Applied Stochastic Control of Jump Diffusions, Bernt Oksendal and Agnes Sulem
Старое издание
Автор: Oksendal Название: Applied Stochastic Control of Jump Diffusions ISBN: 3540140239 ISBN-13(EAN): 9783540140238 Издательство: Springer Цена: 4175 р. Наличие на складе: Поставка под заказ.
Автор: L. C. G. Rogers Название: Diffusions, Markov Processes and Martingales ISBN: 0521775930 ISBN-13(EAN): 9780521775939 Издательство: Cambridge Academ Рейтинг: Цена: 6901 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Now available in paperback, this celebrated book has been prepared with readers’ needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Much effort has gone into making these subjects as accessible as possible by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
Описание: The monograph is devoted mainly to the analytical study of the differential, pseudo-differential and stochastic evolution equations describing the transition
probabilities of various Markov processes. These include (i) diffusions (in particular,degenerate diffusions), (ii) more general jump-diffusions, especially stable jump-diffusions driven by
stable Levy processes, (iii) complex stochastic Schrodinger equations which correspond to models of quantum open systems. The main results of the book concern the existence,
two-sided estimates, path integral representation, and small time and semiclassical asymptotics for the Green functions (or fundamental solutions) of these equations, which represent the
transition probability densities of the corresponding random process.
The boundary value problem for Hamiltonian systems and some spectral asymptotics ar also discussed.
Readers should have an elementary knowledge of probability, complex and functional analysis, and calculus.
Автор: L. C. G. Rogers Название: Diffusions, Markov Processes, and Martingales ISBN: 0521775949 ISBN-13(EAN): 9780521775946 Издательство: Cambridge Academ Рейтинг: Цена: 6787 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Now available in paperback, this celebrated book has been prepared with readers’ needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors’ aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively and readable account of the theory of Markov processes. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
Автор: G. George Yin; Chao Zhu Название: Hybrid Switching Diffusions ISBN: 1441911049 ISBN-13(EAN): 9781441911049 Издательство: Springer Рейтинг: Цена: 17241 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Focusing on switching diffusion processes that involve both continuous dynamics and discrete events, this comprehensive study moves from basic properties such as Feller and strong Feller to the numerical solutions of switching diffusions and stability.
Автор: Kutoyants Yury A. Название: Statistical Inference for Ergodic Diffusion Processes ISBN: 1852337591 ISBN-13(EAN): 9781852337599 Издательство: Springer Рейтинг: Цена: 16196 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Statistical Inference for Ergodic Diffusion Processes encompasses a wealth of results from over ten years of mathematical literature. It provides a comprehensive overview of existing techniques, and presents - for the first time in book form - many new techniques and approaches. An elementary introduction to the field at the start of the book introduces a class of examples - both non-standard and classical - that reappear as the investigation progresses to illustrate the merits and demerits of the procedures. The statements of the problems are in the spirit of classical mathematical statistics, and special attention is paid to asymptotically efficient procedures. Today, diffusion processes are widely used in applied problems in fields such as physics, mechanics and, in particular, financial mathematics. This book provides a state-of-the-art reference that will prove invaluable to researchers, and graduate and postgraduate students, in areas such as financial mathematics, economics, physics, mechanics and the biomedical sciences.From the reviews:"This book is very much in the Springer mould of graduate mathematical statistics books, giving rapid access to the latest literature...It presents a strong discussion of nonparametric and semiparametric results, from both classical and Bayesian standpoints...I have no doubt that it will come to be regarded as a classic text." Journal of the Royal Statistical Society, Series A, v. 167
Описание: This book develops a unified mathematical framework for treating a wide variety of diffusion-related periodic phenomena in such areas as heat transfer, electrical conduction and light scattering. The presentation is largely in the form of case studies directly applicable in a wide range of experimental methodologies.
Автор: Kallianpur Gopinath Название: Stochastic Analysis and Diffusion Processes ISBN: 0199657076 ISBN-13(EAN): 9780199657070 Издательство: Oxford Academ Рейтинг: Цена: 4715 р. Наличие на складе: Поставка под заказ.
Описание: Beginning with the concept of random processes and Brownian motion and building on the theory and research directions in a self-contained manner, this book provides an introduction to stochastic analysis for graduate students, researchers and applied scientists interested in stochastic processes and their applications.
Автор: Kallianpur Gopinath Название: Stochastic Analysis and Diffusion Processes ISBN: 0199657068 ISBN-13(EAN): 9780199657063 Издательство: Oxford Academ Рейтинг: Цена: 10238 р. Наличие на складе: Невозможна поставка.
Описание: Beginning with the concept of random processes and Brownian motion and building on the theory and research directions in a self-contained manner, this book provides an introduction to stochastic analysis for graduate students, researchers and applied scientists interested in stochastic processes and their applications.
Автор: Arapostathis Название: Ergodic Control of Diffusion Processes ISBN: 0521768403 ISBN-13(EAN): 9780521768405 Издательство: Cambridge Academ Рейтинг: Цена: 9892 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This comprehensive volume on ergodic control for diffusions highlights intuition alongside technical arguments. A concise account of Markov process theory is followed by a complete development of the fundamental issues and formalisms in control of diffusions. This then leads to a comprehensive treatment of ergodic control, a problem that straddles stochastic control and the ergodic theory of Markov processes. The interplay between the probabilistic and ergodic-theoretic aspects of the problem, notably the asymptotics of empirical measures on one hand, and the analytic aspects leading to a characterization of optimality via the associated Hamilton–Jacobi–Bellman equation on the other, is clearly revealed. The more abstract controlled martingale problem is also presented, in addition to many other related issues and models. Assuming only graduate-level probability and analysis, the authors develop the theory in a manner that makes it accessible to users in applied mathematics, engineering, finance and operations research.
Описание: The need for developing a better understanding of the behaviour of small samples by observing experiments presents a problem far beyond purely academic interest. This monograph describes the character of incomplete fuzzy information, and proposes and proves the principle of information diffusion. The focus lies in changing a traditional sample-point into a fuzzy set to partly fill the gap caused by incomplete data, so that the recognition of relationships between input and output can be improved. Part 1 examines the origins of the principle of information diffusion and describes the mathematical concepts and proofs. Topics covered include: information matrix, demonstration of information distribution, and the kernel function in terms of information diffusion. Part 2 covers applications such as earthquake engineering and risk assessment of flood, and demonstrates that the new theory is useful for studying practical cases.
Автор: Isaak D. Mayergoyz Название: Nonlinear Diffusion of Electromagnetic Fields, ISBN: 0124808700 ISBN-13(EAN): 9780124808706 Издательство: Elsevier Science Рейтинг: Цена: 22990 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Covers applications of the phenomena of non-linear diffusion of electromagnetic fields, this material has direct applications to the analysis of eddy currents in magnetically nonlinear and hysteretic conductors and to the study of magnetization processes in electrically nonlinear superconductors.
Автор: Stroock Название: Multidimensional Diffusion Processes ISBN: 3540289984 ISBN-13(EAN): 9783540289982 Издательство: Springer Рейтинг: Цена: 5220 р. Наличие на складе: Поставка под заказ.
Описание: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. This approach was initiated by Stroock and Varadhan in their famous papers. (...) The proofs and techniques are presented in such a way that an adaptation in other contexts can be easily done. (...) The reader must be familiar with standard probability theory and measure theory which are summarized at the beginning of the book. This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik, 1981
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