
06023361
b
2012e.00749
Durrett, Richard
Essentials of stochastic processes. 2nd ed.
Springer Texts in Statistics. New York, NY: Springer (ISBN 9781461436140/hbk; 9781461436157/ebook). x, 265~p. (2012).
2012
New York, NY: Springer
EN
K65
Markov chains
Poisson process
renewal processes
martingales
BlackScholes formula
American options
Zbl 0940.60004
doi:10.1007/9781461436157
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.
H. M. Mai (Berlin)