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This edition contains detailed solutions of selected exercises. Many readers have requested this, because it makes the book more suitable for self-study. At the same time new …
Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly …
The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump …
In this revised and extended version of his course notes from a 1-year course at Scuola Normale Superiore, Pisa, the author provides an introduction – for an audience knowing basic …
It is commonly believed that chaos is linked to non-linearity, however many (even quite natural) linear dynamical systems exhibit chaotic behavior. The study of these systems is a …
Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background …
The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-driven queues. The objective is to …
This text is an introduction to the spectral theory of the Laplacian on compact or finite area hyperbolic surfaces. For some of these surfaces, called “arithmetic hyperbolic …
This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation …
This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals …