Books and Monographs

Textbook for advanced undergraduate and graduate students majoring in mathematics or management science

This textbook focuses on elucidating the fundamental concepts and methods of stochastic processes by integrating practical applications with theoretical approaches. It introduces several classic stochastic processes commonly encountered in modern science and technology, including Gaussian processes, Brownian motion, point processes, stationary processes, martingales, and Markov chains.

This is a chinese version of the original English book. This book offers a solid foundation for readers interested in fundamental probability theory, including those with no prior exposure to the subject. Through a conversational approach and detailed mathematical derivations, it strikes a balance between an engaging style and informative discussions. By immersing readers in a mathematical worldview, the book helps them appreciate the captivating aspects of this discipline. Rather than merely writing out and memorizing formulas, readers will also learn to understand the meaning behind these formulas, as well as when and how to apply them.

This book presents some new models and methods in the context of dynamical portfolio optimization. It encapsulates the authors' recent progress in their research on several interesting, featured issues of dynamic portfolio optimization problems with default contagion, tracking benchmark, consumption habit, and reinforcement learning.