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Essentials of Stochastic Processes
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding.
Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.
Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.
- GenresMathematics
284 pages, Paperback
First published December 1, 2010
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About the author
Richard Durrett
25 books1 followerRichard Timothy Durrett is a mathematician known for his research and books on mathematical probability theory, stochastic processes and their application to mathematical ecology and population genetics.
He received his BS and MS at Emory University in 1972 and 1973 and his Ph.D. at Stanford University in 1976 under advisor Donald Iglehart. From 1985 until 2010 was on the faculty at Cornell University. Since 2010, Durrett has been a professor at Duke University.
He was elected to the United States National Academy of Sciences in 2007. In 2012 he became a fellow of the American Mathematical Society.[1]
Durrett is the founder of the Cornell Probability Summer Schools, and he is still its scientific organizer.
He received his BS and MS at Emory University in 1972 and 1973 and his Ph.D. at Stanford University in 1976 under advisor Donald Iglehart. From 1985 until 2010 was on the faculty at Cornell University. Since 2010, Durrett has been a professor at Duke University.
He was elected to the United States National Academy of Sciences in 2007. In 2012 he became a fellow of the American Mathematical Society.[1]
Durrett is the founder of the Cornell Probability Summer Schools, and he is still its scientific organizer.
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