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Essentials of Stochastic Processes

Springer New York,
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In its revised new edition, this book covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales and mathematical finance. Offers many examples and more than 300 carefully chosen exercises for better understanding.


Titel: Essentials of Stochastic Processes
Autoren/Herausgeber: Richard Durrett
Aus der Reihe: Springer Texts in Statistics
Ausgabe: 2nd ed. 2012

ISBN/EAN: 9781489989673

Seitenzahl: 266
Format: 23,5 x 15,5 cm
Produktform: Taschenbuch/Softcover
Gewicht: 427 g
Sprache: Englisch

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA math department for nine years and at Cornell for twenty-five before moving to Duke in 2010. He is the author of 8 books and almost 200 journal articles, and has supervised more that 40 Ph.D. students. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

This test is designed for a Master's Level course in stochastic processes. It features the introduction and use of martingales, which allow one to do much more with Brownian motion, e.g., option pricing, and queueing theory is integrated into the Continuous Time Markov Chain and Renewal Theory chapters as examples. - Newsletter
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