Stochastic Processes and Models [Paperback]

Stochastic Processes and Modelsprovides 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: randon 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 for students of statistics, mathematics, finance and operational research.

Probability and Random Variables
Introduction to Stochastic Processes
Markov Chains
Markov Chains in Continuous Time
Diffusions
Hints and solutions to selected exercises

The author has indeed produced a very good textbook. ... The book or any of its chapters can be strongly recommended to any university with a modern programme. --Bulletin of the London Mathematical Society