I have a problem which includes a geometric Brownian motion, with either normally distributed or power-law-distributed noise, and I'm asking for some references to this (apparently) huge topic. Some ...
I am trying to find a book I once partially read without much luck. The book's main topic, if I remember right, is stochastic processes. It was, I think, a not too heavy blue/light blue book. The ...
I've been studying discrete time series models for a while. I'm familiar with the usual time series models (ARMA, ARIMA, GARCH, etc.), but I want to study their continuous counterparts (CAR and CARMA ...
Is there a canonical textbook or textbooks on the use of numerical methods in solving stochastic differential equations that you would recommend?