Introduction to Stochastic Processes by Gregory F. Lawler
Estimated delivery 4-14 business days
Format Hardcover
Condition Brand New
Description Emphasizing fundamental mathematical ideas rather than proofs, this book provides access to important foundations of probability theory applicable to problems in many fields. It also discusses Markov chains, optimal stopping, martingales, and Brownian motion.
Publisher Description
Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory.For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter.New to the Second Edition:Expanded chapter on stochastic integration that introduces modern mathematical financeIntroduction of Girsanov transformation and the Feynman-Kac formulaExpanded discussion of Itô's formula and the Black-Scholes formula for pricing optionsNew topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motionApplicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.
Author Biography
Greogory F. Lawler
Details ISBN 158488651X ISBN-13 9781584886518 Title Introduction to Stochastic Processes Author Gregory F. Lawler Format Hardcover Year 2006 Pages 248 Edition 2nd Publisher Taylor & Francis Inc GE_Item_ID:14712849; About Us
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