probability.

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA mathematics department for 9 years and at Cornell for 25 years before moving to Duke in 2010. He is author of 8 books and more than 200 journal articles and has supervised more that 45 Ph.D. students. He is a member of the National Academy of Science. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

Reviews for Essentials of Stochastic Processes

It is the 3rd edition of the textbook devoted to initial information and basic topics from the theory of stochastic processes. ... The book is very useful for anyone who is interested in probability theory and its ramifications and applications. It can be recommended both for students and postgraduates, teachers and practitioners. ... The book contains a lot of examples which contribute to a better understanding of the text. (Yuliya S. Mishura, zbMATH 1378.60001, 2018) This is the third edition of a popular textbook on stochastic processes. It is intended for advanced undergraduates and beginning graduate students and aimed at an intermediate level between an undergraduate course in probability and the first graduate course that uses measure theory. (William J. Satzer, MAA Reviews, maa.org, February, 2017)


See Also