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Stochastic processes, Doob, J.l.

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Автор: Doob, J.l.
Название:  Stochastic processes   (Дж.Л. Дуб: Случайные процессы)
Издательство: Wiley
Классификация:
Прикладная математика

ISBN: 0471523690
ISBN-13(EAN): 9780471523697
ISBN: 0-471-52369-0
ISBN-13(EAN): 978-0-471-52369-7
Обложка/Формат: Paperback
Страницы: 664
Вес: 0.97 кг.
Дата издания: 21.03.1990
Серия: Classics library
Язык: ENG
Издание: New ed
Иллюстрации: Bibliography, index
Размер: 22.81 x 15.42 x 4.09 cm
Читательская аудитория: Postgraduate, research & scholarly
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: A systematic account of the development of stochastic processes over the last 20 years. A supplement contained within the text includes a treatment of the various aspects of measure theory. There is also a chapter on the specialized problem of prediction theory.



Elementary Probability Theory / With Stochastic Processes and an Introduction to Mathematical Finance

Автор: Chung K. L., AitSahlia Farid
Название: Elementary Probability Theory / With Stochastic Processes and an Introduction to Mathematical Finance
ISBN: 038795578X ISBN-13(EAN): 9780387955780
Издательство: Springer
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Цена: 6544 р.
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Описание: Provides an introduction to probability theory and its applications.

Limit Theorems for Stochastic Processes

Автор: Jacod Jean, Shiryaev Albert N.
Название: Limit Theorems for Stochastic Processes
ISBN: 3540439323 ISBN-13(EAN): 9783540439325
Издательство: Springer
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Цена: 11219 р.
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Описание: Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an introduction to the theory of martingales and semimartingales, random measures stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. The second edition contains some additions to the text and references. Some parts are completely rewritten.

Levy processes and stochastic calculus

Автор: Applebaum, David
Название: Levy processes and stochastic calculus
ISBN: 0521738652 ISBN-13(EAN): 9780521738651
Издательство: Cambridge Academ
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Цена: 6245 р.
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Описание: L?vy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of L?vy processes, then leading on to develop the stochastic calculus for L?vy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for L?vy processes to have finite moments; characterisation of L?vy processes with finite variation; Kunita's estimates for moments of L?vy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general L?vy processes; multiple Wiener-L?vy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for L?vy-driven SDEs.

Stochastic Processes,

Автор: Kaddour Najim
Название: Stochastic Processes,
ISBN: 1903996554 ISBN-13(EAN): 9781903996553
Издательство: Elsevier Science
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Цена: 20103 р.
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Описание: A 'stochastic' process is a 'random' or 'conjectural' process, and this book is concerned with applied probability and statistics. Whilst maintaining the mathematical rigour this subject requires, it addresses topics of interest to engineers, such as problems in modelling, control, reliability maintenance, data analysis and engineering involvement with insurance.
This book deals with the tools and techniques used in the stochastic process - estimation, optimisation and recursive logarithms - in a form accessible to engineers and which can also be applied to Matlab.
Amongst the themes covered in the chapters are mathematical expectation arising from increasing information patterns, the estimation of probability distribution, the treatment of distribution of real random phenomena (in engineering, economics, biology and medicine etc), and expectation maximisation. The latter part of the book considers optimization algorithms, which can be used, for example, to help in the better utilization of resources, and stochastic approximation algorithms, which can provide prototype models in many practical applications.
*An engineering approach to applied probabilities and statistics
*Presents examples related to practical engineering applications, such as reliability, randomness and use of resources
*Readers with varying interests and mathematical backgrounds will find this book accessible

Stochastic Processes in Physics and Chemistry,

Автор: N.G. Van Kampen
Название: Stochastic Processes in Physics and Chemistry,
ISBN: 0444529659 ISBN-13(EAN): 9780444529657
Издательство: Elsevier Science
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Цена: 9350 р.
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Описание: The third edition of Van Kampen's standard work has been revised and updated. The main difference with the second edition is that the contrived application of the quantum master equation in section 6 of chapter XVII has been replaced with a satisfactory treatment of quantum fluctuations. Apart from that throughout the text corrections have been made and a number of references to later developments have been included. From the recent textbooks the following are the most relevant.C.W.Gardiner, Quantum Optics (Springer, Berlin 1991)D.T. Gillespie, Markov Processes (Academic Press, San Diego 1992)W.T. Coffey, Yu.P.Kalmykov, and J.T.Waldron, The Langevin Equation (2nd edition, World Scientific, 2004)

Basic Stochastic Processes

Автор: Brzezniak
Название: Basic Stochastic Processes
ISBN: 3540761756 ISBN-13(EAN): 9783540761754
Издательство: Springer
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Цена: 3268 р.
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Описание: This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which in principle belongs to probability theory, but is essential as a tool for stochastic processes. Although the book is a final year text, the author has chosen to use exercises as the main means of explanation for the various topics, and the book will have a strong self-study element. The author has concentrated on the major topics within stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory, Renewal Theory, Martingales and ItГґ Stochastic Processes.

Elements of Applied Stochastic Processes, 3rd Edition

Автор: U. Narayan Bhat
Название: Elements of Applied Stochastic Processes, 3rd Edition
ISBN: 0471414425 ISBN-13(EAN): 9780471414421
Издательство: Wiley
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Цена: 15989 р.
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Описание: Integration of theory and application offers improved teachability.
* Provides a comprehensive introduction to stationary processes and time series analysis.
* Integrates a broad set of applications into the text.
* Utilizes a weal of examples from research papers and monographs.

Adventures in Stochastic Processes

Автор: Resnick Sidney I.
Название: Adventures in Stochastic Processes
ISBN: 0817635912 ISBN-13(EAN): 9780817635916
Издательство: Springer
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Цена: 5133 р.
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Описание: Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. In a lively and imaginative presentation, studded with examples, exercises, and applications, and supported by inclusion of computational procedures, the author has created a textbook that provides easy access to this fundamental topic for many students of applied sciences at many levels. With its carefully modularized discussion and crystal clear differentiation between rigorous proof and plausibility argument, it is accessible to beginners but flexible enough to serve as well those who come to the course with strong backgrounds. The prerequisite background for reading the book is a graduate level pre-measure theoretic probability course. No knowledge of measure theory is presumed and advanced notions of conditioning are scrupulously avoided until the later chapters of the book.The book can be used for either a one or two semester course as given in departments of mathematics, statistics, operation research, business and management, or a number of engineering departments. Its approach to exercises and applications is practical and serious. Some underlying principles of complex problems and computations are cleanly and quickly delineated through rich vignettes of whimsically imagined Happy Harry and his Optima Street gang’s adventures in a world whose randomness is a never-ending source of both wonder and scientific insight.The tools of applied probability---discrete spaces, Markov chains, renewal theory, point processes, branching processes, random walks, Brownian motion---are presented to the reader in illuminating discussion. Applications include such topics as queuing, storage, risk analysis, genetics, inventory, choice, economics, sociology, and other. Because of the conviction that analysts who build models should know how to build them for each class of process studied, the author has included such constructions.

Essentials of Stochastic Processes

Автор: Durrett Rick
Название: Essentials of Stochastic Processes
ISBN: 038798836X ISBN-13(EAN): 9780387988368
Издательство: Springer
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Цена: 7008 р.
Наличие на складе: Нет в наличии.

Описание: This test is designed for a Master's Level course in stochastic processes. It features the introduction and use of martingales, which allow one to do much more with Brownian motion, e.g., option pricing, and queueing theory is integrated into the Continuous Time Markov Chain and Renewal Theory chapters as examples.

Stochastic Processes / Lectures given at Aarhus University

Автор: ItГґ Kiyosi, Barndorff-Nielsen Ole E., Sato Keniti
Название: Stochastic Processes / Lectures given at Aarhus University
ISBN: 3540204822 ISBN-13(EAN): 9783540204824
Издательство: Springer
Цена: 7012 р.
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Описание: This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the LГ©vy-ItГґ decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.

The Theory of Stochastic Processes I

Автор: Gikhman Iosif I., Skorokhod Anatoli V., Kotz S.
Название: The Theory of Stochastic Processes I
ISBN: 3540202846 ISBN-13(EAN): 9783540202844
Издательство: Springer
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Цена: 4674 р.
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Описание: From the Reviews:"Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection."D.W. Stroock in Bulletin of the American Mathematical Society, 1980"To call this work encyclopedic would not give an accurate picture of its content and style. Some parts read like a textbook, but others are more technical and contain relatively new results. ... The exposition is robust and explicit, as one has come to expect of the Russian tradition of mathematical writing. The set when completed will be an invaluable source of information and reference in this ever-expanding field."K.L. Chung in American Scientist, 1977"The dominant impression is of the authors' mastery of their material, and of their confident insight into its underlying structure."J.F.C. Kingman in Bulletin of the London Mathematical Society, 1977

Limit Theorems for Randomly Stopped Stochastic Processes

Автор: Silvestrov Dmitrii S.
Название: Limit Theorems for Randomly Stopped Stochastic Processes
ISBN: 185233777X ISBN-13(EAN): 9781852337773
Издательство: Springer
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Цена: 8878 р.
Наличие на складе: Нет в наличии.

Описание: Limit theorems for stochastic processes are an important part of probability theory and mathematical statistics and one model that has attracted the attention of many researchers working in the area is that of limit theorems for randomly stopped stochastic processes.This volume is the first to present a state-of-the-art overview of this field, with many of the results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast, and technically demanding, Russian literature in detail. A survey of the literature and an extended bibliography of works in the area are also provided.The coverage is thorough, streamlined and arranged according to difficulty for use as an upper-level text if required. It is an essential reference for theoretical and applied researchers in the fields of probability and statistics that will contribute to the continuing extensive studies in the area and remain relevant for years to come.


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