Random Processes : First-Passage and Escape
Masoliver Jaume,
Random Processes : First-Passage and Escape - Singapore World Scientific 2018 - xvi, 372 pages ;
Fundamentals of probability -- Random processes: definitions and general properties -- Markov processes -- Diffusion processes -- Fokker-Planck equations in several dimensions -- Linear response theory -- Introduction to stochastic calculus -- Stochastic differential equations -- Some financial applications -- First-passage, escape and extremes -- The level crossing problem for diffusion processes -- First-passage and extremes in socio-economic systems.
9789813225312
Stochastic processes.
519.23 / MAS/R
Random Processes : First-Passage and Escape - Singapore World Scientific 2018 - xvi, 372 pages ;
Fundamentals of probability -- Random processes: definitions and general properties -- Markov processes -- Diffusion processes -- Fokker-Planck equations in several dimensions -- Linear response theory -- Introduction to stochastic calculus -- Stochastic differential equations -- Some financial applications -- First-passage, escape and extremes -- The level crossing problem for diffusion processes -- First-passage and extremes in socio-economic systems.
9789813225312
Stochastic processes.
519.23 / MAS/R