Topics In Stochastic Processes

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Topics In Stochastic Processes

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Author : Robert B. Ash
language : en
Publisher: Academic Press
Release Date : 2014-06-20

Topics In Stochastic Processes written by Robert B. Ash and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-20 with Mathematics categories.

Topics in Stochastic Processes covers specific processes that have a definite physical interpretation and that explicit numerical results can be obtained. This book contains five chapters and begins with the L2 stochastic processes and the concept of prediction theory. The next chapter discusses the principles of ergodic theorem to real analysis, Markov chains, and information theory. Another chapter deals with the sample function behavior of continuous parameter processes. This chapter also explores the general properties of Martingales and Markov processes, as well as the one-dimensional Brownian motion. The aim of this chapter is to illustrate those concepts and constructions that are basic in any discussion of continuous parameter processes, and to provide insights to more advanced material on Markov processes and potential theory. The final chapter demonstrates the use of theory of continuous parameter processes to develop the Itô stochastic integral. This chapter also provides the solution of stochastic differential equations. This book will be of great value to mathematicians, engineers, and physicists.

Topics In Stochastic Processes

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Author : Robert B. Ash
language : en
Publisher:
Release Date : 1975

Topics In Stochastic Processes written by Robert B. Ash and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1975 with categories.

Topics In Stochastic Processes

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Author : Jerzy Zabczyk
language : en
Publisher: Edizioni della Normale
Release Date : 2004-10-01

Topics In Stochastic Processes written by Jerzy Zabczyk and has been published by Edizioni della Normale this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-10-01 with Mathematics categories.

The notes are based on lectures on stochastic processes given at Scuola Normale Superiore in 1999 and 2000. Some new material was added and only selected, less standard results were presented. We did not include several applications to statistical mechanics and mathematical finance, covered in the lectures, as we hope to write part two of the notes devoted to applications of stochastic processes in modelling. The main themes of the notes are constructions of stochastic processes. We present different approaches to the existence question proposed by Kolmogorov, Wiener, Ito and Prohorov. Special attention is also paid to Levy processes. The lectures are basically self-contained and rely only on elementary measure theory and functional analysis. They might be used for more advanced courses on stochastic processes.

Statistical Topics And Stochastic Models For Dependent Data With Applications

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Author : Vlad Stefan Barbu
language : en
Publisher: John Wiley & Sons
Release Date : 2020-10-09

Statistical Topics And Stochastic Models For Dependent Data With Applications written by Vlad Stefan Barbu and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-09 with Mathematics categories.

This book is a collective volume authored by leading scientists in the field of stochastic modelling, associated statistical topics and corresponding applications. The main classes of stochastic processes for dependent data investigated throughout this book are Markov, semi-Markov, autoregressive and piecewise deterministic Markov models. The material is divided into three parts corresponding to: (i) Markov and semi-Markov processes, (ii) autoregressive processes and (iii) techniques based on divergence measures and entropies. A special attention is payed to applications in reliability, survival analysis and related fields.

Stochastic Processes And Related Topics

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Author : Jeff Englebert
language : en
Publisher: CRC Press
Release Date : 1996-02-09

Stochastic Processes And Related Topics written by Jeff Englebert and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-02-09 with Mathematics categories.

The aim of this volume is to make accessible to a greater audience papers given at the 10th Winterschool on Stochastic Processes in Siegmundsburg, Germany, March 1994. The papers include developments in stochastic analysis, applications to finance mathematics, Markov processes and diffusion processes, stochastic differential equations and stochastic partial differential equations.

Selected Topics On Stochastic Modelling

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Author : Mariano J Valderrama Bonnet
language : en
Publisher: World Scientific
Release Date : 1994-09-30

Selected Topics On Stochastic Modelling written by Mariano J Valderrama Bonnet and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-09-30 with categories.

This volume contains a selection of papers on recent developments in fields such as stochastic processes, multivariate data analysis and stochastic models in operations research, earth and life sciences and information theory, from an applicative perspective. Some of them have been extracted from lectures given at the Department of Statistics and Operations Research at the University of Granada for the past two years (Kai Lai Chung and Marcel F Neuts, among others). All the papers have been carefully selected and revised.

Stochastic Processes And Related Topics

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Author : Rainer Buckdahn
language : en
Publisher: CRC Press
Release Date : 2002-05-16

Stochastic Processes And Related Topics written by Rainer Buckdahn and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-05-16 with Mathematics categories.

This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications, which was held in Siegmundsburg, Germany, in March 2000. The contents include Backward Stochastic Differential Equations; Semilinear PDE and SPDE; Arbitrage Theory; Credit Derivatives and Models for Correlated Defaults; Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers and Local Times. A unique opportunity to read ideas from all the top experts on the subject, Stochastic Processes and Related Topics is intended for postgraduates and researchers working in this area of mathematics and provides a useful source of reference.

Applied Stochastic Processes

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Author : Mario Lefebvre
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-14

Applied Stochastic Processes written by Mario Lefebvre and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-14 with Mathematics categories.

Applied Stochastic Processes uses a distinctly applied framework to present the most important topics in the field of stochastic processes. Key features: -Presents carefully chosen topics such as Gaussian and Markovian processes, Markov chains, Poisson processes, Brownian motion, and queueing theory -Examines in detail special diffusion processes, with implications for finance, various generalizations of Poisson processes, and renewal processes -Serves graduate students in a variety of disciplines such as applied mathematics, operations research, engineering, finance, and business administration -Contains numerous examples and approximately 350 advanced problems, reinforcing both concepts and applications -Includes entertaining mini-biographies of mathematicians, giving an enriching historical context -Covers basic results in probability Two appendices with statistical tables and solutions to the even-numbered problems are included at the end. This textbook is for graduate students in applied mathematics, operations research, and engineering. Pure mathematics students interested in the applications of probability and stochastic processes and students in business administration will also find this book useful.

Introduction To Stochastic Processes With R

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Author : Robert P. Dobrow
language : en
Publisher: John Wiley & Sons
Release Date : 2016-04-06

Introduction To Stochastic Processes With R written by Robert P. Dobrow and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-06 with Mathematics categories.

An introduction to stochastic processes through the use of R Introduction to Stochastic Processes with R is an accessible and well-balanced presentation of the theory of stochastic processes, with an emphasis on real-world applications of probability theory in the natural and social sciences. The use of simulation, by means of the popular statistical software R, makes theoretical results come alive with practical, hands-on demonstrations. Written by a highly-qualified expert in the field, the author presents numerous examples from a wide array of disciplines, which are used to illustrate concepts and highlight computational and theoretical results. Developing readers’ problem-solving skills and mathematical maturity, Introduction to Stochastic Processes with R features: More than 200 examples and 600 end-of-chapter exercises A tutorial for getting started with R, and appendices that contain review material in probability and matrix algebra Discussions of many timely and stimulating topics including Markov chain Monte Carlo, random walk on graphs, card shuffling, Black–Scholes options pricing, applications in biology and genetics, cryptography, martingales, and stochastic calculus Introductions to mathematics as needed in order to suit readers at many mathematical levels A companion web site that includes relevant data files as well as all R code and scripts used throughout the book Introduction to Stochastic Processes with R is an ideal textbook for an introductory course in stochastic processes. The book is aimed at undergraduate and beginning graduate-level students in the science, technology, engineering, and mathematics disciplines. The book is also an excellent reference for applied mathematicians and statisticians who are interested in a review of the topic.

Essentials Of Stochastic Processes

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Author : Richard Durrett
language : en
Publisher: Springer
Release Date : 2016-11-07

Essentials Of Stochastic Processes written by Richard Durrett and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-07 with Mathematics categories.

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.