Problem Books in Mathematics

Theory of Stochastic Processes

With Applications to Financial Mathematics and Risk Theory

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

  • 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
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Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-0-387-87862-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
  • ISBN 978-0-387-87861-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
price for USA
  • ISBN 978-1-4614-2506-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

Reviews

From the reviews:

“Chapter deals with the statistics of stochastic processes, mainly hypotheses testing, a relatively uncommon subject. … The major strength of this problem book is the breadth and depth of coverage that five experts in their respective subfields condensed in only 375 pages. … the book is a valuable addition to the literature on stochastic processes. … any course in stochastics at the advanced undergraduate or beginning to intermediate graduate level is almost sure to interest its table of contents substantially.” (Giuseppe Castellacci, Mathematical Reviews, Issue 2011 f)

“Advanced undergraduates and postgraduates in mathematics, and teaching staff at these levels. This is a book in the Springer series on Problem Books in Mathematics, presenting a series of problems … . Each of the 20 chapters in this book has a condensed outline of the topic being considered, a bibliography, the problems, and then hints or solutions to most of the problems.” (David J. Hand, International Statistical Review, Vol. 78 (3), 2010)

“This book provides a collection of more than 800 problems for the theory of stochastic processes. It is divided into 20 chapters that cover different aspects of this theory. … this compilation is new in its broadness and completeness for the theory of stochastic processes and is well suited for students in their self-studies as well as lecturers to prepare their classes in this field of probability theory.” (Claudia Hein, Zentralblatt MATH, Vol. 1189, 2010)

“Each chapter consists of a brief review of theory followed by … a list of problems, hints (for the solution of) pertaining to most of the problems in the chapter, and a section giving ‘Answers and Solutions’ for many but not necessarily all problems. … It might also be used in seminars or in advanced topics courses. … There is also a set of graphical representations of various stochastic processes. … an excellent contribution and anyone who works through the problems will be well rewarded.” (Donald E. Myers, Technometrics, Vol. 53 (3), August, 2011)


Table of contents (20 chapters)

  • Definition of stochastic process. Cylinder σ-algebra, finite-dimensional distributions, the Kolmogorov theorem

    Gusak, Dmytro (et al.)

    Pages 1-10

  • Characteristics of a stochastic process. Mean and covariance functions. Characteristic functions

    Gusak, Dmytro (et al.)

    Pages 11-19

  • Trajectories. Modifications. Filtrations

    Gusak, Dmytro (et al.)

    Pages 21-32

  • Continuity. Differentiability. Integrability

    Gusak, Dmytro (et al.)

    Pages 33-42

  • Stochastic processes with independent increments. Wiener and Poisson processes. Poisson point measures

    Gusak, Dmytro (et al.)

    Pages 43-58

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-0-387-87862-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
  • ISBN 978-0-387-87861-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
price for USA
  • ISBN 978-1-4614-2506-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Theory of Stochastic Processes
Book Subtitle
With Applications to Financial Mathematics and Risk Theory
Authors
Series Title
Problem Books in Mathematics
Copyright
2010
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-0-387-87862-1
DOI
10.1007/978-0-387-87862-1
Hardcover ISBN
978-0-387-87861-4
Softcover ISBN
978-1-4614-2506-9
Series ISSN
0941-3502
Edition Number
1
Number of Pages
XII, 376
Number of Illustrations and Tables
8 b/w illustrations
Topics