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Monte Carlo Methods in Financial Engineering

Numerical Solution of Stochastic Differential Equations

Stochastic Simulation and Monte Carlo Methods : Mathematical Foundations of Stochastic Simulation

Controlled Markov Processes and Viscosity Solutions

Continuous-time Stochastic Control and Optimization with Financial Applications

Gaussian Random Processes

Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Stochastic Models in Reliability

Modelling Extremal Events : for Insurance and Finance

Stochastic Integration and Differential Equations

Martingale methods in financial modelling

Stochastic Approximation and Recursive Algorithms and Applications

Statistics of Random Processes : I. General Theory

Stochastic simulation : algorithms and analysis

Numerical Methods for Stochastic Control Problems in Continuous Time

Image analysis, random fields and Markov chain Monte Carlo methods : a mathematical introduction

Statistics of Random Processes II : Applications

Fundamentals of stochastic filtering

Applied probability and queues

Stochastic portfolio theory

Stochastic Controls : Hamiltonian Systems and HJB Equations

Lectures on queues and stochastic networks : a probabilistic approach

Wave propagation and time reversal in randomly layered media

Deterministic and Stochastic Optimal Control

Stochastic Processes in Queueing Theory

Conjugate Direction Methods in Optimization

Hidden Markov Models : Estimation and Control

Linear Multivariable Control : A Geometric Approach

Further Topics on Discrete-Time Markov Control Processes

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