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Stochastic Processes Amir Dembo (revised by Kevin Ross)
These are the lecture notes for a one quarter graduate course in Stochastic Pro-cesses that I taught at Stanford. University in 2002 and 2003. This course is intended for incoming master students in Stanford's Financial Mathematics program, for ad-vanced undergraduates majoring in mathematics and for graduate students from. Engineering, Economics, Statistics or the Business school. One purpose of this text is to prepare students to a rigorous...
133 p itc 27/01/2013 273 1
Từ khóa: Stochastic Processes, Martingales and stopping times, Brownian motion, Markov, Poisson and Jump processes, Conditional expectation
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