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.