Random Processes : First-Passage and Escape
Material type: TextPublication details: World Scientific Singapore 2018Description: xvi, 372 pagesISBN:- 9789813225312
- 519.23 MAS/R
Contents:
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.
Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
---|---|---|---|---|---|---|---|
Reference | IIIT Kottayam Central Library Reference | 519.23 MAS/R (Browse shelf(Opens below)) | Not For Loan | 2143 | |||
Reference | IIIT Kottayam Central Library Reference | 519.23 MAS/R (Browse shelf(Opens below)) | Not For Loan | 2144 |
Total holds: 0
Browsing IIIT Kottayam Central Library shelves, Shelving location: Reference Close shelf browser (Hides shelf browser)
519.22 SHR/S.1 Stochastic Calculus for Finance I :The Binomial Asset Pricing Models | 519.22 SHR/S.2 Stochastic Calculus for Finance II :The Binomial Asset Pricing Models | 519.22 ZHE/P Proceedings of the First International Forum on Financial Mathematics and Financial Technology | 519.23 MAS/R Random Processes : First-Passage and Escape | 519.23 MAS/R Random Processes : First-Passage and Escape | 519.5 CHA/S Statistical Algorithms | 519.5 GUP/F Fundamentals of Mathematical Statistics |
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.
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