Basic Stochastic Processes | Taschenbuch

Cover: 9783540761754 | Basic Stochastic Processes | A Course Through Exercises | Taschenbuch

Rückseite: 9783540761754 | Basic Stochastic Processes | A Course Through Exercises | Taschenbuch

Dekorationsartikel gehören nicht zum Leistungsumfang.

Sprache: Englisch

35,75 €

inkl. MwSt.

Versandkostenfrei per Post / DHL

Lieferzeit 4-7 Werktage

Kategorien:

Beschreibung

Stochastic processes is a tool widely used by statisticians and
researchers working, for example, in the mathematics of finance. This is
an introductory text that has a strong emphasis on exercises, complete
with informal hints and fully-worked solutions.

Zusammenfassung

Inhaltsverzeichnis

1. Review of Probability.- 1.1 Events and Probability.- 1.2 Random Variables.- 1.3 Conditional Probability and Independence.- 1.4 Solutions.- 2. Conditional Expectation.- 2.1 Conditioning on an Event.- 2.2 Conditioning on a Discrete Random Variable.- 2.3 Conditioning on an Arbitrary Random Variable.- 2.4 Conditioning on a ?-Field.- 2.5 General Properties.- 2.6 Various Exercises on Conditional Expectation.- 2.7 Solutions.- 3. Martingales in Discrete.- 3.1 Sequences of Random Variables.- 3.2 Filtrations.- 3.3 Martingales.- 3.4 Games of Chance.- 3.5 Stopping Times.- 3.6 Optional Stopping Theorem.- 3.7 Solutions.- 4. Martingale Inequalities and Convergence.- 4.1 Doob's Martingale Inequalities.- 4.2 Doob's Martingale Convergence Theorem.- 4.3 Uniform Integrability and L1 Convergence of Martingales.- 4.4 Solutions.- 5. Markov Chains.- 5.1 First Examples and Definitions.- 5.2 Classification of States.- 5.3 Long-Time Behaviour of Markov Chains: General Case.- 5.4 Long-Time Behaviour of MarkovChains with Finite State Space.- 5.5 Solutions.- 6. Stochastic Processes in Continuous Time.- 6.1 General Notions.- 6.2 Poisson Process.- 6.3 Brownian Motion.- 6.4 Solutions.- 7. Itô Stochastic Calculus.- 7.1 Itô Stochastic Integral: Definition.- 7.2 Examples.- 7.3 Properties of the Stochastic Integral.- 7.4 Stochastic Differential and Itô Formula.- 7.5 Stochastic Differential Equations.- 7.6 Solutions.

Erscheinungsjahr:	1998
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik , Medizin , Naturwissenschaften , Technik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Reihe:	Springer Undergraduate Mathematics Series
Inhalt:	x 226 S. 21 Fotos
ISBN-13:	9783540761754
ISBN-10:	3540761756
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Brzezniak, Zdzislaw Zastawniak, Tomasz
Hersteller:	Springer Springer-Verlag GmbH Springer Undergraduate Mathematics Series
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 178 x 13 mm
Von/Mit:	Zdzislaw Brzezniak (u. a.)
Erscheinungsdatum:	26.07.2000
Gewicht:	0,419 kg