Stochastic processes /

"This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for indivi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Bass, Richard F.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge ; New York : Cambridge University Press, 2011.
Colección:Cambridge series on statistical and probabilistic mathematics ; 33.
Temas:
Stochastic analysis.
Stochastic processes.
Stochastic Processes
Analyse stochastique.
Processus stochastiques.
MATHEMATICS > Probability & Statistics > General.
MATHEMATICS > Probability & Statistics > Stochastic Processes.
Procesos estocásticos
Stochastic processes
Stochastic analysis
Stochastischer Prozess
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 1. Basic notions
  • 2. Brownian motion
  • 3. Martingales
  • 4. Markov properties of Brownian motion
  • 5. The Poisson process
  • 6. Construction of Brownian motion
  • 7. Path properties of Brownian motion
  • 8. The continuity of paths
  • 9. Continuous semimartingales
  • 10. Stochastic integrals
  • 11. Itô's formula
  • 12. Some applications of Itô's formula
  • 13. The Girsanov theorem
  • 14. Local times
  • 15. Skorokhod embedding
  • 16. The general theory of processes
  • 17. Processes with jumps
  • 18. Poisson point processes
  • 19. Framework for Markov processes
  • 20. Markov properties
  • 21. Applications of the Markov properties
  • 22. Transformations of Markov processes
  • 23. Optimal stopping
  • 24. Stochastic differential equations
  • 25. Weak solutions of SDEs
  • 26. The Ray-Knight theorems
  • 27. Brownian excursions
  • 28. Financial mathematics
  • 29. Filtering
  • 30. Convergence of probability measures
  • 31. Skorokhod representation
  • 32. The space C[0, 1]
  • 33. Gaussian processes
  • 34. The space D[0, 1]
  • 35. Applications of weak convergence
  • 36. Semigroups
  • 37. Infinitesimal generators
  • 38. Dirichlet forms
  • 39. Markov processes and SDEs
  • 40. Solving partial differential equations
  • 41. One-dimensional diffusions
  • 42. Lévy processes
  • Appendices: A. Basic probability; B. Some results from analysis; C. Regular conditional probabilities; D. Kolmogorov extension theorem.

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