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Theory of Stochastic Processes

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Cover of 'Theory of Stochastic Processes'

Table of Contents

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    Book Overview
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    Chapter 1 Definition of stochastic process. Cylinder σ-algebra, finite-dimensional distributions, the Kolmogorov theorem
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    Chapter 2 Characteristics of a stochastic process. Mean and covariance functions. Characteristic functions
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    Chapter 3 Trajectories. Modifications. Filtrations
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    Chapter 4 Continuity. Differentiability. Integrability
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    Chapter 5 Stochastic processes with independent increments. Wiener and Poisson processes. Poisson point measures
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    Chapter 6 Gaussian processes
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    Chapter 7 Martingales and related processes in discrete and continuous time. Stopping times
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    Chapter 8 Stationary discrete- and continuous-time processes. Stochastic integral over measure with orthogonal values
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    Chapter 9 Prediction and interpolation
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    Chapter 10 Markov chains: Discrete and continuous time
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    Chapter 11 Renewal theory. Queueing theory
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    Chapter 12 Markov and diffusion processes
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    Chapter 13 Itô stochastic integral. Itô formula. Tanaka formula
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    Chapter 14 Stochastic differential equations
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    Chapter 15 Optimal stopping of random sequences and processes
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    Chapter 16 Measures in a functional spaces. Weak convergence, probability metrics. Functional limit theorems
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    Chapter 17 Statistics of stochastic processes
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    Chapter 18 Stochastic processes in financial mathematics (discrete time)
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    Chapter 19 Stochastic processes in financial mathematics (continuous time)
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    Chapter 20 Basic functionals of the risk theory
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Citations

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Readers on

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16 Mendeley
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Title
Theory of Stochastic Processes
Published by
Springer Science & Business Media, July 2010
DOI 10.1007/978-0-387-87862-1
ISBNs
978-0-387-87862-1, 978-0-387-87861-4
Authors

Dmytro Gusak, Alexander Kukush, Alexey Kulik, Yuliya Mishura, Andrey Pilipenko, Gusak, Dmytro, Kukush, Alexander, Kulik, Alexey, Mishura, Yuliya, Pilipenko, Andrey

Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 16 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Germany 1 6%
Unknown 15 94%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 1 6%
Student > Postgraduate 1 6%
Unknown 14 88%
Readers by discipline Count As %
Mathematics 1 6%
Earth and Planetary Sciences 1 6%
Unknown 14 88%