Stochastics

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classica...

This book offers accessible probabilistic modelling of relevant financial problems. It is divided into two parts. The first part (cookbook) is writ...

This book offers accessible probabilistic modelling of relevant financial problems. It is divided into two parts. The first part (cookbook) is writ...

The theory of large deviations deals with rates at which probabilities of certain events decay as a natural parameter in the problem varies. This b...

In many branches of science relevant observations are taken sequentially over time. Bayesian Analysis of Time Series discusses how to use models th...

This book offers an intuitive approach to random processes and educates the reader on how to interpret and predict their behavior. Premised on the ...

Probability comes of age with this, the first dictionary of probability and its applications in English, which supplies a guide to the concepts and...

This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Exis...

This state-of-the-art account unifies material developed in journal articles over the last 35 years, with two central thrusts: It describes a broad...

This friendly guide is the companion you need to convert pure mathematics into understanding and facility with a host of probabilistic tools. The b...

The theory of semigroups of operators is one of the most important themes in modern analysis. Not only does it have great intellectual beauty, but ...

Probability theory has diverse applications in a plethora of fields, including physics, engineering, computer science, chemistry, biology and econo...

Multi-scale systems, involving complex interacting processes that occur over a range of temporal and spatial scales, are present in a broad range o...

From the Preface: Srinivasa Varadhan began his research career at the Indian Statistical Institute (ISI), Calcutta, where he started as a graduate ...

This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The material of the book has grown out of ...

The importance of knowledge consists not only in its direct practical utility but also in the fact the it promotes a widely contemplative habit of ...

Kolmogorov equations are a fundamental bridge between the theory of partial differential equations and that of stochastic differential equations th...

Based on a well-established and popular course taught by the authors over many years, Stochastic Processes: An Introduction, Third Edition, discuss...

This is a thoroughly revised and expanded third edition of a successful university textbook that provides a broad introduction to key areas of stoc...

This is a thoroughly revised and expanded third edition of a successful university textbook that provides a broad introduction to key areas of stoc...

This is a thoroughly revised and expanded third edition of a successful university textbook that provides a broad introduction to key areas of stoc...

This third edition is a revised, updated, and greatly expanded version of previous edition of 2001. The 1300+ exercises contained within are not me...

Technical analysis points out that the best source of information to beat the market is the price itself. Introducing readers to technical analysis...

This textbook offers a complete one-semester course in probability, covering the essential topics necessary for further study in the areas of proba...

Encompassing both introductory and more advanced research material, these notes deal with the author's contributions to stochastic processes and fo...

Now in its second edition, this popular textbook on game theory is unrivalled in the breadth of its coverage, the thoroughness of technical explana...

This friendly guide is the companion you need to convert pure mathematics into understanding and facility with a host of probabilistic tools. The b...

This book provides an overview on stochastic optimization and its application in the Energy Industry. Special focus is given on hydro-thermal sched...

Stochastic Methods in Scientific Computing: From Foundations to Advanced Techniques introduces the reader to advanced concepts in stochastic modell...

Targeted at graduate students, researchers and practitioners in the field of science and engineering, this book gives a self-contained introduction...

Praise for the First Edition . . . an excellent textbook . . . well organized and neatly written. Mathematical Reviews . . . amazingly interesting ...

This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economic...