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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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, ...
Lee mas
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. ...
Lee mas
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 ...
Lee mas
Stochastic Control of Hereditary Systems and Applications
This research monograph develops the Hamilton-Jacobi-Bellman (HJB) theory through dynamic programming principle for a class ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
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 ...
Lee mas
Univariate Stable Distributions
This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and ...
Lee mas
