Stochastic Processes and Models

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Stochastic Processes and Models

Course Codes : STAT3004
ISBN : 9780198568148
Publisher : Oxford University Press
Author(s) :
Publication Date :
Overview 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: random 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.

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