id: 06023361
dt: b
an: 2012e.00749
au: Durrett, Richard
ti: Essentials of stochastic processes. 2nd ed.
so: Springer Texts in Statistics. New York, NY: Springer (ISBN
978-1-4614-3614-0/hbk; 978-1-4614-3615-7/ebook). x, 265~p. (2012).
py: 2012
pu: New York, NY: Springer
la: EN
cc: K65
ut: Markov chains; Poisson process; renewal processes; martingales;
Black-Scholes formula; American options
ci: Zbl 0940.60004
li: doi:10.1007/978-1-4614-3615-7
ab: This is the second edition of introductory text book on stochastic
processes by Richard Durrett. A detailed discussion of the book can be
found in the review of the first edition [{\it R. Durrett}, Essentials
of stochastic processes. Springer Texts in Statistics. New York, NY:
Springer (2012; Zbl 0940.60004; ME pre01350309)]. The new edition
contains many new examples and problems. The chapters have been
reorganized to facilitate the learning process. The part in continuous
time Markov chains contains new sections on exit distributions and
hitting times. In the chapter on mathematical finance a treatment of
American options and the capital asset pricing model can be found now.
The new edition makes the topic of stochastic processes even more
accessible for undergraduate students and people coming from fields of
applications.
rv: H. M. Mai (Berlin)