Stochastic differential equations (SDEs) and random processes form a central framework for modelling systems influenced by inherent uncertainties. These mathematical constructs are used to rigorously ...

We study the tail behavior of regularly varying infinitely divisible random vectors and additive processes, i.e. stochastic processes with independent but not necessarily stationary increments. We ...

CATALOG DESCRIPTION: Fundamentals of random variables; mean-squared estimation; limit theorems and convergence; definition of random processes; autocorrelation and stationarity; Gaussian and Poisson ...

CATALOG DESCRIPTION: Fundamentals of random variables; mean-squared estimation; limit theorems and convergence; definition of random processes; autocorrelation and stationarity; Gaussian and Poisson ...

Gaussian processes offer a versatile framework to model and analyse continuous random phenomena, making them particularly useful in quantifying the probability of ruin in financial and insurance ...

This is a preview. Log in through your library . Abstract We give (i) the Cramér power spectral measure of the general shot noise process with random excitation and non-Poisson stationary driving ...

This course is available on the MSc in Applicable Mathematics, MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available as an outside option to ...

This course is available on the MSc in Financial Mathematics, MSc in Mathematics and Computation and MSc in Quantitative Methods for Risk Management. This course is available with permission as an ...