Essentials of Stochastic Processes

DOI10.1007/978-1-4614-3615-7zbMath1244.60001OpenAlexW1494502909MaRDI QIDQ5891497

Richard T. Durrett

Publication date: 12 April 2012

Published in: Springer Texts in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-3615-7

zbMATH Keywords

Markov chainsmartingalesAmerican optionsrenewal processesPoisson processBlack-Scholes formula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Foundations of stochastic processes (60G05)

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