Random Walk, Brownian Motion, and Martingales (Hardcover, 1st ed. 2021)

This textbook offers an approachable introduction to stochastic processes that explores the four pillars of random walk, branching processes, Brownian motion, and martingales. Building from simple examples, the authors focus on developing context and intuition before formalizing the theory of each topic. This inviting approach illuminates the key ideas and computations in the proofs, forming an ideal basis for further study. Consisting of many short chapters, the book begins with a comprehensive account of the simple random walk in one dimension. From here, different paths may be chosen according to interest. Themes span Poisson processes, branching processes, the Kolmogorov-Chentsov theorem, martingales, renewal theory, and Brownian motion. Special topics follow, showcasing a selection of important contemporary applications, including mathematical finance, optimal stopping, ruin theory, branching random walk, and equations of fluids. Engaging exercises accompany the theory throughout. Random Walk, Brownian Motion, and Martingales is an ideal introduction to the rigorous study of stochastic processes. Students and instructors alike will appreciate the accessible, example-driven approach. A single, graduate-level course in probability is assumed.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	Graduate Texts in Mathematics, 292
Release date:	September 2021
First published:	2021
Authors:	Rabi Bhattacharya • Edward C. Waymire
Dimensions:	235 x 155 x 26mm (L x W x T)
Format:	Hardcover
Pages:	396
Edition:	1st ed. 2021
ISBN-13:	978-3-03-078937-4
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Computing & IT > Computer software packages > Other software packages > Mathematical & statistical software Promotions
LSN:	3-03-078937-3
Barcode:	9783030789374

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