A First Look At Stochastic Processes
by Jeffrey S. Rosenthal
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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.
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1
A First Look At Stochastic Processes
October 4, 2019, WSPC, World Scientific Publishing Co
Paperback; Hardcover
in English
- First edition
9811207909 9789811207907
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2
First Look at Stochastic Processes
2019, World Scientific Publishing Co Pte Ltd, WSPC
in English
9811208972 9789811208973
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Includes bibliographical references and index.
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| December 26, 2021 | Edited by ImportBot | import existing book |
| July 25, 2020 | Edited by Kaustubh Chakraborty | Added new book |
| July 25, 2020 | Created by Kaustubh Chakraborty | Added new book. |