Student’s t-Distribution and Related Stochastic Processes

Prof. Grigelionis is a senior research fellow at the Institute of Mathematics and Informatics of Vilnius University, member of the Lithuanian Academy of Sciences and the International Statistical Institute. He has done extensive research in stochastic analysis and its applications. These include the semimartingale characterisation of stochastic processes with conditionally independent increments and solutions of stochastic Ito's equations, stochastic nonlinear filtering equations, optimal stopping of stochastic processes - joint research with A. Shiryaev - criteria of weak convergence of stochastic processes - joint research with R. Mikulevicius - etc. His current research topics are the properties of mixed Gaussian distributions and related stochastic processes.

Introduction.- Asymptotics.- Preliminaries of Lévy Processes.- Student-Lévy Processes.- Student OU-type Processes.- Student Diffusion Processes.- Miscellanea.- Bessel Functions.- References.- Index.

"It is self-contained and summarizes the most recent results by the author related to t-distribution and their processes. ... Grigelionis has pulled together an excellent overview in Student t-distribution and processes, which has not previously been available. The book is written at a highly scholarly level and should appeal to those with an interest in applied probability methodology and applications. It should be for students who have had an advanced course in probability." (Stergios B. Fotopoulos, Technometrics, Vol. 58 (3), August, 2016)