Stochastic Processes: 33 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 33) - Hardcover

Bass, Richard F.

Hardcover

ISBN 10: 110700800X ISBN 13: 9781107008007

Publisher: Cambridge University Press, 2011

Synopsis

This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes, weak convergence of processes and semigroup theory. Applications include the Black–Scholes formula for the pricing of derivatives in financial mathematics, the Kalman–Bucy filter used in the US space program and also theoretical applications to partial differential equations and analysis. Short, readable chapters aim for clarity rather than full generality. More than 350 exercises are included to help readers put their new-found knowledge to the test and to prepare them for tackling the research literature.

About this title

Review:

'The author of this book is well recognized for his long standing and successful work in the area of stochastic processes ... this book represents quite well the modern state of the art of the theory of stochastic processes. There are good reasons to strongly recommend the book to graduate and postgraduate students taking an advanced course in stochastic processes.' Jordan M. Stoyanov, Zentralblatt MATH

Book Description:

This comprehensive guide to stochastic processes covers a wide range of topics. Short, readable chapters aim for clarity rather than full generality and hundreds of exercises are included. Pitched at a level accessible to beginning graduate students, it is both a course book and a rich resource for individual readers.

About this edition

• Publisher: Cambridge University Press
• Publication date: 2011
• ISBN 10: 110700800X
• ISBN 13: 9781107008007
• Binding: Hardcover
• Number of pages: 408