Abstract
The fountainhead of the theory of stochastic processes is simple random walk. Already rich in unexpected and elegant phenomena, random walk also leads one inexorably to the development of Brownian motion, the theory of diffusions, the Itô calculus, and myriad important applications in finance, economics, and physical science.
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© 2001 Springer-Verlag New York, Inc.
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Steele, J.M. (2001). Random Walk and First Step Analysis. In: Stochastic Calculus and Financial Applications. Applications of Mathematics, vol 45. Springer, New York, NY. https://doi.org/10.1007/978-1-4684-9305-4_1
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DOI: https://doi.org/10.1007/978-1-4684-9305-4_1
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-2862-7
Online ISBN: 978-1-4684-9305-4
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