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Essentials of Stochastic Processes
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  • Title: Essentials of Stochastic Processes
  • Author(s) Rick Durrett
  • Publisher: Springer, 2nd printing edition (1999); eBook (Draft, Version 3.9, May 2021)
  • Permission: The PDF Draft is post by the author.
  • Hardcover 289 pages
  • eBook PDF (226 pages)
  • Language: English
  • ISBN-10/ASIN: 038798836X
  • ISBN-13: 978-0387988368
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Book Description

Stochastic Processes have become important for many fields, including mathematical finance and engineering. Written by one of the worlds leading probabilists, this book presents recent results previously available only in specialized monographs.

It features the introduction and use of martingales, which allow readers to do much more with Brownian motion, e.g., applications to option pricing, and integrates queueing theory into the presentation of continuous time Markov chains and renewal theory.

About the Authors
  • Rick Durrett received his Ph.D. in Operations Research from Stanford University in 1976. After nine years at UCLA and twenty-five at Cornell University, he moved to Duke University in 2010, where he is a Professor of Mathematics. He is the author of 8 books and more than 170 journal articles on a wide variety of topics, and he has supervised more than 40 Ph.D. students. He is a member of the National Academy of Science and the American Academy of Arts and Sciences and a Fellow of the Institute of Mathematical Statistics.
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