Essentials of Stochastic Processes

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 most recently cancer.

“It is the 3rd edition of the textbook devoted to initial information and basic topics from the theory of stochastic processes. … The book is very useful for anyone who is interested in probability theory and its ramifications and applications. It can be recommended both for students and postgraduates, teachers and practitioners. … The book contains a lot of examples which contribute to a better understanding of the text.” (Yuliya S. Mishura, zbMATH 1378.60001, 2018)“This is the third edition of a popular textbook on stochastic processes. It is intended for advanced undergraduates and beginning graduate students and aimed at an intermediate level between an undergraduate course in probability and the first graduate course that uses measure theory.” (William J. Satzer, MAA Reviews, maa.org, February, 2017)

• 1) Markov Chains.- 2) Poisson Processes.- 3) Renewal Processes.- 4) Continuous Time Markov Chains.- 5) Martingales.- 6) Mathematical Finance.- 7) A Review of Probability.