Steven Shreve: Stochastic Calculus and Finance P RASAD C HALASANI Carnegie Mellon University [email protected] S OMESH J HA Carnegie Mellon University [email protected] THIS…
Lectures on Stochastic Analysis Thomas G. Kurtz Departments of Mathematics and Statistics University of Wisconsin - Madison Madison, WI 53706-1388 Revised September 7, 2001…
1 Markov chains Summary. The chapter begins with an introduction to discrete-time Markov chains, and to the use of matrix products and linear alge- bra in their study. The…
Stochastic Differential Equations Lecture notes for courses given at Humboldt University Berlin and University of Heidelberg Markus Reiß Institute of Applied Mathematics…