Описание: This handbook brings together a comprehensive collection of mathematical material in one location. It also offers a variety of new results interpreted in a form that is particularly useful to engineers, scientists, and applied mathematicians.
Автор: Jondeau Название: Financial Modeling Under Non-Gaussian Distributions ISBN: 1846284198 ISBN-13(EAN): 9781846284199 Издательство: Springer Рейтинг: Цена: 13974.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. This book deals with the non-Gaussian distributions and addresses the consequences of non-normality and time dependency in asset returns and option prices.
Автор: Bovier Название: Gaussian Processes on Trees ISBN: 1107160499 ISBN-13(EAN): 9781107160491 Издательство: Cambridge Academ Рейтинг: Цена: 9346.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Branching Brownian motion is a key model at the crossroads of value statistics for Gaussian processes, statistical physics, and non-linear partial differential equations. This book gives a concise introduction for graduate students and researchers leading up to the most recent developments in this active area of research.
Автор: L. C. G. Rogers Название: Diffusions, Markov Processes and Martingales ISBN: 0521775930 ISBN-13(EAN): 9780521775939 Издательство: Cambridge Academ Рейтинг: Цена: 11563.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.
Автор: Stroock Daniel W. Название: An Introduction to Markov Processes ISBN: 3540234519 ISBN-13(EAN): 9783540234517 Издательство: Springer Рейтинг: Цена: 8384.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. It should be accessible to students with a solid undergraduate background in mathematics, including students from engineering, economics, physics, and biology. Topics covered are: Doeblin's theory, general ergodic properties, and continuous time processes. A whole chapter is devoted to reversible processes and the use of their associated Dirichlet forms to estimate the rate of convergence to equilibrium.
Автор: Marcus Название: Markov Processes, Gaussian Processes, and Local Times ISBN: 1107403758 ISBN-13(EAN): 9781107403758 Издательство: Cambridge Academ Рейтинг: Цена: 12038.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Two foremost researchers present important advances in stochastic process theory by linking well-understood (Gaussian) and less well-understood (Markov) classes of processes. It builds to this material through `mini-courses` on the relevant ingredients, which assume only measure-theoretic probability. This original, readable 2006 book is for researchers and advanced graduate students.
Автор: Mandrekar Название: Stochastic Analysis For Gaussian Ra ISBN: 1498707815 ISBN-13(EAN): 9781498707817 Издательство: Taylor&Francis Рейтинг: Цена: 15312.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Stochastic Analysis for Gaussian Random Processes and Fields: With Applications presents Hilbert space methods to study deep analytic properties connecting probabilistic notions. In particular, it studies Gaussian random fields using reproducing kernel Hilbert spaces (RKHSs).
The book begins with preliminary results on covariance and associated RKHS before introducing the Gaussian process and Gaussian random fields. The authors use chaos expansion to define the Skorokhod integral, which generalizes the It integral. They show how the Skorokhod integral is a dual operator of Skorokhod differentiation and the divergence operator of Malliavin. The authors also present Gaussian processes indexed by real numbers and obtain a Kallianpur-Striebel Bayes' formula for the filtering problem. After discussing the problem of equivalence and singularity of Gaussian random fields (including a generalization of the Girsanov theorem), the book concludes with the Markov property of Gaussian random fields indexed by measures and generalized Gaussian random fields indexed by Schwartz space. The Markov property for generalized random fields is connected to the Markov process generated by a Dirichlet form.
Описание: Provides a comprehensive treatment of all the techniques in nonlinear dynamics together with C++, Java and SymbolicC++ implementations. This book not only covers the theoretical aspects of the topics but also provides the practical tools. To understand the material, it includes more than 100 worked out examples and 150 ready to run programs.
Автор: Van Casteren Jan A Название: Markov Processes, Feller Semigroups And Evolution Equations ISBN: 9814322180 ISBN-13(EAN): 9789814322188 Издательство: World Scientific Publishing Рейтинг: Цена: 41184.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. This book describes its generators and the link with stochastic differential equations in infinite dimensions.
Автор: Sophia L. Kalpazidou Название: Cycle Representations of Markov Processes ISBN: 1441921214 ISBN-13(EAN): 9781441921215 Издательство: Springer Рейтинг: Цена: 23058.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Автор: Mandjes, Michel Название: Large deviations for gaussian queues ISBN: 0470015233 ISBN-13(EAN): 9780470015230 Издательство: Wiley Рейтинг: Цена: 17891.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Demonstrates how the Gaussian traffic model arises naturally, and how the analysis of the corresponding queuing model can be performed. This text provides an introduction to Gaussian queues, and surveys research into the modelling of communications networks. It is useful for postgraduate students in applied probability, and operations research.
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