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Titlebook: Essentials of Stochastic Processes; Richard Durrett Textbook 20122nd edition Springer Science+Business Media, LLC 2012 Markov Chains.Marti

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书目名称Essentials of Stochastic Processes
编辑Richard Durrett
视频video
概述More than 300 exercises for effective learning.Includes problems with solutions and new examples.Significant revision to the successful first edition.Includes supplementary material: .Request lecturer
丛书名称Springer Texts in Statistics
图书封面Titlebook: Essentials of Stochastic Processes;  Richard Durrett Textbook 20122nd edition Springer Science+Business Media, LLC 2012 Markov Chains.Marti
描述.This book is for a first course in stochastic processes taken by undergraduates or master’s students who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and mathematical finance. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. .The book has undergone a thorough revision since the first edition. There are many new examples and problems with solutions that use the TI-83 to eliminate the tedious details of solving linear equations by hand. Some material that was too advanced for the level has been eliminated while the treatment of other topics useful for applications has been expanded.  In addition, the ordering of topics has been improved. For example, the difficult subject of martingales is delayed until its usefulness can be seen in the treatment of mathematical finance.. .Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA math department for nine years and at Cornell for twenty-five before moving to Duke
出版日期Textbook 20122nd edition
关键词Markov Chains; Martingales; Mathematical Finance; Stochastic Processes
版次2
doihttps://doi.org/10.1007/978-1-4614-3615-7
isbn_softcover978-1-4899-8967-3
isbn_ebook978-1-4614-3615-7Series ISSN 1431-875X Series E-ISSN 2197-4136
issn_series 1431-875X
copyrightSpringer Science+Business Media, LLC 2012
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Creating Apps with React Native modeled in this way, and (ii) there is a well-developed theory that allows us to do computations. We begin with a famous example, then describe the property that is the defining feature of Markov chains
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Shaoshan Liu,Liyun Li,Jean-Luc Gaudiottial distribution is crucial for many of the special properties of the Poisson process derived in this chapter. However, in many situations the assumption of exponential interarrival times is not justified. In this section we will consider a generalization of Poisson processes called . in which the
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Ethnolinguistic Variation in North America,important when we consider applications to finance in the next chapter. In addition, they will allow us to give more transparent proofs of some facts from Chap. 1 concerning exit distributions and exit times for Markov chains.
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Fundamentals of Version ControlTo warm up for the developments in the next section we will look at two simple concrete examples under the unrealistic assumption that the interest rate is 0.
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Continuous Time Markov Chains,In Chap. 1 we considered Markov chains .. with a discrete time index . = 0, 1, 2, . In this chapter we will extend the notion to a continuous time parameter . ≥ 0, a setting that is more convenient for some applications.
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