Abstract
Chapter 30 deals with methodology of stochastic processes (see also time series in Chap. 31): 30.1. Classification and Basic Characteristics of Stochastic Processes, 30.2. Markov Chains, 30.3. Markov Processes, 30.4. Important Stochastic Processes, 30.5. Spectral Properties of Stochastic Processes.
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Further Reading
Brockwell, P.J., Davis, R.A.: Time Series: Theory and Methods. Springer, New York (1987)
Cramer, H., Leadbetter, M.R.: Stationary and Related Stochastic Processes. Wiley, New York (1967)
Feller, W.: An Introduction to Probability Theory and Its Applications. Wiley, New York (1968)
Fuller, W.A.: Introduction to Statistical Time Series. Wiley, New York (1976)
Hamilton, J.D.: Time Series Analysis. Princeton University Press, Princeton, NJ (1994)
Leon-Garcia, A.: Probability and Random Processes. Addison-Wesley, Reading, MA (1989)
Malliaris, A.G., Brock, W.A.: Stochastic Methods in Economics and Finance. North-Holland, Amsterdam (1982)
Neftci, S.N.: Mathematics of Financial Derivatives. Academic, London (2000)
Priestley, M.B.: Spectral Analysis and Time Series. Academic, London (1981)
Rektorys, K. et al.: Survey of Applicable Mathematics. Kluwer, Dordrecht (1994)
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Cipra, T. (2010). Stochastic Processes. In: Financial and Insurance Formulas. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-2593-0_30
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DOI: https://doi.org/10.1007/978-3-7908-2593-0_30
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