First Look At Stochastic Processes, A
Regular price
€82.99
14 days return policy
Shipping & Delivery
A01=Jeffrey S Rosenthal
Author_Jeffrey S Rosenthal
Category=PBWL
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Markov Chain
Martingale
MCMC
Probability
Stochastic Process
Product details
- ISBN 9789811207907
- Publication Date: 04 Oct 2019
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
Secure
checkout
Fast Shipping
Easy returns
This textbook introduces the theory of stochastic processes, that is, randomness which proceeds in time. Using concrete examples like repeated gambling and jumping frogs, it presents fundamental mathematical results through simple, clear, logical theorems and examples. It covers in detail such essential material as Markov chain recurrence criteria, the Markov chain convergence theorem, and optional stopping theorems for martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and space, Poisson processes, and renewal theory.Interspersed throughout are applications to such topics as gambler's ruin probabilities, random walks on graphs, sequence waiting times, branching processes, stock option pricing, and Markov Chain Monte Carlo (MCMC) algorithms.The focus is always on making the theory as well-motivated and accessible as possible, to allow students and readers to learn this fascinating subject as easily and painlessly as possible.
