Probability and Stochastic Modeling, Rotar, Vladimir I.
Новое издание
Автор: Rotar, Vladimir I. Название: Actuarial Models ISBN: 1482227061 ISBN-13(EAN): 9781482227062 Издательство: Taylor&Francis Цена: 15312.00 р. Наличие на складе: Поставка под заказ.
Автор: Gallager Название: Stochastic Processes ISBN: 1107039754 ISBN-13(EAN): 9781107039759 Издательство: Cambridge Academ Рейтинг: Цена: 11246.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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: Oksendal Название: Stochastic Differential Equations ISBN: 3540047581 ISBN-13(EAN): 9783540047582 Издательство: Springer Рейтинг: Цена: 8223.00 р. Наличие на складе: Есть (1 шт.) Описание: Gives an introduction to the basic theory of stochastic calculus and its applications. This book offers examples in order to motivate and illustrate the theory and show its importance for many applications in for example economics, biology and physics.
Автор: Musiela Marek Название: Martingale Methods in Financial Modelling ISBN: 3540209662 ISBN-13(EAN): 9783540209669 Издательство: Springer Рейтинг: Цена: 11738.00 р. 16769.00-30% Наличие на складе: Есть (1 шт.) Описание: In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.
Автор: Platen Название: Numerical Solution of Stochastic Differential Equations with Jumps in Finance ISBN: 3642120571 ISBN-13(EAN): 9783642120572 Издательство: Springer Рейтинг: Цена: 12717.00 р. 18167.00-30% Наличие на складе: Есть (1 шт.) Описание: It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability.
Автор: Karatzas Название: Brownian Motion and Stochastic Calculus ISBN: 0387976558 ISBN-13(EAN): 9780387976556 Издательство: Springer Рейтинг: Цена: 6981.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.
Описание: Discrete event systems (DES) have become pervasive in our daily lives. Examples include (but are not restricted to) manufacturing and supply chains, transportation, healthcare, call centers, and financial engineering. However, due to their complexities that often involve millions or even billions of events with many variables and constraints, modeling these stochastic simulations has long been a "hard nut to crack." The advance in available computer technology, especially of cluster and cloud computing, has paved the way for the realization of a number of stochastic simulation optimization for complex discrete event systems. This book will introduce two important techniques initially proposed and developed by Professor Y C Ho and his team; namely perturbation analysis and ordinal optimization for stochastic simulation optimization, and present the state-of-the-art technology, and their future research directions.
Автор: Hernandez-Lerma Название: Discrete-Time Markov Control Processes ISBN: 0387945792 ISBN-13(EAN): 9780387945798 Издательство: Springer Рейтинг: Цена: 18167.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This text provides a unified treatment of some recent theoretical developments on Markov control processes. Interest is mainly confined to MCPs with Borel state and control spaces, and possibly unbound costs and non-compact control constraint sets.
Автор: Darwiche Название: Modeling and Reasoning with Bayesian Networks ISBN: 1107678420 ISBN-13(EAN): 9781107678422 Издательство: Cambridge Academ Рейтинг: Цена: 9821.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a thorough introduction to the formal foundations and practical applications of Bayesian networks. It provides an extensive discussion of techniques for building Bayesian networks that model real-world situations, including techniques for synthesizing models from design, learning models from data, and debugging models using sensitivity analysis.
Автор: Rotar, Vladimir I. Название: Probability and Stochastic Modeling ISBN: 0367380943 ISBN-13(EAN): 9780367380946 Издательство: Taylor&Francis Рейтинг: Цена: 9798.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Probability and Stochastic Modeling not only covers all the topics found in a traditional introductory probability course, but also emphasizes stochastic modeling, including Markov chains, birth-death processes, and reliability models. Unlike most undergraduate-level probability texts, the book also focuses on increasingly important areas, such as martingales, classification of dependency structures, and risk evaluation. Numerous examples, exercises, and models using real-world data demonstrate the practical possibilities and restrictions of different approaches and help students grasp general concepts and theoretical results. The text is suitable for majors in mathematics and statistics as well as majors in computer science, economics, finance, and physics. The author offers two explicit options to teaching the material, which is reflected in "routes" designated by special "roadside" markers. The first route contains basic, self-contained material for a one-semester course. The second provides a more complete exposition for a two-semester course or self-study.
Автор: Ghahramani Название: Fndmntls Of Probability 4E ISBN: 1498755097 ISBN-13(EAN): 9781498755092 Издательство: Taylor&Francis Рейтинг: Цена: 16843.00 р. Наличие на складе: Поставка под заказ.
Описание: Covers topics used in a calculus-based junior-senior probability course. It can also be used as a text for a second course in probability. The historical roots and applications of many of the theorems and definitions are presented in detail, accompanied by suitable examples or counterexamples.
Описание: This book is an up-to-date, unified and rigorous treatment of theoretical, computational and applied research on Markov decision process models. The concentration of the book is on infinite-horizon discrete-time models, and it also discusses arbitrary state spaces, finite-horizon and continuous-time discrete-state models.
Описание: This book provides a lively and accessible introduction to the numerical solution of stochastic differential equations with the aim of making this subject available to the widest possible readership. It presents an outline of the underlying convergence and stability theory while avoiding technical details. Key ideas are illustrated with numerous computational examples and computer code is listed at the end of each chapter. The authors include 150 exercises, with solutions available online, and 40 programming tasks.Although introductory, the book covers a range of modern research topics, including It? versus Stratonovich calculus, implicit methods, stability theory, nonconvergence on nonlinear problems, multilevel Monte Carlo, approximation of double stochastic integrals, and tau leaping for chemical and biochemical reaction networks.An Introduction to the Numerical Simulation of Stochastic Differential Equations is appropriate for undergraduates and postgraduates in mathematics, engineering, physics, chemistry, finance, and related disciplines, as well as researchers in these areas. The material assumes only a competence in algebra and calculus at the level reached by a typical first-year undergraduate mathematics class, and prerequisites are kept to a minimum. Some familiarity with basic concepts from numerical analysis and probability is also desirable but not necessary.
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