Skip to content
Register Sign in Wishlist

Stochastic Processes

£62.99

Part of Cambridge Series in Statistical and Probabilistic Mathematics

  • Date Published: October 2011
  • availability: Available
  • format: Hardback
  • isbn: 9781107008007

£ 62.99
Hardback

Add to cart Add to wishlist

Other available formats:
eBook


Looking for an inspection copy?

This title is not currently available on inspection

Description
Product filter button
Description
Contents
Resources
Courses
About the Authors
  • This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes, weak convergence of processes and semigroup theory. Applications include the Black–Scholes formula for the pricing of derivatives in financial mathematics, the Kalman–Bucy filter used in the US space program and also theoretical applications to partial differential equations and analysis. Short, readable chapters aim for clarity rather than full generality. More than 350 exercises are included to help readers put their new-found knowledge to the test and to prepare them for tackling the research literature.

    • Unlike existing books, is uniquely designed for graduate students
    • Fully equips students to tackle the research literature and includes 350 exercises so readers can put the theory into practice
    • Covers all of the necessary material for a first-year graduate course in probability
    Read more

    Reviews & endorsements

    'The author of this book is well recognized for his long standing and successful work in the area of stochastic processes … this book represents quite well the modern state of the art of the theory of stochastic processes. There are good reasons to strongly recommend the book to graduate and postgraduate students taking an advanced course in stochastic processes.' Jordan M. Stoyanov, Zentralblatt MATH

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity

    ×

    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?

    ×

    Product details

    • Date Published: October 2011
    • format: Hardback
    • isbn: 9781107008007
    • length: 408 pages
    • dimensions: 254 x 183 x 25 mm
    • weight: 0.91kg
    • contains: 2 b/w illus. 350 exercises
    • availability: Available
  • Table of Contents

    Preface
    1. Basic notions
    2. Brownian motion
    3. Martingales
    4. Markov properties of Brownian motion
    5. The Poisson process
    6. Construction of Brownian motion
    7. Path properties of Brownian motion
    8. The continuity of paths
    9. Continuous semimartingales
    10. Stochastic integrals
    11. Itô's formula
    12. Some applications of Itô's formula
    13. The Girsanov theorem
    14. Local times
    15. Skorokhod embedding
    16. The general theory of processes
    17. Processes with jumps
    18. Poisson point processes
    19. Framework for Markov processes
    20. Markov properties
    21. Applications of the Markov properties
    22. Transformations of Markov processes
    23. Optimal stopping
    24. Stochastic differential equations
    25. Weak solutions of SDEs
    26. The Ray–Knight theorems
    27. Brownian excursions
    28. Financial mathematics
    29. Filtering
    30. Convergence of probability measures
    31. Skorokhod representation
    32. The space C[0, 1]
    33. Gaussian processes
    34. The space D[0, 1]
    35. Applications of weak convergence
    36. Semigroups
    37. Infinitesimal generators
    38. Dirichlet forms
    39. Markov processes and SDEs
    40. Solving partial differential equations
    41. One-dimensional diffusions
    42. Lévy processes
    A. Basic probability
    B. Some results from analysis
    C. Regular conditional probabilities
    D. Kolmogorov extension theorem
    E. Choquet capacities
    Frequently used notation
    Index.

  • Resources for

    Stochastic Processes

    Richard F. Bass

    General Resources

    Find resources associated with this title

    Type Name Unlocked * Format Size

    Showing of

    Back to top

    This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.

    Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.

    Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.

    If you are having problems accessing these resources please contact lecturers@cambridge.org.

  • Instructors have used or reviewed this title for the following courses

    • Business Optimization
    • Stochastic Processes with Applications
  • Author

    Richard F. Bass, University of Connecticut
    Richard F. Bass is Board of Trustees Distinguished Professor in the Department of Mathematics at the University of Connecticut.

Sign In

Please sign in to access your account

Cancel

Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.

Cancel

Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

×
Please fill in the required fields in your feedback submission.
×