Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, βThis is a text with an attitude, and it is designed to reflect, wherever possible a
Stochastic Ordering and Dependence in Applied Probability
β Scribed by R. Szekli (auth.)
- Publisher
- Springer-Verlag New York
- Year
- 1995
- Tongue
- English
- Leaves
- 203
- Series
- Lecture Notes in Statistics 97
- Edition
- 1
- Category
- Library
No coin nor oath required. For personal study only.
β¦ Synopsis
This book is an introductionary course in stochastic ordering and dependence in the field of applied probability for readers with some background in mathematics. It is based on lectures and senlinars I have been giving for students at Mathematical Institute of Wroclaw University, and on a graduate course a.t Industrial Engineering Department of Texas A&M University, College Station, and addressed to a reader willing to use for example Lebesgue measure, conditional expectations with respect to sigma fields, martingales, or compensators as a common language in this field. In Chapter 1 a selection of one dimensional orderings is presented together with applications in the theory of queues, some parts of this selection are based on the recent literature (not older than five years). In Chapter 2 the material is centered around the strong stochastic ordering in many dimenΒ sional spaces and functional spaces. Necessary facts about conditioning, Markov processes an"d point processes are introduced together with some classical results such as the product formula and Poissonian departure theorem for Jackson networks, or monotonicity results for some reΒ newal processes, then results on stochastic ordering of networks, re~~ment policies and single server queues connected with Markov renewal processes are given. Chapter 3 is devoted to dependence and relations between dependence and ordering, exemΒ plified by results on queueing networks and point processes among others.
β¦ Table of Contents
Front Matter....Pages n1-viii
Univariate Ordering....Pages 1-46
Multivariate Ordering....Pages 47-133
Dependence....Pages 135-172
Back Matter....Pages 173-201
β¦ Subjects
Probability Theory and Stochastic Processes
π SIMILAR VOLUMES
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"This book is a highly recommendable survey of mathematical tools and results in applied probability with special emphasis on queueing theory....The second edition at hand is a thoroughly updated and considerably expended version of the first edition.... This book and the way the various topics are
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