This course builds on material discussed in ST409 (Stochastic Processes). In particular, elements of the general theory of semi-martingales will be covered and emphasis will be given on presenting a ...

A broad introduction to stochastic processes for postgraduates with an emphasis on financial and actuarial applications. The course examines Martingales, Poisson Processes, Brownian motion, stochastic ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest ...

Pei-Sen Li, Xu Yang, Xiaowen Zhou, A GENERAL CONTINUOUS-STATE NONLINEAR BRANCHING PROCESS, The Annals of Applied Probability, Vol. 29, No. 4 (August 2019), pp. 2523-2555 ...

Kardar-Parisi-Zhang (KPZ) equation: A nonlinear stochastic partial differential equation that describes the temporal evolution of growing interfaces, accounting for local growth, smoothing, and ...

A cylindrical Lévy process does not enjoy a cylindrical version of the semimartingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this ...