Theory of stochastic processes : with applications to financial mathematics and risk theory
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...
Kaydedildi:
| Asıl Yazarlar: | , , , , |
|---|---|
| Materyal Türü: | Livre numérique |
| Dil: | Anglais |
| Baskı/Yayın Bilgisi: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| Edisyon: | 1. |
| Seri Bilgileri: | Problem Books in Mathematics
|
| Online Erişim: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Not: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Theory of stochastic processes, with applications to financial mathematics and risk theory, Dmytro Gusak, Alexander Kukush, Alexey Kulik, ... [et al.], 2010, New York, Springer, 1 vol. (XII-375 p.), Problem books in mathematics, 978-0-387-87861-4 • Theory of Stochastic Processes, Texte imprimé, 9781461425069 • Theory of Stochastic Processes, Texte imprimé, 9780387879376 • Theory of Stochastic Processes, Texte imprimé, 9781071605165 |
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| 082 | |a 519.2 | ||
| 100 | 1 | |a Gusak, Dmytro. | |
| 245 | 1 | 0 | |a Theory of stochastic processes : |b with applications to financial mathematics and risk theory |c by Dmytro Gusak, Alexander Kukush, Alexey Kulik, Yuliya Mishura, Andrey Pilipenko. |
| 250 | |a 1. | ||
| 260 | |a New York, NY : |b Springer New York. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Problem Books in Mathematics |x 2197-8506 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a 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 | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 | ||
| 700 | 1 | |a Kukush, Alexander. |4 aut | |
| 700 | 1 | |a Kulik, Alexey. |4 aut | |
| 700 | 1 | |a Mishura, Yuliya S., |d 1952- |4 aut | |
| 700 | 1 | |a Pilipenko, Andrey. |4 aut | |
| 776 | 0 | |0 143101234 |t Theory of stochastic processes |o with applications to financial mathematics and risk theory |f Dmytro Gusak, Alexander Kukush, Alexey Kulik, ... [et al.] |d 2010 |c New York |n Springer |p 1 vol. (XII-375 p.) |s Problem books in mathematics |z 978-0-387-87861-4 | |
| 776 | 0 | |t Theory of Stochastic Processes |b Texte imprimé |z 9781461425069 | |
| 776 | 0 | |t Theory of Stochastic Processes |b Texte imprimé |z 9780387879376 | |
| 776 | 0 | |t Theory of Stochastic Processes |b Texte imprimé |z 9781071605165 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-0-387-87862-1 |z Accès sur la plateforme de l'éditeur | |
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| 997 | |0 943390 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||