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Stochastic Processes and Models

Author

Listed:
  • Stirzaker, David

    (Oxford University)

Abstract

Stochastic Processes and Models provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: random walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing. The text has been thoroughly class-tested and is ideal for an undergraduate second course in probability.

Suggested Citation

  • Stirzaker, David, 2005. "Stochastic Processes and Models," OUP Catalogue, Oxford University Press, number 9780198568148.
  • Handle: RePEc:oxp:obooks:9780198568148
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    Cited by:

    1. Koulovatianos, Christos & Wieland, Volker, 2011. "Asset pricing under rational learning about rare disasters," IMFS Working Paper Series 46, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
    3. Piliszek, Agnieszka & Wesołowski, Jacek, 2016. "Kummer and gamma laws through independences on trees—Another parallel with the Matsumoto–Yor property," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 15-27.
    4. Burrell, Quentin L., 2007. "On the h-index, the size of the Hirsch core and Jin's A-index," Journal of Informetrics, Elsevier, vol. 1(2), pages 170-177.
    5. Burrell, Quentin L., 2007. "Hirsch's h-index: A stochastic model," Journal of Informetrics, Elsevier, vol. 1(1), pages 16-25.
    6. repec:spr:scient:v:98:y:2014:i:1:d:10.1007_s11192-013-1018-4 is not listed on IDEAS
    7. Wesołowski, Jacek, 2015. "On the Matsumoto–Yor type regression characterization of the gamma and Kummer distributions," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 145-149.

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