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612-822-4611
Stochastic Processes and Models

Stochastic Processes and Models

Paperback

Probability & Statistics

ISBN10: 0198568142
ISBN13: 9780198568148
Publisher: Oxford University Press
Published: Sep 15 2005
Pages: 342
Weight: 1.35
Height: 0.73 Width: 6.78 Depth: 9.70
Language: English
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 particular: 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.

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Probability & Statistics