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#### Lectures on Stochastic Analysis: Diffusion Theory

Cambridge University Press 1987; US$ 32.00This book is based on a course given at Massachusetts Institute of Technology. more...

#### Random Walk in Random and Non-Random Environments

World Scientific Publishing Company 2013; US$ 112.00The simplest mathematical model of the Brownian motion of physics is the simple, symmetric random walk. This book collects and compares current results — mostly strong theorems which describe the properties of a random walk. The modern problems of the limit theorems of probability theory are treated in the simple case of coin tossing. Taking... more...

#### Markov Chains

Springer 2013; US$ 129.00This new edition of Markov Chains: Models, Algorithms and Applications has been completely reformatted as a text, complete with end-of-chapter exercises, a new focus on management science, new applications of the models, and new examples with applications in financial risk management and modeling of financial data.This book consists of eight chapters. ... more...

#### Schrödinger Equations and Diffusion Theory

Springer 2012; US$ 39.95Schrödinger Equations and Diffusion Theory addresses the question "What is the Schrödinger equation?" in terms of diffusion processes, and shows that the Schrödinger equation and diffusion equations in duality are equivalent. In turn, Schrödinger’s conjecture of 1931 is solved. The theory of diffusion processes for... more...

#### Matrix-Analytic Methods

World Scientific Publishing Company 2002; US$ 256.00Matrix-analytic methods are fundamental to the analysis of a family of Markov processes rich in structure and of wide applicability. They are extensively used in the modelling and performance analysis of computer systems, telecommunication networks, network protocols and many other stochastic systems of current commercial and engineering interest.This... more...

#### Markov Chains

Cambridge University Press 1997; US$ 48.00For students in pure and applied probability; lots of applications, fairly self-contained. more...

#### Functionals of Multidimensional Diffusions with Applications to Finance

Springer 2013; US$ 129.00This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows... more...

#### The Dynamics of Discrete Populations and Series of Events

CRC Press 2014; US$ 79.95Introduction References Statistical Preliminaries Introduction Probability Distributions Moment-Generating Functions Discrete Processes Series of Events Summary Further Reading Markovian Population Processes Introduction Births and Deaths Immigration and the Poisson Process The Effect of Measurement Correlation of Counts Summary Further Reading... more...

#### Risk Assessment and Evaluation of Predictions

Springer 2013; US$ 169.00Methods of risk analysis and the outcome of particular evaluations and predictions are covered in detail in this proceedings volume, whose contributions are based on invited presentations from Professor Mei-Ling Ting Lee's 2011 symposium on Risk Analysis and the Evaluation of Predictions. This symposium was held at the University of Maryland in October... more...

#### Semigroups, Boundary Value Problems and Markov Processes

Springer 2014; US$ 149.00A careful and accessible exposition of functional analytic methods in stochastic analysis is provided in this book. It focuses on the interrelationship between three subjects in analysis: Markov processes, semi groups and elliptic boundary value problems. The author studies a general class of elliptic boundary value problems for second-order, Waldenfels... more...