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Basic Stochastic Processes: A Course Through Exercises

This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working, for example, in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which is essential as a tool for stochastic processes. Although the book is a final year text, the authors have chosen to use exercises as the main means of explanation for the various topics, hence the course has a strong self-study element. The authors have concentrated on major topics within stochastic analysis: martingales in discrete time and their convergence,. | Springer Undergraduate Mathematics Series Springer London Berlin Heidelberg New York Barcelona Hong Kong Milan Paris Singapore . Iiiiiliininii Ivisory Board jfessor P.J. Cameron Queen Mary and Westfield College M.A.J. Chaplain University of Dundee K. Erdmann Oxford University jfessor L.C.G. Rogers University of Bath E. Still Oxford University ifessor J.F. Toland University of Bath her books in this series ic Linear Algebra T.s. Blyth and E.F. Robertson 3-540-76122-5 ments of Logic via Numbers and Sets D.L. Johnson 3-540-76123-3 dtivariate Calculus and Geometry s. Dineen 3-540-76176-4 mentary Number Theory G.A. Jones and J.M. Jones 3-540-76197-7 ctor Calculus p.c. Matthews 3-540-76180-2 roductory Mathematics Algebra and Analysis G. Smith 3-540-76178-0 roductory Mathematics Applications and Methods G.s. Marshall 3-540-76179-9 jups Rings and Fields D.A.R. Wallace 3-540-76177-2 iasure Integral and Probability M. Capinksi and E. Kopp 3-540-76260-4 I i i H 2 7 4- ư Zdzislaw Brzezniak and Tomasz Zastawniak Basic Stochastic Processes A Course Through Exercises With 21 Figures .