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Theory of Stochastic Processes
With Applications to Financial Mathematics and Risk Theory
Dmytro Gusak, Alexander Kukush, Alexey Kulik, Yuliya Mishura, Andrey Pilipenko
83,95 €
+ 167 points
Format
Description
Definition of stochastic process. Cylinder #x03C3;-algebra, finite-dimensional distributions, the Kolmogorov theorem.- Characteristics of a stochastic process. Mean and covariance functions. Characteristic functions.- Trajectories. Modifications. Filtrations.- Continuity. Differentiability. Integrability.- Stochastic processes with independent increments. Wiener and Poisson processes. Poisson point measures.- Gaussian processes.- Martingales and related processes in discrete and continuous time. Stopping times.- Stationary discrete- and continuous-time processes. Stochastic integral over measure with orthogonal values.- Prediction and interpolation.- Markov chains: Discrete and continuous time.- Renewal theory. Queueing theory.- Markov and diffusion processes.- It#x00F4; stochastic integral. It#x00F4; formula. Tanaka formula.- Stochastic differential equations.- Optimal stopping of random sequences and processes.- Measures in a functional spaces. Weak convergence, probability metrics. Functional limit theorems.- Statistics of stochastic processes.- Stochastic processes in financial mathematics (discrete time).- Stochastic processes in financial mathematics (continuous time).- Basic functionals of the risk theory.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 376
- Langue:
- Anglais
- Collection :
Caractéristiques
- EAN:
- 9781461425069
- Date de parution :
- 03-05-12
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 156 mm x 234 mm
- Poids :
- 539 g
