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Stochastic Processes, Gallager



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Автор: Gallager
Название:  Stochastic Processes   (Роберт Галлахер: Стохастические процессы)
Издательство: Cambridge Academ
Классификация:
Эконометрика
Вероятность и статистика
Прикладная математика
Электрическое машиностроение

ISBN: 1107039754
ISBN-13(EAN): 9781107039759
ISBN: 1-107039-5-4
ISBN-13(EAN): 978-1-107039-5-9
Обложка/Формат: Hardback
Страницы: 553
Вес: 1.222 кг.
Дата издания: 12.12.2013
Серия: Economics/Business/Finance
Язык: English
Иллюстрации: Worked examples or exercises; 125 line drawings, unspecified
Размер: 173 x 251 x 30
Читательская аудитория: Tertiary education (us: college)
Ключевые слова: Economic statistics,Probability & statistics,Applied mathematics,Stochastics,Electrical engineering, TECHNOLOGY & ENGINEERING / Signals & Signal
Основная тема: Engineering
Подзаголовок: Theory for Applications
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the worlds leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.



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: 7836 р.
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Описание: Provides an introduction to probability theory and its applications.

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: 10450 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)

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: 13584 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.

Combinatorial Stochastic Processes / Ecole d`EtГ© de ProbabilitГ©s de Saint-Flour XXXII - 2002

Автор: Pitman Jim, Picard Jean
Название: Combinatorial Stochastic Processes / Ecole d`EtГ© de ProbabilitГ©s de Saint-Flour XXXII - 2002
ISBN: 354030990X ISBN-13(EAN): 9783540309901
Издательство: Springer
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Цена: 4701 р.
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Описание: The purpose of this text is to bring graduate students specializing in probability theory to current research topics at the interface of combinatorics and stochastic processes, in particular the theory of random combinatorial structures such as partitions, permutations, trees, forests, and mappings, and connections between the asymptotic theory of enumeration of such structures and the theory of stochastic processes like Brownian motion and Poisson processes. The course is a summary and review of the author's research over the last ten years, much of it joint work with coauthors David Aldous, Jean Bertoin, Steven Evans, and Marc Yor.

Applied Stochastic Processes

Автор: Lefebvre Mario
Название: Applied Stochastic Processes
ISBN: 0387341714 ISBN-13(EAN): 9780387341712
Издательство: Springer
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Цена: 7836 р.
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Описание: 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 probabilityTwo 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.

The Theory of Stochastic Processes III

Автор: Gikhman Iosif I., Skorokhod Anatoli V., Kotz S.
Название: The Theory of Stochastic Processes III
ISBN: 3540499407 ISBN-13(EAN): 9783540499404
Издательство: Springer
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Цена: 5224 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

Topics in stochastic processes

Автор: Zabczyk Jerzy
Название: Topics in stochastic processes
ISBN: 8876421319 ISBN-13(EAN): 9788876421310
Издательство: Springer
Цена: 2404 р.
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Описание: 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 Analysis of Stochastic Processes in Time

Автор: J. K. Lindsey
Название: Statistical Analysis of Stochastic Processes in Time
ISBN: 0521837413 ISBN-13(EAN): 9780521837415
Издательство: Cambridge Academ
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Цена: 8283 р.
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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.

L?vy Processes and Stochastic Calculus

Автор: David Applebaum
Название: L?vy Processes and Stochastic Calculus
ISBN: 0521832632 ISBN-13(EAN): 9780521832632
Издательство: Cambridge Academ
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Цена: 6327 р.
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Описание: Levy 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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Levy processes. The second part develops the stochastic calculus for Levy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Levy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including Ito's formula, Girsanov’s theorem and the martingale representation theorem.

Stochastic processes and applications to mathematical finance - proceedings of the ritsumeikan international symposium

Название: Stochastic processes and applications to mathematical finance - proceedings of the ritsumeikan international symposium
ISBN: 9812387781 ISBN-13(EAN): 9789812387783
Издательство: World Scientific Publishing
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Цена: 15415 р.
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Описание: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.

Stochastic processes and applications to mathematical finance - proceedings of the 5th ritsumeikan international symposium

Название: Stochastic processes and applications to mathematical finance - proceedings of the 5th ritsumeikan international symposium
ISBN: 9812565191 ISBN-13(EAN): 9789812565198
Издательство: World Scientific Publishing
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Цена: 17141 р.
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Stochastic processes and applications to mathematical finance - proceedings of the 6th ritsumeikan international conference

Название: Stochastic processes and applications to mathematical finance - proceedings of the 6th ritsumeikan international conference
ISBN: 9812704132 ISBN-13(EAN): 9789812704139
Издательство: World Scientific Publishing
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Цена: 17141 р.
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Описание: This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very highest quality papers in the field of financial mathematics.


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