Random Variable Transformation (RVT) Technique: A method used to determine the probability density function of a transformed random variable or process, key to deriving complete stochastic ...

Wim Vervaat, On a Stochastic Difference Equation and a Representation of Non-Negative Infinitely Divisible Random Variables, Advances in Applied Probability, Vol. 11, No. 4 (Dec., 1979), pp. 750-783 ...

A. Papoulis, Probability, Random Variables and Stochastic Processes , Boston McGraw Hill, 4 th edition Stark and Woods, Probability, Random Processes, and Estimation Theory for Engineers , Prentice ...

A. Papoulis and S. U. Pillai, Probability, random variables, and stochastic processes, 4th Edition, McGraw-Hill, 2002. ISBN 0073660116 A. Leon-Garcia, Probability, statistics, and random processes for ...

This paper is concerned with the determination of tight lower and upper bounds on the expectation of a convex function of a random variable. The classic bounds are those of Jensen and ...

Analysis and implementation of numerical methods for random processes: random number generators, Monte Carlo methods, Markov chains, stochastic differential equations, and applications. Recommended ...

Statistical methods enable analysis of ultra high frequency financial data. Integration of the latest theoretical statistics and stochastic analysis constructs YUIMA III, an advanced R software for ...