Download or read book Lectures on Stochastic Analysis Diffusion Theory written by Daniel W. Stroock and published by CUP Archive. This book was released on 1987-02-19 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
Download or read book Lectures on Stochastic Analysis Diffusion Theory written by Daniel W. Stroock and published by Cambridge University Press. This book was released on 1987-02-19 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
Download or read book Lectures on Stochastic Analysis Diffusion Theory written by Daniel W. Stroock and published by . This book was released on 1987 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on a course given at Massachusetts Institute of Technology.
Download or read book Lectures on the Theory of Stochastic Processes written by Anatolij V. Skorochod and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-01-14 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Lectures on the Theory of Stochastic Processes".
Download or read book Lectures on BSDEs Stochastic Control and Stochastic Differential Games with Financial Applications written by Rene Carmona and published by SIAM. This book was released on 2016-02-18 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. While optimal control is taught in many graduate programs in applied mathematics and operations research, the author was intrigued by the lack of coverage of the theory of stochastic differential games. This is the first title in SIAM?s Financial Mathematics book series and is based on the author?s lecture notes. It will be helpful to students who are interested in stochastic differential equations (forward, backward, forward-backward); the probabilistic approach to stochastic control (dynamic programming and the stochastic maximum principle); and mean field games and control of McKean?Vlasov dynamics. The theory is illustrated by applications to models of systemic risk, macroeconomic growth, flocking/schooling, crowd behavior, and predatory trading, among others.
Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Download or read book Diffusion Processes and Stochastic Calculus written by Fabrice Baudoin and published by Erich Schmidt Verlag GmbH & Co. KG. This book was released on 2014 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of the book is to present, at a graduate level and in a self-contained way, the most important aspects of the theory of continuous stochastic processes in continuous time and to introduce some of its ramifications such as the theory of semigroups, the Malliavin calculus, and the Lyons' rough paths. This book is intended for students, or even researchers, who wish to learn the basics in a concise but complete and rigorous manner. Several exercises are distributed throughout the text to test the understanding of the reader and each chapter ends with bibliographic comments aimed at those interested in exploring the materials further. Stochastic calculus was developed in the 1950s and the range of its applications is huge and still growing today. Besides being a fundamental component of modern probability theory, domains of applications include but are not limited to: mathematical finance, biology, physics, and engineering sciences. The first part of the text is devoted to the general theory of stochastic processes. The author focuses on the existence and regularity results for processes and on the theory of martingales. This allows him to introduce the Brownian motion quickly and study its most fundamental properties. The second part deals with the study of Markov processes, in particular, diffusions. The author's goal is to stress the connections between these processes and the theory of evolution semigroups. The third part deals with stochastic integrals, stochastic differential equations and Malliavin calculus. In the fourth and final part, the author presents an introduction to the very new theory of rough paths by Terry Lyons.
Download or read book Essentials of Stochastic Processes written by Richard Durrett and published by Springer. This book was released on 2016-11-07 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.
Download or read book Stochastic Analysis of Biochemical Systems written by David F. Anderson and published by Springer. This book was released on 2015-04-23 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on counting processes and continuous-time Markov chains motivated by examples and applications drawn from chemical networks in systems biology. The book should serve well as a supplement for courses in probability and stochastic processes. While the material is presented in a manner most suitable for students who have studied stochastic processes up to and including martingales in continuous time, much of the necessary background material is summarized in the Appendix. Students and Researchers with a solid understanding of calculus, differential equations and elementary probability and who are well-motivated by the applications will find this book of interest. David F. Anderson is Associate Professor in the Department of Mathematics at the University of Wisconsin and Thomas G. Kurtz is Emeritus Professor in the Departments of Mathematics and Statistics at that university. Their research is focused on probability and stochastic processes with applications in biology and other areas of science and technology. These notes are based in part on lectures given by Professor Anderson at the University of Wisconsin – Madison and by Professor Kurtz at Goethe University Frankfurt.
Download or read book Hydrology and Hydraulic Systems written by Ram S. Gupta and published by Waveland Press. This book was released on 2016-09-07 with total page 902 pages. Available in PDF, EPUB and Kindle. Book excerpt: For more than 25 years, the multiple editions of Hydrology & Hydraulic Systems have set the standard for a comprehensive, authoritative treatment of the quantitative elements of water resources development. The latest edition extends this tradition of excellence in a thoroughly revised volume that reflects the current state of practice in the field of hydrology. Widely praised for its direct and concise presentation, practical orientation, and wealth of example problems, Hydrology & Hydraulic Systems presents fundamental theories and concepts balanced with excellent coverage of engineering applications and design. The Fourth Edition features a major revision of the chapter on distribution systems, as well as a new chapter on the application of remote sensing and computer modeling to hydrology. Outstanding features of the Fourth Edition include . . . • More than 350 illustrations and 200 tables • More than 225 fully solved examples, both in FPS and SI units • Fully worked-out examples of design projects with realistic data • More than 500 end-of-chapter problems for assignment • Discussion of statistical procedures for groundwater monitoring in accordance with the EPA’s Unified Guidance • Detailed treatment of hydrologic field investigations and analytical procedures for data assessment, including the USGS acoustic Doppler current profiler (ADCP) approach • Thorough coverage of theory and design of loose-boundary channels, including the latest concept of combining the regime theory and the power function laws
Download or read book Braids and Coverings written by Vagn Lundsgaard Hansen and published by Cambridge University Press. This book was released on 1989-12-07 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essays develop the elementary theory of Artin Braid groups geometrically and via homotopy theory, discuss the link between knot theory and the combinatorics of braid groups through Markou's Theorem and investigate polynomial covering maps.
Download or read book An Introduction to Noncommutative Noetherian Rings written by K. R. Goodearl and published by Cambridge University Press. This book was released on 1989 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces and applies the standard techniques in the area (ring of fractions, bimodules, Krull dimension, linked prime ideals).
Download or read book An Introduction to Hankel Operators written by Jonathan R. Partington and published by Cambridge University Press. This book was released on 1988 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hankel operators are of wide application in mathematics and engineering and this account of them is both elementary and rigorous.
Download or read book Automorphisms of Surfaces After Nielsen and Thurston written by Andrew J. Casson and published by Cambridge University Press. This book was released on 1988-08-18 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to selected aspects of modern low-dimensional topology for readers with a knowledge of basic algebra.
Download or read book Spacetime and Singularities written by Gregory L. Naber and published by Cambridge University Press. This book was released on 1988 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: An elementary introduction to the geometrical methods and notions used in special and general relativity. Emphasizes the ideas concerned with structure of space-time that play a role in Penrose-Hawking singularity theorems.
Download or read book Theory and Statistical Applications of Stochastic Processes written by Yuliya Mishura and published by John Wiley & Sons. This book was released on 2018-01-04 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with the theory of stochastic processes and the theoretical aspects of statistics for stochastic processes. It combines classic topics such as construction of stochastic processes, associated filtrations, processes with independent increments, Gaussian processes, martingales, Markov properties, continuity and related properties of trajectories with contemporary subjects: integration with respect to Gaussian processes, Itȏ integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models.
Download or read book Essentials of Stochastic Processes written by Kiyosi Itō and published by American Mathematical Soc.. This book was released on 2006 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an English translation of Kiyosi Ito's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Levy processes), stationary processes, and Markov processes, which constitute the three most important classes of stochastic processes. Written by one of the leading experts in the field, this volume presents to the reader lucid explanations of the fundamental concepts and basic results in each of these three major areasof the theory of stochastic processes. With the requirements limited to an introductory graduate course on analysis (especially measure theory) and basic probability theory, this book is an excellent text for any graduate course on stochastic processes. Kiyosi Ito is famous throughout the world forhis work on stochastic integrals (including the Ito formula), but he has made substantial contributions to other areas of probability theory as well, such as additive processes, stationary processes, and Markov processes (especially diffusion processes), which are topics covered in this book. For his contributions and achievements, he has received, among others, the Wolf Prize, the Japan Academy Prize, and the Kyoto Prize.
