- Hardcover: 288 pages
- Publisher: SPRINGER MIHE; 3 edition (17 November 2016)
- Language: English
- ISBN-10: 331945613X
- ISBN-13: 978-3319456133
- Product Dimensions: 15.6 x 1.8 x 23.4 cm
- Boxed-product Weight: 594 g
- Average Customer Review: Be the first to review this item
- Amazon Bestsellers Rank: 135,976 in Books (See Top 100 in Books)
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Essentials of Stochastic Processes 3e Hardcover – 17 Nov 2016
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From the Back Cover
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding.
Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.
• A concise treatment and textbook on the most important topics in Stochastic Processes
• Illustrates all concepts with examples and presents more than 300 carefully chosen exercises for effective learning
• New edition includes added and revised exercises, including many biological exercises, in addition to restructured and rewritten sections with a goal toward clarity and simplicity
• Solutions Manual available for instructors
Richard Durrett received his Ph.D. in Operations Research from Stanford in 1976. He taught at the UCLA mathematics department for 9 years and at Cornell for 25 years before moving to Duke in 2010. He is author of 8 books and more than 200 journal articles and has supervised more that 45 Ph.D. students. He is a member of the National Academy of Science. Most of his current research concerns the applications of probability to biology: ecology, genetics, and cancer modeling.
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Most helpful customer reviews on Amazon.com
That being said, this book deserves less than one star for two reasons: it is rife with typos. In the text, In the examples, in the problem statements, in the answers...everywhere. I did not do one problem set without running into several typos -- some of which Dr. Durrett has corrected on his webpage -- but that is not the point. Any professor I have ever had would fail me for turning in such an error-ridden paper; this low standard of proofing is unacceptable at all levels.
The second reason I dislike the book is the ambiguous notation. Rather than write the standard E[x] for expected value of x, Durrett uses EX -- which gets terribly confusing for expectations of functions. Furthermore, the text uses P(X=x) frequently when referring to P(X < x), a point which Durrett describes, but still goes against all intuition for continuous variables.
In a sentence. Don't buy this book. If you are taking Markov for the first time, ask the professor to change the book, or buy a supplementary text. If you want something to brush up on your Markov, there are much better books out there.
But it wasn't until I had gotten most of the way through and I wanted to return to a definition or example that I realized that the book's index is inadequate. I can't find a better index online, and I didn't know that should be creating one for myself the first time through!
The typos mentioned by others weren't an issue because earlier I had sat down with a pencil and a list of corrections.
You will need a basic background in Statistics and Linear Algebra.
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