Basic stochastic processes : a course through exercises

By:

Brzezniak, Zdzislaw; Zastawniak, Tomasz

Material type: Text

TextPublication details: 1999 Springer Verlag BerlinDescription: X+225 p. 22 cm ; PbkISBN:

81-8128-327-9

Subject(s):

Stochastic processes Stochastische processen Processos estocasticos

Contents:

1. Review of probability -- 2. Conditional expectation -- 3. Martingles in discrete time -- 4. Martingale inequalities and convergence -- 5. Markov chains -- 6. Stochastic processes in continuous time -- 7. Ito Stocahstic calculus.

Summary: Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	519.2 BRZ (Browse shelf(Opens below))	In transit from H.T. Parekh Library to H.T. Parekh Library since 03/09/2024		29853

1. Review of probability --
2. Conditional expectation --
3. Martingles in discrete time --
4. Martingale inequalities and convergence --
5. Markov chains --
6. Stochastic processes in continuous time --
7. Ito Stocahstic calculus.

Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes

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