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 ...

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 ...

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

Randomness is inherent to real world problems so faculty research in this area includes the development and application of probabilistic tools to model, predict, and analyze randomness in applications ...

Stochastic processes as a research area focuses on the mathematical modeling and analysis of systems that evolve randomly over time, typically formalized as families of random variables indexed by ...

Systematic study of Markov chains and some of the simpler Markov processes including renewal theory, limit theorems for Markov chains, branching processes, queuing theory, birth and death processes, ...