Introduction to stochastic processes. (2018)

• Record Type: Book
• Further Information: Note: Gregory F. Lawler.
• Authors: Lawler, Gregory F, 1955-
• Contents: Preface to Second Edition; Preface to First Edition; PRELIMINARIES; Introduction; Linear Differential Equations; Linear Difference Equations; Exercises; ; FINITE MARKOV CHAINS; Definitions and Examples; Large-Time Behavior and Invariant Probability; Classification of States; Return Times; Transient States; Examples; Exercises; ; COUNTABLE MARKOV CHAINS; Introduction; Recurrence and Transience; Positive Recurrence and Null Recurrence; Branching Process; Exercises; ; CONTINUOUS-TIME MARKOV CHAINS; Poisson Process; Finite State Space; Birth-and-Death Processes; General Case; Exercises; ; OPTIMAL STOPPING; Optimal Stopping of Markov Chains; Optimal Stopping with Cost; Optimal Stopping with Discounting; Exercises; ; MARTINGALES; Conditional Expectation; Definition and Examples; Optional Sampling Theorem; Uniform Integrability; Martingale Convergence Theorem; Maximal Inequalities; Exercises; ; RENEWAL PROCESSES; Introduction; Renewal Equation; Discrete Renewal Processes; M/G/1 and G/M/1 Queues; Exercises; ; REVERSIBLE MARKOV CHAINS; Reversible Processes; Convergence to Equilibrium; Markov Chain Algorithms; A Criterion for Recurrence; Exercises; ; BROWNIAN MOTION; Introduction; Markov Property; Zero Set of Brownian Motion; Brownian Motion in Several Dimensions; Recurrence and Transience; Fractal Nature of Brownian Motion; Scaling Rules; Brownian Motion with Drift; Exercises; ; STOCHASTIC INTEGRATION; Integration with Respect to Random Walk; Integration with Respect to Brownian Motion; Itô's Formula; Extensions if Itô's Formula; Continuous Martingales; Girsanov Transformation; Feynman-Kac Formula; Black-Scholes Formula; Simulation; Exercises; ; Suggestions for Further Reading; Index
• Edition: 2nd edition
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 519.23; Stochastic processes
• Languages: English
• ISBNs: 9781351990097
• Related ISBNs: 9781482286113; 9781351992978; 9781315273600
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
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