Basic Stochastic Processes
A Course Through Exercises
Authors: Brzezniak, Zdzislaw, Zastawniak, Tomasz
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- About this Textbook
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This book has been designed for a final year undergraduate course in stochastic processes. It will also be suitable for mathematics undergraduates and others with interest in probability and stochastic processes, who wish to study on their own. The main prerequisite is probability theory: probability measures, random variables, expectation, independence, conditional probability, and the laws of large numbers. The only other prerequisite is calculus. This covers limits, series, the notion of continuity, differentiation and the Riemann integral. Familiarity with the Lebesgue integral would be a bonus. A certain level of fundamental mathematical experience, such as elementary set theory, is assumed implicitly. Throughout the book the exposition is interlaced with numerous exercises, which form an integral part of the course. Complete solutions are provided at the end of each chapter. Also, each exercise is accompanied by a hint to guide the reader in an informal manner. This feature will be particularly useful for self-study and may be of help in tutorials. It also presents a challenge for the lecturer to involve the students as active participants in the course.
- Reviews
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This book fulfils its aim of providing good and interesting material for advanced undergraduate study.
The Times Higher Education Supplement
This is probably one of the best books to begin learning about the sometimes complex topic of stochastic calculus and stochastic processes from a more mathematical approach. Some literature are often accused of unnecessarily complicating the subject when applied to areas of finance. With this book you are allowed to explore the rigorous side of stochastic calculus, yet maintain a physical insight of what is going on. The authors have concentrated on the most important and useful topics that are encountered in common physical and financial systems
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Bibliographic Information
- Bibliographic Information
-
- Book Title
- Basic Stochastic Processes
- Book Subtitle
- A Course Through Exercises
- Authors
-
- Zdzislaw Brzezniak
- Tomasz Zastawniak
- Series Title
- Springer Undergraduate Mathematics Series
- Copyright
- 1999
- Publisher
- Springer-Verlag London
- Copyright Holder
- Springer-Verlag London
- eBook ISBN
- 978-1-4471-0533-6
- DOI
- 10.1007/978-1-4471-0533-6
- Softcover ISBN
- 978-3-540-76175-4
- Series ISSN
- 1615-2085
- Edition Number
- 1
- Number of Pages
- X, 226
- Topics
