{"product_id":"introduction-to-stochastic-processes-2","title":"Introduction to Stochastic Processes","description":"\u003cp\u003eEmphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory.\u003cbr\u003e\u003cbr\u003eFor 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.\u003cbr\u003e\u003cbr\u003eNew to the Second Edition:\u003c\/p\u003e\u003cli\u003eExpanded chapter on stochastic integration that introduces modern mathematical finance\u003cbr\u003e \u003c\/li\u003e\u003cli\u003eIntroduction of Girsanov transformation and the Feynman-Kac formula\u003cbr\u003e \u003c\/li\u003e\u003cli\u003eExpanded discussion of Itô's formula and the Black-Scholes formula for pricing options\u003cbr\u003e \u003c\/li\u003e\u003cli\u003eNew topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion\u003cbr\u003e\u003cbr\u003eApplicable 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.\u003c\/li\u003e","brand":"Taylor \u0026 Francis Inc","offers":[{"title":"Default Title","offer_id":54257402216792,"sku":"9781584886518","price":117.99,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9781584886518_51cd86c5-b179-4a10-89d1-77fd9f517839.jpg?v=1770483614","url":"https:\/\/agendabookshop.com\/products\/introduction-to-stochastic-processes-2","provider":"Agenda Bookshop","version":"1.0","type":"link"}