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Basic stochastic processes :a course through exercises
Autor: Brzeźniak Zdzisław
Rok: c1999
ISBN: 9783540761754
OKCZID: 110103295
Citace (dle ČSN ISO 690):
BRZEŹNIAK, Zdzisław. Basic stochastic processes: a course through exercises. London: Springer, c1999. x, 225 s. Springer undergraduate mathematics series.
Anotace
This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which in principle belongs to probability theory, but is essential as a tool for stochastic processes. Although the book is a final year text, the author has chosen to use exercises as the main means of explanation for the various topics, and the book will have a strong self-study element. The author has concentrated on the major topics within stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory, Renewal Theory, Martingales and Itô Stochastic Processes.