EXERCISES IN PROBABILITY A GUIDED TOUR FROM MEASURE THEORY TO RANDOM PROCESSES VIA CONDITIONING CAMBRIDGE SERIES IN STATISTICAL AND PROBABILISTIC MATHEMATICS

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Exercises In Probability

Author : Loïc Chaumont
ISBN : 9781107606555
Genre : Mathematics
File Size : 59.80 MB
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Over 100 exercises with detailed solutions, insightful notes and references for further reading. Ideal for beginning researchers.
Category: Mathematics

Exercises In Probability

Author : L. Chaumont
ISBN : 0521825857
Genre : Mathematics
File Size : 54.56 MB
Format : PDF
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This book was first published in 2003. Derived from extensive teaching experience in Paris, this book presents around 100 exercises in probability. The exercises cover measure theory and probability, independence and conditioning, Gaussian variables, distributional computations, convergence of random variables, and random processes. For each exercise the authors have provided detailed solutions as well as references for preliminary and further reading. There are also many insightful notes to motivate the student and set the exercises in context. Students will find these exercises extremely useful for easing the transition between simple and complex probabilistic frameworks. Indeed, many of the exercises here will lead the student on to frontier research topics in probability. Along the way, attention is drawn to a number of traps into which students of probability often fall. This book is ideal for independent study or as the companion to a course in advanced probability theory.
Category: Mathematics

Spatial Branching In Random Environments And With Interaction

Author : Englander Janos
ISBN : 9789814569859
Genre : Mathematics
File Size : 60.48 MB
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This unique volume discusses some recent developments in the theory of spatial branching processes and superprocesses, with special emphasis on spines, Laws of Large Numbers, interactions and random media.Although this book is mainly written for mathematicians, the models discussed are relevant to certain models in population biology, and are thus hopefully interesting to the applied mathematician/biologist as well.The necessary background material in probability and analysis is provided in a comprehensive introductory chapter. Historical notes and several exercises are provided to complement each chapter.
Category: Mathematics

Option Prices As Probabilities

Author : Christophe Profeta
ISBN : 3642103952
Genre : Mathematics
File Size : 86.56 MB
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Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?
Category: Mathematics

S Minaire De Probabilit S Xlii

Author : Catherine Donati-Martin
ISBN : 9783642017636
Genre : Mathematics
File Size : 79.51 MB
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This book offers an introduction to rough paths. Coverage also includes the interface between analysis and probability to special processes, Lévy processes and Lévy systems, representation of Gaussian processes, filtrations and quantum probability.
Category: Mathematics

Random Times And Enlargements Of Filtrations In A Brownian Setting

Author : Roger Mansuy
ISBN : 9783540294078
Genre : Mathematics
File Size : 79.12 MB
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In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the contents of that course, covering expansion of filtration formulae; BDG inequalities up to any random time; martingales that vanish on the zero set of Brownian motion; the Azéma-Emery martingales and chaos representation; the filtration of truncated Brownian motion; attempts to characterize the Brownian filtration. The book accordingly sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind. It is accessible to researchers and graduate students working in stochastic calculus and excursion theory, and more broadly to mathematicians acquainted with the basics of Brownian motion.
Category: Mathematics

Problems In Probability

Author : Albert N. Shiryaev
ISBN : 9781461436881
Genre : Mathematics
File Size : 72.79 MB
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For the first two editions of the book Probability (GTM 95), each chapter included a comprehensive and diverse set of relevant exercises. While the work on the third edition was still in progress, it was decided that it would be more appropriate to publish a separate book that would comprise all of the exercises from previous editions, in addition to many new exercises. Most of the material in this book consists of exercises created by Shiryaev, collected and compiled over the course of many years while working on many interesting topics. Many of the exercises resulted from discussions that took place during special seminars for graduate and undergraduate students. Many of the exercises included in the book contain helpful hints and other relevant information. Lastly, the author has included an appendix at the end of the book that contains a summary of the main results, notation and terminology from Probability Theory that are used throughout the present book. This Appendix also contains additional material from Combinatorics, Potential Theory and Markov Chains, which is not covered in the book, but is nevertheless needed for many of the exercises included here.
Category: Mathematics

S Minaire De Probabilit S Xliii

Author : Catherine Donati Martin
ISBN : 9783642152177
Genre : Mathematics
File Size : 61.67 MB
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This is a new volume of the Séminaire de Probabilités which is now in its 43rd year. Following the tradition, this volume contains about 20 original research and survey articles on topics related to stochastic analysis. It contains an advanced course of J. Picard on the representation formulae for fractional Brownian motion. The regular chapters cover a wide range of themes, such as stochastic calculus and stochastic differential equations, stochastic differential geometry, filtrations, analysis on Wiener space, random matrices and free probability, as well as mathematical finance. Some of the contributions were presented at the Journées de Probabilités held in Poitiers in June 2009.
Category: Mathematics

Exercises In Probability

Author : T. Cacoullos
ISBN : 9781461245261
Genre : Mathematics
File Size : 88.38 MB
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The author, the founder of the Greek Statistical Institute, has based this book on the two volumes of his Greek edition which has been used by over ten thousand students during the past fifteen years. It can serve as a companion text for an introductory or intermediate level probability course. Those will benefit most who have a good grasp of calculus, yet, many others, with less formal mathematical background can also benefit from the large variety of solved problems ranging from classical combinatorial problems to limit theorems and the law of iterated logarithms. It contains 329 problems with solutions as well as an addendum of over 160 exercises and certain complements of theory and problems.
Category: Mathematics

Internationale Mathematische Nachrichten

Author :
ISBN : CORNELL:31924099691044
Genre : Mathematics
File Size : 78.5 MB
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Issues for Dec. 1952- include section: Nachrichten der Österreichischen Mathematischen Gesellschaft.
Category: Mathematics