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Exit Problems for Levy and Markov Processes with One-Sided Jumps and Related Topics

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Option Pricing and Estimation of Financial Models with R

series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets;

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Statistical Inference for Piecewise-deterministic Markov Processes

Piecewise-deterministic Markov processes form a class of stochastic models with a sizeable scope of applications: biology, insurance;

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Probability and Stochastics

measures, Levy Processes, Brownian motion, and Markov Processes. Special attention is paid to Poisson random measures and their roles;

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Statistical Topics and Stochastic Models for Dependent Data with Applications

corresponding applications. The main classes of stochastic processes for dependent data investigated throughout this book are Markov, semi-Markov;

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Understanding Markov Chains

This book provides an undergraduate-level introduction to discrete and continuous-time Markov chains and their applications, with a;

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Elements Of Stochastic Modelling

of probability theory and then covers the following topics: Markov chains, Markov decision processes, jump Markov processes, elements of queueing theory;

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Invariant Markov Processes Under Lie Group Actions

ways to represent such processes in the spirit of the classical Levy-Khinchin representation. It interweaves probability theory, topology, and;

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Probability and Random Processes

courses in mathematics, statistics, and science. It ends with material usually found at graduate level, for example, Markov processes, (including;

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Probability & Random Processes

courses in mathematics, statistics, and science. It ends with material usually found at graduate level, for example, Markov processes, (including;

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Levy Processes

are developed and then appear as key features in the study of the local times of real-valued Levy processes and in fluctuation theory. Levy;

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Applied Diffusion Processes from Engineering to Finance

to the different problems presented in the book. Advanced topics such as nonlinear problems, Levy processes and semi-Markov models;

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Basic Stochastic Processes

This book presents basic stochastic processes, stochastic calculus including Levy processes on one hand, and Markov and Semi Markov models;

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Pseudo Differential Operators And Markov Processes, Volume Iii

This volume concentrates on how to construct a Markov process by starting with a suitable pseudo-differential operator. Feller processes;

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Markov Renewal and Piecewise Deterministic Processes

of the PDMP is replaced with a Markov process. Marked point processes play a key role throughout this book.;

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Student's t-Distribution and Related Stochastic Processes

distribution. These results allow us to define and analyse Student-Levy processes as Thorin subordinated Gaussian Levy processes. A broad class of one;

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Hidden Markov Processes

, such as ergodicity of Markov processes, Markov Chain Monte Carlo (MCMC), information theory, and large deviation theory for both i.i.d and;

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Large Deviations

) diffusions with small noise and the exit problem, (ii) large time behavior of Markov processes and their connection to the Feynman-Kac formula and;

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Levy Processes in Credit Risk

This book is an introductory guide to using Levy processes for credit risk modelling. It covers all types of credit derivatives: from the;

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Modern Trends in Controlled Stochastic Processes:

methods for Markov and semi-Markov decision processes, optimal stopping of Markov processes, stochastic games, problems with partial information;

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Levy Processes & Stochastic Calculus

; necessary and sufficient conditions for Levy processes to have finite moments; characterisation of Levy processes with finite variation; Kunita's;

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High Dimensional Probability III

of empirical processes and other topics in theoretical statistics and to a new approach to the study of aspects of Levy processes and Markov processes;

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Theory and Statistical Applications of Stochastic Processes

processes, martingales, Markov properties, continuity and related properties of trajectories with contemporary subjects: integration with respect to;

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An Introduction to Probability Theory and Its Applications, Volume 2

related to the substitution of probabilistic arguments for combinatorial artifices as well as new sections on branching processes, Markov chains;

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One Thousand Exercises in Probability

, Markov chains, convergence, stationary processes, renewals, queues, martingales, diffusions, Levy processes, stability and self-similarity, time;

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Elements of Stochastic Modelling

. The original text was developed from lecture notes for a one-semester course for third-year science and actuarial students at the University;

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Elements Of Stochastic Modelling

. The original text was developed from lecture notes for a one-semester course for third-year science and actuarial students at the University;

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