Book Review: Semimartingales, a course on stochastic processes

Course Notes for Stochastic Processes

These are notes that I used myself to lecture from. A modified version was handed to the students, which is reflected in various changes of fonts and marginal hacks in this version. These things were not in their version. In particular, certain things were omitted and they were given space to write things that either were in my notes or on which I expanded in class. The first part of the course...

BMS Basic Course Stochastic Processes

A Review on ‘Probability and Stochastic Processes’

This paper is a commentary on the book ‘Probability and Stochastic Processes’ from Ionut Florescu. The book is an excellent introduction to both probability theory and stochastic processes. It provides a comprehensive discussion of the main statistical concepts including the theorems and proofs. The introduction to probability theory is easy accessible and a perfect starting point for undergrad...

Book Review: Stochastic Modeling: Theory and Reality

For decades, actuaries have historically used statistical and financial models that were inherently considered deterministic in the sense that random fluctuations are often ignored, although some type of sensitivity of the parameter and model assumptions have been employed to have a sense of the possible variation in the results. Today, such sensitivity analysis is unacceptably appropriate when...

Lecture notes for LTCC Course on Stochastic Processes