User:Waterbug89/Books/stochastic calculus
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Stochastic calculus, equations, processes, and thms[edit]
stochastic analysis[edit]
- Stochastic calculus
- H-derivative
- Integral representation theorem for classical Wiener space
- Integration by parts operator
- Itô calculus
- Itô isometry
- Itô's lemma
- Malliavin calculus
- Malliavin derivative
- Master equation
- Ornstein–Uhlenbeck operator
- Paley–Wiener integral
- Palm calculus
- Quantum stochastic calculus
- Reflection principle (Wiener process)
- Skorokhod integral
- Skorokhod problem
- Stochastic differential equation
- Stochastic discount factor
- Stratonovich integral
- Affine term structure model
- Beverton–Holt model
- Black–Scholes model
- Bond fluctuation model
- Cellular Potts model
- Cox–Ingersoll–Ross model
- Dynamic scaling
- Ehrenfest model
- Gilbert–Shannon–Reeds model
- Interdependent networks
- Kolmogorov equations
- Linear-nonlinear-Poisson cascade model
- Monte Carlo molecular modeling
- MPMC
- Random neural network
- Restricted Boltzmann machine
- Sethi model
- Stochastic cellular automaton
- Stochastic chains with memory of variable length
- Stochastic modelling (insurance)
- Stochastic process
- Substitution model
- Voter model
- Weighted planar stochastic lattice
- WSSUS model
- Arrow–Debreu model
- Binomial options pricing model
- Black model
- Black–Litterman model
- Brownian model of financial markets
- Chepakovich valuation model
- Cheyette model
- Constant elasticity of variance model
- Consumption-based capital asset pricing model
- Dividend discount model
- Financial models with long-tailed distributions and volatility clustering
- Heston model
- Korn–Kreer–Lenssen model
- LIBOR market model
- SABR volatility model
- Single-index model
- Stochastic investment model
- T-model
- Treynor–Black model
- Wilkie investment model
- Acceptance set
- Betavexity
- Capital asset pricing model
- Cascades in financial networks
- Coherent risk measure
- Consistent pricing process
- Deviation risk measure
- Discounted maximum loss
- Distortion risk measure
- Diversification (finance)
- Downside beta
- Downside risk
- Dual-beta
- Dynamic risk measure
- Entropic risk measure
- Entropic value at risk
- Expected shortfall
- Exponential utility
- Extreme value theory
- Fama–French three-factor model
- Financial risk modeling
- Historical simulation (finance)
- Hyperbolic absolute risk aversion
- Isoelastic utility
- Jarrow–Turnbull model
- Modern portfolio theory
- Multiple factor models
- Risk aversion
- Risk measure
- Risk-neutral measure
- RiskMetrics
- Solvency cone
- Spectral risk measure
- Superhedging price
- Tail value at risk
- Time consistency
- Two-moment decision model
- Upside beta
- Upside risk
- Value at risk
- XVA
- Short-rate model
- Black–Derman–Toy model
- Black–Karasinski model
- Chen model
- Ho–Lee model
- Hull–White model
- Kalotay–Williams–Fabozzi model
- Lattice model (finance)
- Longstaff–Schwartz model
- Rendleman–Bartter model
- Vasicek model
- Doubly stochastic model
- Time-inhomogeneous hidden Bernoulli model
- Markov random field
- Factor graph
- Hammersley–Clifford theorem
- Hidden Markov random field
- Markov blanket
- Markov logic network
- Probabilistic soft logic
- Boolean model (probability theory)
- Complete spatial randomness
- Gaussian random field
- User:Improbable keeler/sandbox
- Interacting particle system
- Point process
- Point process operation
- Poisson point process
- Random field
- Stochastic geometry
- Stochastic geometry models of wireless networks
- Superprocess
- Variogram
- Determinantal point process
- Dynamic contagion process
- Factorial moment measure
- Index of dispersion
- Kernel (statistics)
- Laplace functional
- Moment measure
- Overdispersion
- Palm–Khintchine theorem
- Renewal theory
- Residual time
- Bruss–Duerinckx theorem
- Bussgang theorem
- Clark–Ocone theorem
- Doob decomposition theorem
- Dudley's theorem
- Foster's theorem
- Girsanov theorem
- Ignatov's theorem
- Kolmogorov continuity theorem
- Kolmogorov extension theorem
- Minlos' theorem
- Schilder's theorem
- Evacuation process simulation
- Gard model
- Gillespie algorithm
- Importance sampling
- Kinetic Monte Carlo
- Mean field particle methods
- Monte Carlo method
- Network traffic simulation
- Particle filter
- Simulation language
- Stochastic process rare event sampling
- Stochastic roadmap simulation
- Stochastic simulation
- Tau-leaping
- Antithetic variates
- Stratified sampling
- Variance reduction
- VEGAS algorithm
- Piecewise-deterministic Markov process
- Absorbing Markov chain
- Additive Markov chain
- Birth–death process
- Branching process
- Brownian meander
- Burstiness
- Chapman–Kolmogorov equation
- Conductance (graph)
- Diffusion process
- Dirichlet form
- Feller process
- Fleming–Viot process
- Gauss–Markov process
- Harris chain
- Hunt process
- Kelly's lemma
- Kemeny's constant
- Kolmogorov equations (Markov jump process)
- Kolmogorov's criterion
- Lévy flight
- Lumpability
- Markov additive process
- Markov chain
- Markov chain approximation method
- Markov chain mixing time
- Markov chains on a measurable state space
- Markov decision process
- Markov information source
- Markov kernel
- Markov property
- Markov renewal process
- Markov reward model
- Markovian arrival process
- Matrix analytic method
- Memorylessness
- Multiscale decision-making
- Nearly completely decomposable Markov chain
- Ornstein–Uhlenbeck process
- Partially observable Markov decision process
- Perron–Frobenius theorem
- Poisson clumping
- Quasi-birth–death process
- Queueing theory
- Spectral expansion solution
- Subshift of finite type
- Telescoping Markov chain
- Transition rate matrix
- Uniformization (probability theory)
- Vacancy chain
- Automatic basis function construction
- Hamilton–Jacobi–Bellman equation
- Linear–quadratic–Gaussian control
- Mabinogion sheep problem
- Merton's portfolio problem
- Multiplier uncertainty
- Optimal projection equations
- Robust control
- Separation principle
- Stochastic control
- Witsenhausen's counterexample
- Random dynamical system
- Absorbing set (random dynamical systems)
- Base flow (random dynamical systems)
- Brownian motion of sol particles
- Crackling noise
- Krylov–Bogolyubov theorem
- Pullback attractor
- Random compact set