An edition of Advanced stochastic processes: Part I (2013)

Advanced stochastic processes: Part I

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Last edited by ISBNbot2
August 22, 2020 | History
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An edition of Advanced stochastic processes: Part I (2013)

Advanced stochastic processes: Part I

by

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In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, and Brownian motion as a martingale. Brownian motion can also be considered as a functional limit of symmetric random walks, which is, to some extent, also discussed.

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Cover of: Advanced stochastic processes: Part I
Advanced stochastic processes: Part I
2013, Bookboon.com
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Book Details

Table of Contents

Content
1. Preface
2. Chapter 1. Stochastic processes: prerequisites
2.1. Conditional expectation
2.2. Lemma of Borel-Cantelli
2.3. Stochastic processes and projective systems of measures
2.4. A definition of Brownian motion
2.5. Martingales and related processes
3. Chapter 2. Renewal theory and Markov chains
3.1. Renewal theory
3.2. Some additional comments on Markov processes
3.3. More on Brownian motion
3.4. Gaussian vectors
3.5. Radon-Nikodym Theorem
3.6. Some martingales
4. Chapter 3. An introduction to stochastic processes: Brownian motion...
4.1. Gaussian processes
4.2. Brownian motion and related processes
4.3. Some results on Markov processes, on Feller semigroups and on the martingale problem
4.4. Martingales, submartingales, supermartingales and semimartingales
4.5. Regularity properties of stochastic processes
4.6. Stochastic integrals, Itˆo’s formula
4.7. Black-Scholes model
4.8. A version of Fernique’s theorem
4.9. Miscellaneous
5. Index

ID Numbers

Open Library
OL25705373M
ISBN 13
9788740303988

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Download catalog record: RDF / JSON / OPDS | Wikipedia citation
August 22, 2020 Edited by ISBNbot2 normalize ISBN
July 1, 2015 Edited by Alice Kirk Edited without comment.
July 1, 2015 Edited by Alice Kirk Added new cover
July 1, 2015 Edited by Alice Kirk Added new cover
July 1, 2015 Created by Alice Kirk Added new book.