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portada A First Look at Stochastic Processes
Type
Physical Book
Publisher
Author
Year
2019
Language
English
Pages
212
Format
Hardcover
ISBN13
9789811207907
Categories

A First Look at Stochastic Processes

Jeffrey S Rosenthal (Author) · Wspc · Hardcover

A First Look at Stochastic Processes - Jeffrey S Rosenthal

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Synopsis "A First Look at Stochastic Processes "

This textbook introduces the theory of stochastic processes, that is, randomness which proceeds in time. Using concrete examples like repeated gambling and jumping frogs, it presents fundamental mathematical results through simple, clear, logical theorems and examples. It covers in detail such essential material as Markov chain recurrence criteria, the Markov chain convergence theorem, and optional stopping theorems for martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and space, Poisson processes, and renewal theory. Interspersed throughout are applications to such topics as gambler's ruin probabilities, random walks on graphs, sequence waiting times, branching processes, stock option pricing, and Markov Chain Monte Carlo (MCMC) algorithms. The focus is always on making the theory as well-motivated and accessible as possible, to allow students and readers to learn this fascinating subject as easily and painlessly as possible. Readership: Senior undergraduate and graduate students in Mathematics, Statistics, Economics, Finance, Computer Science, Engineering, Physics, Actuarial Science, and other fields, who already know some basic probability theory, and who want to learn the foundations of stochastic processes — including Markov chains, martingales, continuous processes, and a variety of applications.

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The binding of this edition is Hardcover.

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