Stochastic Processes and Models

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.