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Anotace knihy

Probability and Random Processes begins with the basic ideas common to most undergraduate courses in mathematics, statistics, and science. It ends with material usually found at graduate level, for example, Markov processes, (including Markov chain Monte Carlo), martingales, queues, diffusions, (including stochastic calculus with Itô's formula), renewals, stationary processes (including the ergodic theorem), and option pricing in mathematical finance using the Black-Scholes formula. Further, in this new revised fourth edition, there are sections on coupling from the past, Lévy processes, self-similarity and stability, time changes, and the holding-time/jump-chain construction of continuous-time Markov chains. Finally, the number of exercises and problems has been increased by around 300 to a total of about 1317, and many of the existing exercises have been refreshed by additional parts. The solutions to these exercises and problems can be found in the companion volume, One Thousand Exercises in Probability, third edition. One Thousand Exercises in Probability, third edition is a revised, updated, and greatly expanded version of previous edition of 2001. The 1300+ exercises contained within are not merely drill problems, but have been chosen to illustrate the concepts, illuminate the subject, and both inform and entertain the reader. A broad range of subjects is covered, including elementary aspects of probability and random variables, sampling, generating functions, Markov chains, convergence, stationary processes, renewals, queues, martingales, diffusions, Lévy processes, stability and self-similarity, time changes, and stochastic calculus including option pricing via the Black-Scholes model of mathematical finance.

Parametry knihy

• Plný název: Probability and Random Processes with One Thousand Exercises in Probability
• Autor: David Stirzaker
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 1168
• EAN: 9780198847625
• ISBN: 0198847629
• ID: 33194867
• Nakladatelství: OXFORD UNIV PR
• Hmotnost: 2082 g
• Rozměry: 244 × 173 × 55 mm
• Datum vydání: 16. September 2020

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