Essentials of Stochastic Processes

• Main Author: Durrett, Richard (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Edition: 3rd ed. 2016.
• Series: Springer Texts in Statistics,
• Subjects: Statistics.; Operations research.; Management science.; Probabilities.; Biomathematics.; Economic theory.; Statistical Theory and Methods.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Operations Research, Management Science.; Genetics and Population Dynamics.; Economic Theory/Quantitative Economics/Mathematical Methods.

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 cov...

Table of Contents:

• 1) Markov Chains
• 2) Poisson Processes
• 3) Renewal Processes
• 4) Continuous Time Markov Chains
• 5) Martingales
• 6) Mathematical Finance
• 7) A Review of Probability.