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Random Walk and First Step Analysis

  • J. Michael Steele
Part of the Applications of Mathematics book series (SMAP, volume 45)

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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Copyright information

© Springer-Verlag New York, Inc. 2001

Authors and Affiliations

  • J. Michael Steele
    • 1
  1. 1.The Wharton School, Department of StatisticsUniversity of PennsylvaniaPhiladelphiaUSA

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