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Viser: Basic Stochastic Processes - A Course Through Exercises
Basic Stochastic Processes
A Course Through Exercises
Zdzislaw Brzezniak og Tomasz Zastawniak
(1998)
Sprog: Engelsk
om ca. 15 hverdage
Detaljer om varen
- 1. Udgave
- Paperback
- Udgiver: Springer London, Limited (Oktober 1998)
- Forfattere: Zdzislaw Brzezniak og Tomasz Zastawniak
- ISBN: 9783540761754
1.1 Events and Probability.-
1.2 Random Variables.-
1.3 Conditional Probability and Independence.-
1.4 Solutions.-
2. Conditional Expectation.-
2.1 Conditioning on an Event.-
2.2 Conditioning on a Discrete Random Variable.-
2.3 Conditioning on an Arbitrary Random Variable.-
2.4 Conditioning on a ?-Field.-
2.5 General Properties.-
2.6 Various Exercises on Conditional Expectation.-
2.7 Solutions.-
3. Martingales in Discrete.-
3.1 Sequences of Random Variables.-
3.2 Filtrations.-
3.3 Martingales.-
3.4 Games of Chance.-
3.5 Stopping Times.-
3.6 Optional Stopping Theorem.-
3.7 Solutions.-
4. Martingale Inequalities and Convergence.-
4.1 Doob's Martingale Inequalities.-
4.2 Doob's Martingale Convergence Theorem.-
4.3 Uniform Integrability and L1 Convergence of Martingales.-
4.4 Solutions.-
5. Markov Chains.-
5.1 First Examples and Definitions.-
5.2 Classification of States.-
5.3 Long-Time Behaviour of Markov Chains: General Case.-
5.4 Long-Time Behaviour of MarkovChains with Finite State Space.-
5.5 Solutions.-
6. Stochastic Processes in Continuous Time.-
6.1 General Notions.-
6.2 Poisson Process.-
6.3 Brownian Motion.-
6.4 Solutions.-
7. Itô Stochastic Calculus.-
7.1 Itô Stochastic Integral: Definition.-
7.2 Examples.-
7.3 Properties of the Stochastic Integral.-
7.4 Stochastic Differential and Itô Formula.-
7.5 Stochastic Differential Equations.-
7.6 Solutions.