A First Look At Stochastic Processes
First edition
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Word Count
54,000 words, Guess
Page Count
216 pages
Physical Format
Paperback; Hardcover
Identifiers
- ISBN-109811207909
- ISBN-139789811207907
- Library of Congress Control Number2019044552
- OCLC Control Number1107856889
- Better World Books9789811207907
and 1 more
- Open LibraryOL28373867M
Classifications
- DDC519.2/3
- LCCQA274.A529 R67 2020
Description
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.
Subjects
Other Editions
- A First Look At Stochastic Processes
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