Theory of Stochastic Processes - Problem Books in Mathematics
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Published By Springer New York

9780387878614, 9780387878621
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Optimal stopping of random sequences and processes

2009 ◽  
pp. 229-240
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Optimal Stopping ◽  
Random Sequences

Markov and diffusion processes

2009 ◽  
pp. 175-192
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Diffusion Processes ◽  
And Diffusion

Renewal theory. Queueing theory

2009 ◽  
pp. 159-173
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Queueing Theory ◽  
Renewal Theory

Basic functionals of the risk theory

2009 ◽  
pp. 327-357
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Risk Theory

Stationary discrete- and continuous-time processes. Stochastic integral over measure with orthogonal values

2009 ◽  
pp. 107-127
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Continuous Time ◽  
Stochastic Integral ◽  
Continuous Time Processes

Trajectories. Modifications. Filtrations

2009 ◽  
pp. 21-32
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko

Stochastic processes in financial mathematics (continuous time)

2009 ◽  
pp. 315-326
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Stochastic Processes ◽  
Continuous Time ◽  
Financial Mathematics

Stochastic differential equations

2009 ◽  
pp. 215-228
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations

Itô stochastic integral. Itô formula. Tanaka formula

2009 ◽  
pp. 193-213
Author(s):  
Dmytro Gusak ◽  
Alexander Kukush ◽  
Alexey Kulik ◽  
Yuliya Mishura ◽  
Andrey Pilipenko
Keyword(s):  
Stochastic Integral ◽  
Itô Formula ◽  
Ito Formula ◽  
Tanaka Formula
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