Our book introduces a method to evaluate the accuracy of trend estimation algorithms under conditions similar to those encountered in real time series processing. This method is based on Monte Carlo experiments with artificial time series numerically generated by an original algorithm. The second part of the book contains several automatic algorithms for trend estimation and time series partiti…
This book is an introduction into stochastic processes for physicists, biologists and financial analysts. Using an informal approach, all the necessary mathematical tools and techniques are covered, including the stochastic differential equations, mean values, probability distribution functions, stochastic integration and numerical modeling. Numerous examples of practical applications of the st…
Motivated by the many and long-standing contributions of H. Gerber and E. Shiu, this book gives a modern perspective on the problem of ruin for the classical Cramér–Lundberg model and the surplus of an insurance company. The book studies martingales and path decompositions, which are the main tools used in analysing the distribution of the time of ruin, the wealth prior to ruin and the defic…
No Inv.: 14126-14129/P/Perp/94/4c
This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximatio…
No Inv.: 461-462/P/Perp/94/2c
No Inv.: 4007-4009/P/Perp/95/3c
No Inv.: 840-841/BD/Perp/86/2c
No Inv.: 2452-2454/BLN/Perp/91/3c
No Inv.: 248-251/P/Perp/94/4c~867/P/Perp/95/1c