2019 - Advanced Stochastic Processes - Parts I & II
SPE, scientific pdf ebooks, points on a recent publication of two tomes, concerning a part of mathematics that is stochastic process. It is well written and extremely detailed. We hope you find it interessant and benefical. We also hope you share your thoughts on it or on any other publication you can download here.
Good lecture!
The present book discusses multiple aspects of stochastic process theory.
CONTENTS
Preface vi
Chapter 1. Stochastic processes: prerequisites
1. Conditional expectation
2. Lemma of Borel-Cantelli
3. Stochastic processes and projective systems of measures
4. A definition of Brownian motion
5. Martingales and related processes
Chapter 2. Renewal theory and Markov chains
1. Renewal theory
2. Sorne additional comments on Markov processes
3. More on Brownian motion
4. Gaussian vectors.
5. Radon-Nikodym Theorem
6. Sorne martingales
Chapter 3. An introduction to stochastic processes: Brownian motion,
Gaussian processes and martingales
1. Gaussian processes
2. Brownian motion and related processes
3. Many results on Feller semigroups, on the martingale problem and on Markov processes,
4. Martingales, semimartingales, supermartingales and submartingales
5. Regularity properties of stochastic processes
6. Stochastic integrals, lt-o's formula
7. Black-Scholes model
8. An Ornstein-Uhlenbeck process in higher dimensions
9. A version of Fernique's theorem
10. Miscellaneous
Bibliography
Index
Good lecture!
The present book discusses multiple aspects of stochastic process theory.
CONTENTS
Preface vi
Chapter 1. Stochastic processes: prerequisites
1. Conditional expectation
2. Lemma of Borel-Cantelli
3. Stochastic processes and projective systems of measures
4. A definition of Brownian motion
5. Martingales and related processes
Chapter 2. Renewal theory and Markov chains
1. Renewal theory
2. Sorne additional comments on Markov processes
3. More on Brownian motion
4. Gaussian vectors.
5. Radon-Nikodym Theorem
6. Sorne martingales
Gaussian processes and martingales
1. Gaussian processes
2. Brownian motion and related processes
3. Many results on Feller semigroups, on the martingale problem and on Markov processes,
4. Martingales, semimartingales, supermartingales and submartingales
5. Regularity properties of stochastic processes
6. Stochastic integrals, lt-o's formula
7. Black-Scholes model
8. An Ornstein-Uhlenbeck process in higher dimensions
9. A version of Fernique's theorem
10. Miscellaneous
Bibliography
Index
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2019 - Advanced stochastic processes Part I
2019 - Advanced stochastic processes Part II
Keywords: maths, stochastic, english ebooks
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