Gregory F. Lawler

Introduction to Stochastic Processes (eBook, PDF)

• Format: PDF

Produktbeschreibung

Focusing on mathematical ideas rather than proofs, this book provides access to important fundamentals of stochastic processes. This second edition features additional material on stochastic integration, with expanded discussion of Girsanov transformation, an introduction to the Feynman-Kac formula, and an exposition on the Black-Scholes formula with applications from the field of mathematical finance. This new edition also includes new and expanded topics such as Doob's maximal inequality in the chapter on martingales and self similarity in the chapter on Brownian motion. It remains an ideal reference for professional mathematicians and statisticians as well as students.

---

Dieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, B, BG, CY, CZ, D, DK, EW, E, FIN, F, GR, HR, H, IRL, I, LT, L, LR, M, NL, PL, P, R, S, SLO, SK ausgeliefert werden.

Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 248
• Erscheinungstermin: 3. Oktober 2018
• Englisch
• ISBN-13: 9781482286113
• Artikelnr.: 57070750

Autorenporträt

Greogory F. Lawler

Inhaltsangabe

Preliminaries. Finite Markov Chains. Countable Markov Chains.
Continuous-Time Markov Chains. Optimal Stopping. Martingales. Renewal
Processes. Reversible Markov Chians. Brownian Motion. Stochastic
Integration.