skip to content
Basic stochastic processes : a course through exercises Preview this item
ClosePreview this item
Checking...

Basic stochastic processes : a course through exercises

Author: Zdzisław Brzeźniak; Tomasz Zastawniak
Publisher: London [u.a.] : Springer, 1999.
Series: Springer undergraduate mathematics series.
Edition/Format:   Print book : English : 2nd print., with corrView all editions and formats
Database:WorldCat
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,  Read more...

Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Aufgabensammlung
0 Gesamtdarstellung
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Zdzisław Brzeźniak; Tomasz Zastawniak
ISBN: 3540761756 9783540761754
OCLC Number: 246169050
Description: x, 225 S : graph. Darst.
Contents: 1. Review of Probability.- 1.1 Events and Probability.- 1.2 Random Variables.- 1.3 Conditional Probability and Independence.- 1.4 Solutions.- 2. Conditional Expectation.- 2.1 Conditioning on an Event.- 2.2 Conditioning on a Discrete Random Variable.- 2.3 Conditioning on an Arbitrary Random Variable.- 2.4 Conditioning on a ?-Field.- 2.5 General Properties.- 2.6 Various Exercises on Conditional Expectation.- 2.7 Solutions.- 3. Martingales in Discrete.- 3.1 Sequences of Random Variables.- 3.2 Filtrations.- 3.3 Martingales.- 3.4 Games of Chance.- 3.5 Stopping Times.- 3.6 Optional Stopping Theorem.- 3.7 Solutions.- 4. Martingale Inequalities and Convergence.- 4.1 Doob's Martingale Inequalities.- 4.2 Doob's Martingale Convergence Theorem.- 4.3 Uniform Integrability and L1 Convergence of Martingales.- 4.4 Solutions.- 5. Markov Chains.- 5.1 First Examples and Definitions.- 5.2 Classification of States.- 5.3 Long-Time Behaviour of Markov Chains: General Case.- 5.4 Long-Time Behaviour of Markov Chains with Finite State Space.- 5.5 Solutions.- 6. Stochastic Processes in Continuous Time.- 6.1 General Notions.- 6.2 Poisson Process.- 6.2.1 Exponential Distribution and Lack of Memory.- 6.2.2 Construction of the Poisson Process.- 6.2.3 Poisson Process Starts from Scratch at Time t.- 6.2.4 Various Exercises on the Poisson Process.- 6.3 Brownian Motion.- 6.3.1 Definition and Basic Properties.- 6.3.2 Increments of Brownian Motion.- 6.3.3 Sample Paths.- 6.3.4 Doob's Maximal L2 Inequality for Brownian Motion.- 6.3.5 Various Exercises on Brownian Motion.- 6.4 Solutions.- 7. Ito Stochastic Calculus.- 7.1 Ito Stochastic Integral: Definition.- 7.2 Examples.- 7.3 Properties of the Stochastic Integral.- 7.4 Stochastic Differential and Ito Formula.- 7.5 Stochastic Differential Equations.- 7.6 Solutions.
Series Title: Springer undergraduate mathematics series.
Responsibility: Zdzisław Brzeźniak and Tomasz Zastawniak.
More information:

Reviews

Editorial reviews

Publisher Synopsis

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 Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/246169050> # Basic stochastic processes : a course through exercises
    a schema:CreativeWork, schema:Book ;
   library:oclcnum "246169050" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/796288503#Place/london_u_a> ; # London u.a.
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/796288503#Topic/stochastischer_prozess> ; # Stochastischer Prozess
   schema:about <http://experiment.worldcat.org/entity/work/data/796288503#Thing/stochastic_processes> ; # Stochastic processes
   schema:about <http://dewey.info/class/519.2/> ;
   schema:bookEdition "2nd print., with corr." ;
   schema:bookFormat bgn:PrintBook ;
   schema:contributor <http://experiment.worldcat.org/entity/work/data/796288503#Person/zastawniak_tomasz_1959> ; # Tomasz Zastawniak
   schema:creator <http://experiment.worldcat.org/entity/work/data/796288503#Person/brzezniak_zdzislaw_1958> ; # Zdzisław Brzeźniak
   schema:datePublished "1999" ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/796288503> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/796288503#Series/springer_undergraduate_mathematics_series> ; # Springer undergraduate mathematics series.
   schema:name "Basic stochastic processes : a course through exercises" ;
   schema:productID "246169050" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/246169050#PublicationEvent/london_u_a_springer_1999> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/796288503#Agent/springer> ; # Springer
   schema:url <http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008664592&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA> ;
   schema:workExample <http://worldcat.org/isbn/9783540761754> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/246169050> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/796288503#Person/brzezniak_zdzislaw_1958> # Zdzisław Brzeźniak
    a schema:Person ;
   schema:birthDate "1958" ;
   schema:familyName "Brzeźniak" ;
   schema:givenName "Zdzisław" ;
   schema:name "Zdzisław Brzeźniak" ;
    .

<http://experiment.worldcat.org/entity/work/data/796288503#Person/zastawniak_tomasz_1959> # Tomasz Zastawniak
    a schema:Person ;
   schema:birthDate "1959" ;
   schema:familyName "Zastawniak" ;
   schema:givenName "Tomasz" ;
   schema:name "Tomasz Zastawniak" ;
    .

<http://experiment.worldcat.org/entity/work/data/796288503#Series/springer_undergraduate_mathematics_series> # Springer undergraduate mathematics series.
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/246169050> ; # Basic stochastic processes : a course through exercises
   schema:name "Springer undergraduate mathematics series." ;
   schema:name "Springer undergraduate mathematics series" ;
    .

<http://experiment.worldcat.org/entity/work/data/796288503#Thing/stochastic_processes> # Stochastic processes
    a schema:Thing ;
   schema:name "Stochastic processes" ;
    .

<http://experiment.worldcat.org/entity/work/data/796288503#Topic/stochastischer_prozess> # Stochastischer Prozess
    a schema:Intangible ;
   schema:name "Stochastischer Prozess" ;
    .

<http://worldcat.org/isbn/9783540761754>
    a schema:ProductModel ;
   schema:isbn "3540761756" ;
   schema:isbn "9783540761754" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.