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020 _a9783319456140
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024 7 _a10.1007/978-3-319-45614-0
_2doi
050 4 _aQA276-280
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072 7 _aMAT029000
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082 0 4 _a519.5
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100 1 _aDurrett, Richard.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_966588
245 1 0 _aEssentials of Stochastic Processes
_h[electronic resource] /
_cby Richard Durrett.
250 _a3rd ed. 2016.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2016.
300 _aIX, 275 p. 26 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Texts in Statistics,
_x2197-4136
505 0 _a1) Markov Chains -- 2) Poisson Processes -- 3) Renewal Processes -- 4) Continuous Time Markov Chains -- 5) Martingales -- 6) Mathematical Finance -- 7) A Review of Probability.
520 _aBuilding 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. • A concise treatment and textbook on the most important topics in Stochastic Processes • Illustrates all concepts with examples and presents more than 300 carefully chosen exercises for effective learning • New edition includes added and revised exercises, including many biological exercises, in addition to restructured and rewritten sections with a goal toward clarity and simplicity Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA mathematics department for 9 years and at Cornell for 25 years before moving to Duke in 2010. He is author of 8 books and more than 200 journal articles and has supervised more that 45 Ph.D. students. He is a member of the National Academy of Science. Most of his current research concerns the applications of probability to biology: ecology, genetics, and cancer modeling.
650 0 _aStatistics .
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650 0 _aProbabilities.
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650 0 _aOperations research.
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650 0 _aManagement science.
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650 0 _aPopulation genetics.
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650 0 _aEconometrics.
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650 1 4 _aStatistical Theory and Methods.
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650 2 4 _aProbability Theory.
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650 2 4 _aStatistics in Business, Management, Economics, Finance, Insurance.
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650 2 4 _aOperations Research, Management Science .
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650 2 4 _aPopulation Genetics.
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650 2 4 _aQuantitative Economics.
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710 2 _aSpringerLink (Online service)
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773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
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776 0 8 _iPrinted edition:
_z9783319456157
776 0 8 _iPrinted edition:
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830 0 _aSpringer Texts in Statistics,
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856 4 0 _uhttps://doi.org/10.1007/978-3-319-45614-0
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