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Mathematics - Probability Theory and Stochastic Processes | Theory of Stochastic Processes - With Applications to Financial Mathematics and Risk Theory

Theory of Stochastic Processes

With Applications to Financial Mathematics and Risk Theory

Gusak, D., Kukush, A., Kulik, A., Mishura, Y., Pilipenko, A.

2010, XII, 376p. 8 illus..

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  • Contains over 1000 high quality exercises on stochastic processes
  • Presents a modern approach to topics such as sample paths and optimal stopping
  • Ideal for professors who need exercises for exams, and graduate students wishing to learn about stochastic processes

This book is a collection of exercises covering all the main topics in the modern theory of stochastic processes and its applications, including finance, actuarial mathematics, queuing theory, and risk theory.

 

The aim of this book is to provide the reader with the theoretical and practical material necessary for deeper understanding of the main topics in the theory of stochastic processes and its related fields.

 

The book is divided into chapters according to the various topics. Each chapter contains problems, hints, solutions, as well as a self-contained theoretical part which gives all the necessary material for solving the problems. References to the literature are also given.

 

The exercises have various levels of complexity and vary from simple ones, useful for students studying basic notions and technique, to very advanced ones that reveal some important theoretical facts and constructions.

 

This book is one of the largest collections of problems in the theory of stochastic processes and its applications. The problems in this book can be useful for undergraduate and graduate students, as well as for specialists in the theory of stochastic processes.

Content Level » Graduate

Keywords » Gaussian process - Markov chain - Martingale - Poisson process - Stochastic Differential Equations - Stochastic Processes - diffusion process - filtration - finite-dimensional distribution - queueing theory - renewal theory - stochastic process

Related subjects » Business, Economics & Finance - Probability Theory and Stochastic Processes

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