Temporarily out of stock
Useful for STAT 211 semester 1, 2026 (Students may use 2nd edition)
Building 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.
ISBN: 9783319833316
Publication date: 22/04/2018
Edition: 3
Price: $222.30
RRP: $247.00
Format: Paperback
Temporarily out of stock
Publishing status: Active
Author: Durrett, Richard
Series: Springer Texts in Statistics
Imprint: Springer-Verlag (or DABO)
