Basic stochastic processes : a course through exercises

This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working in the mathematics of finance.The book will give a detailed treatment of conditional expectation and probability, a topic which in principle belongs to probability theory, but is essential as a tool for stochastic processes.Although the book is a final year text, the author has chosen to use exercises as the main means of explanation for the various topics, and the book will have a strong self-study element.The author has concentrated on the major topics within stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory, Renewal Theory, Martingales and Ito Stochastic Processes.