Lectures on Stochastic Analysis
by Thomas G. Kurtz
Publisher: University of Wisconsin 2007
Number of pages: 119
The course will introduce stochastic integrals with respect to general semimartingales, stochastic differential equations based on these integrals, integration with respect to Poisson random measures, stochastic differential equations for general Markov processes, change of measure, and applications to finance, filtering and control. The intention has been to state the theorems correctly with all hypotheses, but no attempt has been made to include detailed proofs.
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by Luc Devroye - Springer
The book on small field on the crossroads of statistics, operations research and computer science. The applications of random number generators are wide and varied. The study of non-uniform random variates is precisely the subject area of the book.
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The bulk of the articles in this volume are research articles in probability, statistics, gambling, game theory, Markov decision processes, set theory and logic, comparison of experiments, games of timing, merging of opinions, etc.
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Written for graduate students of mathematics, physics, electrical engineering, and finance. The students are expected to know the basics of point set topology up to Tychonoff's theorem, general integration theory, and some functional analysis.
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