Springer
Theory of Stochastic Processes: With Applications to Financial Mathematics and Risk Theory
Product Code:
9781461425069
ISBN13:
9781461425069
Condition:
New
$61.47
Theory of Stochastic Processes: With Applications to Financial Mathematics and Risk Theory
$61.47
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.
| Author: Dmytro Gusak |
| Publisher: Springer |
| Publication Date: May 03, 2012 |
| Number of Pages: 376 pages |
| Binding: Paperback or Softback |
| ISBN-10: 1461425069 |
| ISBN-13: 9781461425069 |
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