Introduction to Stochastic Processes - Chapman & Hall/CRC Probability Series (Hardback)Gregory F. Lawler (author)
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For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter.
New to the Second Edition:
Expanded chapter on stochastic integration that introduces modern mathematical finance
Introduction of Girsanov transformation and the Feynman-Kac formula
Expanded discussion of Ito's formula and the Black-Scholes formula for pricing options
New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion
Applicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.
Publisher: Taylor & Francis Inc
Number of pages: 248
Weight: 476 g
Dimensions: 235 x 156 x 19 mm
Edition: 2nd New edition
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