The study of stochastic differential equations (SDEs) has long been a cornerstone in the modelling of complex systems affected by randomness. In recent years, the extension to G-Brownian motion has ...

Generating sample paths of stochastic differential equations (SDE) using the Monte Carlo method finds wide applications in financial engineering. Discretization is a popular approximate approach to ...

The 'rendezvous time' of two stochastic processes is the first time at which they cross or hit each other. We consider such times for a Brownian motion with drift, starting at some positive level, and ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Data Science, BSc in Financial Mathematics and Statistics, ...

I struggled to see anything novel in Lisa Grossman’s story on how Brownian motion can describe stock market movements (8 March, p 11). In 1973, Fischer Black and Myron Scholes published what is now ...