Download or read book Stochastic Process Limits written by Ward Whitt and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "The material is self-contained, but it is technical and a solid foundation in probability and queuing theory is beneficial to prospective readers. [... It] is intended to be accessible to those with less background. This book is a must to researchers and graduate students interested in these areas." ISI Short Book Reviews
Download or read book Limit Theorems for Stochastic Processes written by Jean Jacod and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 elementary introduction to the main topics: theory of martingales and 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. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students.
Download or read book Limit Theorems for Randomly Stopped Stochastic Processes written by Dmitrii S. Silvestrov and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is the first to present a state-of-the-art overview of this field, with many results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast and technically demanding Russian literature in detail. Its coverage is thorough, streamlined and arranged according to difficulty.
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 Convergence of Stochastic Processes written by D. Pollard and published by David Pollard. This book was released on 1984-10-08 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Functionals on stochastic processes; Uniform convergence of empirical measures; Convergence in distribution in euclidean spaces; Convergence in distribution in metric spaces; The uniform metric on space of cadlag functions; The skorohod metric on D [0, oo); Central limit teorems; Martingales.
Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Download or read book Basic Stochastic Processes written by Zdzislaw Brzezniak and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book for self-study provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes. The book centers on exercises as the main means of explanation.
Download or read book Limit Theorems for Randomly Stopped Stochastic Processes written by Dimitri Silvestrov and published by . This book was released on 2014-01-15 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A First Look At Stochastic Processes written by Jeffrey S Rosenthal and published by World Scientific. This book was released on 2019-09-26 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook introduces the theory of stochastic processes, that is, randomness which proceeds in time. Using concrete examples like repeated gambling and jumping frogs, it presents fundamental mathematical results through simple, clear, logical theorems and examples. It covers in detail such essential material as Markov chain recurrence criteria, the Markov chain convergence theorem, and optional stopping theorems for martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and space, Poisson processes, and renewal theory.Interspersed throughout are applications to such topics as gambler's ruin probabilities, random walks on graphs, sequence waiting times, branching processes, stock option pricing, and Markov Chain Monte Carlo (MCMC) algorithms.The focus is always on making the theory as well-motivated and accessible as possible, to allow students and readers to learn this fascinating subject as easily and painlessly as possible.
Download or read book Probability Stochastic Processes and Queueing Theory written by Randolph Nelson and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 595 pages. Available in PDF, EPUB and Kindle. Book excerpt: We will occasionally footnote a portion of text with a "**,, to indicate Notes on the that this portion can be initially bypassed. The reasons for bypassing a Text portion of the text include: the subject is a special topic that will not be referenced later, the material can be skipped on first reading, or the level of mathematics is higher than the rest of the text. In cases where a topic is self-contained, we opt to collect the material into an appendix that can be read by students at their leisure. The material in the text cannot be fully assimilated until one makes it Notes on "their own" by applying the material to specific problems. Self-discovery Problems is the best teacher and although they are no substitute for an inquiring mind, problems that explore the subject from different viewpoints can often help the student to think about the material in a uniquely per sonal way. With this in mind, we have made problems an integral part of this work and have attempted to make them interesting as well as informative.
Download or read book Mathematical Methods for Hydrodynamic Limits written by Anna DeMasi and published by Springer. This book was released on 2006-11-14 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Entropy inequalities, correlation functions, couplings between stochastic processes are powerful techniques which have been extensively used to give arigorous foundation to the theory of complex, many component systems and to its many applications in a variety of fields as physics, biology, population dynamics, economics, ... The purpose of the book is to make theseand other mathematical methods accessible to readers with a limited background in probability and physics by examining in detail a few models where the techniques emerge clearly, while extra difficulties arekept to a minimum. Lanford's method and its extension to the hierarchy of equations for the truncated correlation functions, the v-functions, are presented and applied to prove the validity of macroscopic equations forstochastic particle systems which are perturbations of the independent and of the symmetric simple exclusion processes. Entropy inequalities are discussed in the frame of the Guo-Papanicolaou-Varadhan technique and of theKipnis-Olla-Varadhan super exponential estimates, with reference to zero-range models. Discrete velocity Boltzmann equations, reaction diffusion equations and non linear parabolic equations are considered, as limits of particles models. Phase separation phenomena are discussed in the context of Glauber+Kawasaki evolutions and reaction diffusion equations. Although the emphasis is onthe mathematical aspects, the physical motivations are explained through theanalysis of the single models, without attempting, however to survey the entire subject of hydrodynamical limits.
Download or read book Stochastic Networks and Queues written by Philippe Robert and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Queues and stochastic networks are analyzed in this book with purely probabilistic methods. The purpose of these lectures is to show that general results from Markov processes, martingales or ergodic theory can be used directly to study the corresponding stochastic processes. Recent developments have shown that, instead of having ad-hoc methods, a better understanding of fundamental results on stochastic processes is crucial to study the complex behavior of stochastic networks. In this book, various aspects of these stochastic models are investigated in depth in an elementary way: Existence of equilibrium, characterization of stationary regimes, transient behaviors (rare events, hitting times) and critical regimes, etc. A simple presentation of stationary point processes and Palm measures is given. Scaling methods and functional limit theorems are a major theme of this book. In particular, a complete chapter is devoted to fluid limits of Markov processes.
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 Combinatorial Stochastic Processes written by Jim Pitman and published by Springer Science & Business Media. This book was released on 2006-05-11 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. There is particular focus on 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.
Download or read book Stochastic Calculus and Financial Applications written by J. Michael Steele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Download or read book Datensicherheit written by and published by . This book was released on 1909 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Scaling Limits of Interacting Particle Systems written by Claude Kipnis and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has been long awaited in the "interacting particle systems" community. Begun by Claude Kipnis before his untimely death, it was completed by Claudio Landim, his most brilliant student and collaborator. It presents the techniques used in the proof of the hydrodynamic behavior of interacting particle systems.
