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Stochastic Processes and Models

Author

Listed:
  • Stirzaker, David

    (Oxford University)

Abstract

Stochastic Processes and Models provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: random walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing. The text has been thoroughly class-tested and is ideal for an undergraduate second course in probability.

Suggested Citation

  • Stirzaker, David, 2005. "Stochastic Processes and Models," OUP Catalogue, Oxford University Press, number 9780198568148.
    • Handle: RePEc:oxp:obooks:9780198568148
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    Citations

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    Cited by:

    1. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
    2. Burrell, Quentin L., 2007. "On the h-index, the size of the Hirsch core and Jin's A-index," Journal of Informetrics, Elsevier, vol. 1(2), pages 170-177.
    3. Quentin L. Burrell, 2014. "The individual author’s publication–citation process: theory and practice," Scientometrics, Springer;Akadémiai Kiadó, vol. 98(1), pages 725-742, January.
    4. Matsumoto, Hiroyuki & Wesolowski, Jacek & Witkowski, Piotr, 2009. "Tree structured independence for exponential Brownian functionals," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3798-3815, October.
    5. Lee, Julian, 2023. "Poisson distributions in stochastic dynamics of gene expression: What events do they count?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    6. Kawar Badie Mahmood & Adil Sufian Husain, 2021. "Bernoulli’s Number One Solution for Stochastic Equilibrium," International Journal of Science and Business, IJSAB International, vol. 5(8), pages 194-201.
    7. Koulovatianos, Christos & Wieland, Volker, 2011. "Asset pricing under rational learning about rare disasters," IMFS Working Paper Series 46, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    8. Burrell, Quentin L., 2007. "Hirsch's h-index: A stochastic model," Journal of Informetrics, Elsevier, vol. 1(1), pages 16-25.
    9. Wesołowski, Jacek, 2015. "On the Matsumoto–Yor type regression characterization of the gamma and Kummer distributions," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 145-149.
    10. Robert Mill & Martin Coath & Thomas Wennekers & Susan L Denham, 2011. "A Neurocomputational Model of Stimulus-Specific Adaptation to Oddball and Markov Sequences," PLOS Computational Biology, Public Library of Science, vol. 7(8), pages 1-15, August.
    11. Wesolowski, Jacek & Witkowski, Piotr, 2007. "Hitting times of Brownian motion and the Matsumoto-Yor property on trees," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1303-1315, September.
    12. Davide Cocco & Massimiliano Giona, 2021. "Generalized Counting Processes in a Stochastic Environment," Mathematics, MDPI, vol. 9(20), pages 1-19, October.
    13. Piliszek, Agnieszka & Wesołowski, Jacek, 2016. "Kummer and gamma laws through independences on trees—Another parallel with the Matsumoto–Yor property," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 15-27.
    14. Jean-Marc Luck, 2019. "Parrondo games as disordered systems," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 92(8), pages 1-17, August.

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