Editor's note: As the following article is a chapter (Chapter 8) from David Koenig's book, Practical Control Engineering: Guide for Engineers, Managers, and Practitioners (MATLAB Examples) (McGraw ...

Sankhyā: The Indian Journal of Statistics, Series A (1961-2002), Vol. 52, No. 2 (Jun., 1990), pp. 145-156 (12 pages) Let $X_{n}$ be a second order stochastic process ...

Stochastic dynamical systems arise in many scientific fields, such as asset prices in financial markets, neural activity in ...

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 rates ...

This is a preview. Log in through your library . Abstract In this paper we discuss a counter system whose output is a stochastic point process such that the time intervals between pairs of successive ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

This course provides doctoral students the foundations of applied probability and stochastic modeling. The first part of the course covers basic concepts in probability, such as the Borel Cantelli ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...