Essentials of Stochastic Processes

  • Richard Durrett

Part of the Springer Texts in Statistics book series (STS)

Table of contents

  1. Front Matter
    Pages i-x
  2. Richard Durrett
    Pages 1-91
  3. Richard Durrett
    Pages 93-118
  4. Richard Durrett
    Pages 119-137
  5. Richard Durrett
    Pages 139-183
  6. Richard Durrett
    Pages 185-207
  7. Richard Durrett
    Pages 209-239
  8. Back Matter
    Pages 259-265

About this book

Introduction

This book is for a first course in stochastic processes taken by undergraduates or master’s students who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and mathematical finance. 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

 

The book has undergone a thorough revision since the first edition. There are many new examples and problems with solutions that use the TI-83 to eliminate the tedious details of solving linear equations by hand. Some material that was too advanced for the level has been eliminated while the 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 seen in the treatment of mathematical finance.

 

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA math department for nine years and at Cornell for twenty-five before moving to Duke in 2010. He is the author of 8 books and almost 200 journal articles, and has supervised more that 40 Ph.D. students. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

Keywords

Markov Chains Martingales Mathematical Finance Stochastic Processes

Authors and affiliations

  • Richard Durrett
    • 1
  1. 1.Department of MathematicsDuke UniversityDurhamUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4614-3615-7
  • Copyright Information Springer Science+Business Media, LLC 2012
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4614-3614-0
  • Online ISBN 978-1-4614-3615-7
  • Series Print ISSN 1431-875X
  • Series Online ISSN 2197-4136
  • About this book