Описание: Provides an introduction to probability theory and its applications.
Автор: N.G. Van Kampen Название: Stochastic Processes in Physics and Chemistry, ISBN: 0444529659 ISBN-13(EAN): 9780444529657 Издательство: Elsevier Science Рейтинг: Цена: 9350 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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)
Автор: Applebaum, David Название: Levy processes and stochastic calculus ISBN: 0521738652 ISBN-13(EAN): 9780521738651 Издательство: Cambridge Academ Рейтинг: Цена: 6245 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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.
Автор: Brzezniak Название: Basic Stochastic Processes ISBN: 3540761756 ISBN-13(EAN): 9783540761754 Издательство: Springer Рейтинг: Цена: 3268 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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.
Автор: Jacod Jean, Shiryaev Albert N. Название: Limit Theorems for Stochastic Processes ISBN: 3540439323 ISBN-13(EAN): 9783540439325 Издательство: Springer Рейтинг: Цена: 9345 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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.
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.
Автор: Resnick Sidney I. Название: Adventures in Stochastic Processes ISBN: 0817635912 ISBN-13(EAN): 9780817635916 Издательство: Springer Рейтинг: Цена: 5133 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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 gangвЂ™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.
Описание: Many observed phenomena, from the changing health of a patient to values on the stock market, are characterised by quantities that vary over time:
stochastic processes are designed to study them. Much theoretical work has been done but virtually no modern books are available to show how the results can be applied. This book
fills that gap by introducing practical methods of applying stochastic processes to an audience knowledgeable only in basic statistics.
It covers almost all aspects of the
subject and presents the theory in an easily accessible form that is highlighted by application to many examples. These examples arise from dozens of areas, from sociology through
medicine to engineering. Complementing these are exercise sets making the book suited for introductory courses in stochastic processes.
Software (available from
www.cambridge.org) is provided for the freely available R system for the reader to apply to all the models presented.
Автор: Gallager Название: Stochastic Processes ISBN: 1107039754 ISBN-13(EAN): 9781107039759 Издательство: Cambridge Academ Рейтинг: Цена: 6036 р. Наличие на складе: Есть (1 шт.) Описание: The definitive textbook on stochastic processes, written by one of the world`s leading information theorists, covering both theory and applications.
Автор: Parzen, Emanuel Название: Stochastic processes ISBN: 0898714419 ISBN-13(EAN): 9780898714418 Издательство: Eurospan Рейтинг: Цена: 7382 р. Наличие на складе: Нет в наличии.
Автор: Cont, Tankov Название: Financial modelling with jump processes ISBN: 1584884134 ISBN-13(EAN): 9781584884132 Издательство: Taylor&Francis Рейтинг: Цена: 7627 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Presents an overview of the theoretical, numerical, and empirical aspects of using jump processes in financial modeling. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models.
Автор: Kaddour Najim Название: Stochastic Processes, ISBN: 1903996554 ISBN-13(EAN): 9781903996553 Издательство: Elsevier Science Рейтинг: Цена: 20103 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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
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