Springer Texts in Statistics

Essentials of Stochastic Processes

Authors: Durrett, Richard

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  • A concise treatment and textbook on the most important topics in Stochastic Processes
  • All concepts illustrated by examples and more than 300 carefully chosen exercises for effective learning
  • New edition includes added and revised exercises, including many biological exercises, in addition to restructured and rewritten sections with a goal toward clarity and simplicity
  • Solutions Manual available for instructors
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eBook $64.99
price for USA in USD (gross)
  • ISBN 978-3-319-45614-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $84.99
price for USA in USD
  • ISBN 978-3-319-45613-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $84.99
price for USA in USD
  • ISBN 978-3-319-83331-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

About the authors

Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA mathematics department for 9 years and at Cornell for 25 years before moving to Duke in 2010. He is author of 8 books and more than 200 journal articles and has supervised more that 45 Ph.D. students. He is a member of the National Academy of Science. Most of his current research concerns the applications of probability to biology: ecology, genetics, and most recently cancer.

Reviews

“It is the 3rd edition of the textbook devoted to initial information and basic topics from the theory of stochastic processes. … The book is very useful for anyone who is interested in probability theory and its ramifications and applications. It can be recommended both for students and postgraduates, teachers and practitioners. … The book contains a lot of examples which contribute to a better understanding of the text.” (Yuliya S. Mishura, zbMATH 1378.60001, 2018)

“This is the third edition of a popular textbook on stochastic processes. It is intended for advanced undergraduates and beginning graduate students and aimed at an intermediate level between an undergraduate course in probability and the first graduate course that uses measure theory.” (William J. Satzer, MAA Reviews, maa.org, February, 2017)


Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook $64.99
price for USA in USD (gross)
  • ISBN 978-3-319-45614-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $84.99
price for USA in USD
  • ISBN 978-3-319-45613-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $84.99
price for USA in USD
  • ISBN 978-3-319-83331-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Essentials of Stochastic Processes
Authors
Series Title
Springer Texts in Statistics
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-45614-0
DOI
10.1007/978-3-319-45614-0
Hardcover ISBN
978-3-319-45613-3
Softcover ISBN
978-3-319-83331-6
Series ISSN
1431-875X
Edition Number
3
Number of Pages
IX, 275
Number of Illustrations
26 b/w illustrations
Topics