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Sannolikhetskalkyl & matematisk statistik
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This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim …
This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is …
This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is …
This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. …
This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. …
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial …
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial …
This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. A feature of the book is …