Malliavin Calculus for Lévy Processes with Applications to Finance
While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential ...
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Markov Processes, Brownian Motion, and Time Symmetry
The book consists of two parts. Part I,This part introduces strong Markov processes and their potential theory. In particular,it ...
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Random Times and Enlargements of Filtrations in a Brownian Setting
In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the ...
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Seminar on Stochastic Analysis, Random Fields and Applications V : Centro Stefano Franscini, Ascona, May 2005
This volume contains twenty-eight refereed research or review papers presented at the 5th Seminar on Stochastic Processes, ...
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Stochastic Calculus for Fractional Brownian Motion and Applications
Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. ...
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Stochastic Calculus for Fractional Brownian Motion and Related Processes
The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics ...
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Stochastic Control of Hereditary Systems and Applications
This research monograph develops the Hamilton-Jacobi-Bellman (HJB) theory through dynamic programming principle for a class ...
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Séminaire de Probabilités XL = XL Probability Seminar
Two noteworthy features of the 40th volume of the Séminaire de Probabilités are L. Coutin’s advanced course on calculus ...
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Séminaire de Probabilités XLI
Stochastic processes are as usual the main subject of the Séminaire, with contributions on Brownian motion (fractional or ...
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Séminaire de Probabilités XXXVIII
Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités contains contributions ...
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The Art of Random Walks
Einstein proved that the mean square displacement of Brownian motion is proportional to time. He also proved that the diffusion ...
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The Brownian Motion : A Rigorous but Gentle Introduction for Economists
This textbook is the first to provide Business and Economics with a precise and intuitive introduction to the formal backgrounds ...
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The Lace Expansion and its Applications
The lace expansion is a powerful and flexible method for understanding the critical scaling of several models of interest ...
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The Lace Expansion and its Applications
The lace expansion is a powerful and flexible method for understanding the critical scaling of several models of interest ...
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The Malliavin Calculus and Related Topics
In Chapter 1, the derivative and divergence operators are introduced in the framework of an isonormal Gaussian process associated ...
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The Malliavin Calculus and Related Topics
In Chapter 1, the derivative and divergence operators are introduced in the framework of an isonormal Gaussian process associated ...
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Theory of Probability and Random Processes
A one-year course in probability theory and the theory of random processes, taught at Princeton University to undergraduate ...
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Theory of Stochastic Differential Equations with Jumps and Applications
This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It ...
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Univariate Stable Distributions
This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and ...
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