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Introduction to Stochastic Processes, Second Edition
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Home > Mathematics Books > Stochastics > Item 19
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Introduction to Stochastic Processes, Second Edition
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by Gregory F. Lawler
Sales Rank: 315102
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List Price: $74.95
$59.96
At Amazon
on 10-13-2008
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Hardcover: 248 pages
Publisher: Chapman & Hall/CRC; 2 edition May 16, 2006
Language: English
ISBN-10: 158488651X
ISBN-13: 978-1584886518
Product Dimensions:
9.3 x 6.2 x 0.7 inches
Shipping Weight: 1.1 pounds
Product Review
Well-chosen examples and interesting exercises make this text a good choice for a first course in stochastic processes for a broad class of students.
- Journal of the American Statistical Association
--This text refers to an out of print or unavailable edition of this title.
Product 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 finance · Introduction of Girsanov transformation and the Feynman-Kac formula · Expanded discussion of Itô's formula and the Black-Scholes formula for pricing options · New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion Applicable 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.
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Introduction to Stochastic Processes, Second Edition
Available from Amazon
Price: $59.96
Updated on 10-13-2008
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