Stochastic Processes and Models

by David Stirzaker

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 randon 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 for students of statistics, mathematics, finance and operational research.

342 pages, Hardcover

First published July 21, 2005