My students tell me i should just use matlab and

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Unformatted text preview: ns by hand. My students tell me I should just use MATLAB and maybe I will for the next edition. The Markov chains chapter has been reorganized. The chapter on Poisson processes has moved up from third to second, and is now followed by a treatment of the closely related topic of renewal theory. Continuous time Markov chains remain fourth, with a new section on exit distributions and hitting times, and reduced coverage of queueing networks. Martingales, a di cult subject for students at this level, now comes fifth, in order to set the stage for their use in a new sixth chapter on mathematical finance. The treatment of finance expands the two sections of the previous treatment to include American options and the the capital asset pricing model. Brownian motion makes a cameo appearance in the discussion of the Black-Scholes theorem, but in contrast to the previous edition, is not discussed in detail. As usual the second edition has profited from people who have told me about typos over the last dozen years. If you find...
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This document was uploaded on 03/06/2014 for the course MATH 4740 at Cornell.

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