Diffusion Processes and Related Problems in Analysis, Volume I, Pinsky

Автор: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Описание: This definitive textbook provides a solid introduction to stochastic processes, covering both theory and applications. It is written by one of the world`s leading information theorists, evolving over twenty years of graduate classroom teaching, and is accompanied by over 300 exercises, with online solutions for instructors.

Автор: Koralov
Название: Theory of Probability and Random Processes
ISBN: 3540254846 ISBN-13(EAN): 9783540254843
Издательство: Springer
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Описание: A one-year course in probability theory and the theory of random processes, taught at Princeton University to undergraduate and graduate students, forms the core of the content of this bookIt is structured in two parts: the first part providing a detailed discussion of Lebesgue integration, Markov chains, random walks, laws of large numbers, limit theorems, and their relation to Renormalization Group theory. The second part includes the theory of stationary random processes, martingales, generalized random processes, Brownian motion, stochastic integrals, and stochastic differential equations. One section is devoted to the theory of Gibbs random fields.This material is essential to many undergraduate and graduate courses. The book can also serve as a reference for scientists using modern probability theory in their research.

Автор: Yor Marc
Название: Exponential Functionals of Brownian Motion and Related Processes
ISBN: 3540659439 ISBN-13(EAN): 9783540659433
Издательство: Springer
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Описание: This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of LГ©vy processes are indicated. Some papers originally published in French are made available in English for the first time.

Автор: Gy?rgy Terdik
Название: Bilinear Stochastic Models and Related Problems of Nonlinear Time Series Analysis
ISBN: 0387988726 ISBN-13(EAN): 9780387988726
Издательство: Springer
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Описание: The first two chapters are devoted to the basic theory of nonlinear functions of stationary Gaussian processes, Hermite polynomials, cumulants and higher order spectra, multiple Wiener-Ito integrals and finally chaotic Wiener-Ito spectral representation of subordinated processes.

Автор: Giuseppe Arbia
Название: Spatial Data Configuration in Statistical Analysis of Regional Economic and Related Problems
ISBN: 9401075786 ISBN-13(EAN): 9789401075787
Издательство: Springer
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Описание: Figure 1. 4: First order neighbours (a) and second order neighbours (b) of a reference area. a shows the first-order neighbours of a reference area, while Figure 1. While it is clear that the dependence is strongest between immediate neighbouring areas a certain degree of dependence may be present among higher-order neighbours.

Автор: Christiane Fuchs
Название: Inference for Diffusion Processes
ISBN: 3642430171 ISBN-13(EAN): 9783642430176
Издательство: Springer
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Описание: This book offers an overview of diffusion processes as an instrument for realistically modelling the time-continuous evolution of phenomena in the natural sciences as well as in finance and economics. The theory is demonstrated using real data applications.

Автор: Robert Aebi
Название: Schr?dinger Diffusion Processes
ISBN: 3034898746 ISBN-13(EAN): 9783034898744
Издательство: Springer
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Описание: In order to answer Schrodinger`s question, the book takes three distinct approaches, dealt with in separate chapters: transformation by means of a multiplicative functional, projection by means of relative entropy, and variation of a functional associated to pairs of non-linear integral equations.

Автор: A.B. Aries; N.V. Krylov
Название: Controlled Diffusion Processes
ISBN: 1461260531 ISBN-13(EAN): 9781461260530
Издательство: Springer
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Описание: Stochastic control theory is a relatively young branch of mathematics. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise.

Автор: V. Wihstutz; M.A. Pinsky
Название: Diffusion Processes and Related Problems in Analysis, Volume II
ISBN: 1461267390 ISBN-13(EAN): 9781461267393
Издательство: Springer
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Описание: During the weekend of March 16-18, 1990 the University of North Carolina at Charlotte hosted a conference on the subject of stochastic flows, as part of a Special Activity Month in the Department of Mathematics.