Format:
Online-Ressource (XII, 376p. 8 illus, digital)
Edition:
1
ISBN:
9780387878621
Series Statement:
Problem Books in Mathematics
Content:
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.
Content:
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.
Note:
Description based upon print version of record
,
""Preface""; ""Contents""; ""Definition of stochastic process. Cylinder -algebra, finite-dimensional distributions, the Kolmogorov theorem""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Characteristics of a stochastic process. Mean and covariance functions. Characteristic functions""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Trajectories. Modifications. Filtrations""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""
,
""Continuity. Differentiability. Integrability""""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Stochastic processes with independent increments. Wiener and Poisson processes. Poisson point measures""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Gaussian processes""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Martingales and related processes in discrete and continuous time. Stopping times""; ""Theoretical grounds""; ""Bibliography""
,
""Problems""""Hints""; ""Answers and Solutions""; ""Stationary discrete- and continuous-time processes. Stochastic integral over measure with orthogonal values""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Prediction and interpolation""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Markov chains: Discrete and continuous time""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Renewal theory. Queueing theory""; ""Theoretical grounds""
,
""Bibliography""""Problems""; ""Hints""; ""Answers and Solutions""; ""Markov and diffusion processes""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""ItÃ? stochastic integral. ItÃ? formula. Tanaka formula""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Stochastic differential equations""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Optimal stopping of random sequences and processes""; ""Theoretical grounds""; ""Bibliography""; ""Problems""
,
""Hints""""Answers and Solutions""; ""Measures in a functional spaces. Weak convergence, probability metrics. Functional limit theorems""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Statistics of stochastic processes""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Stochastic processes in financial mathematics (discrete time)""; ""Theoretical grounds""; ""Bibliography""; ""Problems""; ""Hints""; ""Answers and Solutions""; ""Stochastic processes in financial mathematics (continuous time)""
,
""Theoretical grounds""
Additional Edition:
ISBN 9780387878614
Additional Edition:
Buchausg. u.d.T. Theory of stochastic processes New York : Springer, 2010 ISBN 9780387878614
Language:
English
Subjects:
Economics
,
Mathematics
Keywords:
Stochastischer Prozess
;
Stochastischer Prozess
DOI:
10.1007/978-0-387-87862-1
URL:
Volltext
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URL:
Volltext
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