Introduction to Stochastic Processes : Queues, Finance, and Credit Risk / by Dharmaraja Selvamuthu.

Format:

Book

Author/Creator:

Selvamuthu, Dharmaraja.

Series:

University Texts in the Mathematical Sciences, 2731-9326

Language:

English

Subjects (All):

Stochastic processes.

Markov processes.

Queuing theory.

Probabilities.

Stochastic Processes.

Markov Process.

Queueing Theory.

Probability Theory.

Local Subjects:

Stochastic Processes.

Markov Process.

Queueing Theory.

Probability Theory.

Physical Description:

1 online resource (830 pages)

Edition:

1st ed. 2025.

Place of Publication:

Singapore : Springer Nature Singapore : Imprint: Springer, 2025.

Summary:

This is an essential textbook for senior undergraduate and graduate students of statistics, stochastic processes, stochastic finance, and probability theory. It covers all the important notations of probability theory and stochastic processes that are crucial for students to overcome their initial challenges during their studies. It thoroughly discusses the concepts of stochastic processes, both Markov and non-Markov processes, as well as stochastic calculus. With a special focus on finance, the book dedicates three chapters to explore the applications of stochastic processes in options, credit risk and insurance. Organized into sixteen chapters and one appendix, the book takes the readers to a well-organized learning. To fully grasp the intricacies of stochastic processes, students are expected to have a solid grounding in real analysis, linear algebra, and differential equations. Practical examples are emphasized throughout the book, carefully selected from various fields. The exercises at the end of each chapter are designed with the same objective in mind. Stochastic processes play a significant role in various scientific disciplines and real-life applications. .

Contents:

Preface

1. Introduction to Stochastic Processes

2. Discrete Time Markov Chains - Part I

3. Discrete Time Markov Chains - Part II

4. Continuous Time Markov Chains, Part I

5. Continuous Time Markov Chains, Part II

6. Continuous Time Markov Chains, Part III

7. Simple Markov Queueing Models

8. Advanced Markov Queueing Models

9. Non-Markov Processes

10. Non-Markov Queueing Models

11. Diffusion and Jump-diffusion Processes

12. Stochastic Calculus

13. Stochastic Differential Equations

14. Applications to Finance - Option Pricing- 15. Applications to Finance - Credit Risk

16. Applications to Finance - Insurance Problems

Appendix.

Notes:

Description based on publisher supplied metadata and other sources.

Other Format:

Print version: Selvamuthu, Dharmaraja Introduction to Stochastic Processes

ISBN:

9789819761524

OCLC:

1528361458