Download or read book Fluctuations of L vy Processes with Applications written by Andreas E. Kyprianou and published by Springer Science & Business Media. This book was released on 2014-01-09 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markov processes. This textbook is based on a series of graduate courses concerning the theory and application of Lévy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recent developments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their application to ruin theory, as well as including an extensive overview of the classical and modern theory of positive self-similar Markov processes. Each chapter has a comprehensive set of exercises.
Download or read book L vy Processes written by Jean Bertoin and published by Cambridge University Press. This book was released on 1996-07-13 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an up-to-date and comprehensive account of the theory of Lévy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued Lévy processes and in fluctuation theory. Lévy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.
Download or read book Applications of L vy Processes written by Oleg Kudryavtsev and published by Nova Science Publishers. This book was released on 2021 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Lévy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Lévy process in finance is the Black-Scholes model. This book presents important financial applications of Lévy processes. The Editors consider jump-diffusion and pure non-Gaussian Lévy processes, the multi-dimensional Black-Scholes model, and regime-switching Lévy models. This book is comprised of seven chapters that focus on different approaches to solving applied problems under Lévy processes: Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorization. Various numerical examples are carefully presented in tables and figures to illustrate the methods designed in the book"--
Download or read book Stable L vy Processes via Lamperti Type Representations written by Andreas E. Kyprianou and published by Cambridge University Press. This book was released on 2022-04-07 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: A systematic treatment of stable Lévy processes and self-similar Markov processes, for graduate students and researchers in the field.
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 L vy Processes written by Ole E Barndorff-Nielsen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.
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 Storage Processes written by N.U. Prabhu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: A self-contained treatment of stochastic processes arising from models for queues, insurance risk, and dams and data communication, using their sample function properties. The approach is based on the fluctuation theory of random walks, L vy processes, and Markov-additive processes, in which Wiener-Hopf factorisation plays a central role. This second edition includes results for the virtual waiting time and queue length in single server queues, while the treatment of continuous time storage processes is thoroughly revised and simplified. With its prerequisite of a graduate-level course in probability and stochastic processes, this book can be used as a text for an advanced course on applied probability models.
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 High Dimensional Probability written by Roman Vershynin and published by Cambridge University Press. This book was released on 2018-09-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated package of powerful probabilistic tools and key applications in modern mathematical data science.
Download or read book Simulation of Semiconductor Processes and Devices 2001 written by Dimitris Tsoukalas and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the Proceedings of the International Conference on Simulation of Semiconductor Devices and Processes, SISPAD 01, held on September 5–7, 2001, in Athens. The conference provided an open forum for the presentation of the latest results and trends in process and device simulation. The trend towards shrinking device dimensions and increasing complexity in process technology demands the continuous development of advanced models describing basic physical phenomena involved. New simulation tools are developed to complete the hierarchy in the Technology Computer Aided Design simulation chain between microscopic and macroscopic approaches. The conference program featured 8 invited papers, 60 papers for oral presentation and 34 papers for poster presentation, selected from a total of 165 abstracts from 30 countries around the world. These papers disclose new and interesting concepts for simulating processes and devices.
Download or read book Levy Processes in Finance written by Wim Schoutens and published by Wiley. This book was released on 2003-05-07 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance. * Provides an introduction to the use of L?vy processes in finance. * Features many examples using real market data, with emphasis on the pricing of financial derivatives. * Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling. * Includes many figures to illustrate the theory and examples discussed. * Avoids unnecessary mathematical formalities. The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.
Download or read book Physics of Semiconductor Devices written by Simon M. Sze and published by John Wiley & Sons. This book was released on 2021-03-24 with total page 944 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new edition of the most detailed and comprehensive single-volume reference on major semiconductor devices The Fourth Edition of Physics of Semiconductor Devices remains the standard reference work on the fundamental physics and operational characteristics of all major bipolar, unipolar, special microwave, and optoelectronic devices. This fully updated and expanded edition includes approximately 1,000 references to original research papers and review articles, more than 650 high-quality technical illustrations, and over two dozen tables of material parameters. Divided into five parts, the text first provides a summary of semiconductor properties, covering energy band, carrier concentration, and transport properties. The second part surveys the basic building blocks of semiconductor devices, including p-n junctions, metal-semiconductor contacts, and metal-insulator-semiconductor (MIS) capacitors. Part III examines bipolar transistors, MOSFETs (MOS field-effect transistors), and other field-effect transistors such as JFETs (junction field-effect-transistors) and MESFETs (metal-semiconductor field-effect transistors). Part IV focuses on negative-resistance and power devices. The book concludes with coverage of photonic devices and sensors, including light-emitting diodes (LEDs), solar cells, and various photodetectors and semiconductor sensors. This classic volume, the standard textbook and reference in the field of semiconductor devices: Provides the practical foundation necessary for understanding the devices currently in use and evaluating the performance and limitations of future devices Offers completely updated and revised information that reflects advances in device concepts, performance, and application Features discussions of topics of contemporary interest, such as applications of photonic devices that convert optical energy to electric energy Includes numerous problem sets, real-world examples, tables, figures, and illustrations; several useful appendices; and a detailed solutions manual Explores new work on leading-edge technologies such as MODFETs, resonant-tunneling diodes, quantum-cascade lasers, single-electron transistors, real-space-transfer devices, and MOS-controlled thyristors Physics of Semiconductor Devices, Fourth Edition is an indispensable resource for design engineers, research scientists, industrial and electronics engineering managers, and graduate students in the field.
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Download or read book Probability and Random Processes written by Geoffrey Grimmett and published by Oxford University Press, USA. This book was released on 2020-07-16 with total page 682 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fourth edition of this successful text provides an introduction to probability and random processes, with many practical applications. It is aimed at mathematics undergraduates and postgraduates, and has four main aims. US � To provide a thorough but straightforward account of basic probability theory, giving the reader a natural feel for the subject unburdened by oppressive technicalities.BE � To discuss important random processes in depth with many examples.BE � To cover a range of topics that are significant and interesting but less routine.BE � To impart to the beginner some flavour of advanced work.BE UE OP The book begins with the basic ideas common to most undergraduate courses in mathematics, statistics, and science. It ends with material usually found at graduate level, for example, Markov processes, (including Markov chain Monte Carlo), martingales, queues, diffusions, (including stochastic calculus with It�'s formula), renewals, stationary processes (including the ergodic theorem), and option pricing in mathematical finance using the Black-Scholes formula. Further, in this new revised fourth edition, there are sections on coupling from the past, L�vy processes, self-similarity and stability, time changes, and the holding-time/jump-chain construction of continuous-time Markov chains. Finally, the number of exercises and problems has been increased by around 300 to a total of about 1300, and many of the existing exercises have been refreshed by additional parts. The solutions to these exercises and problems can be found in the companion volume, One Thousand Exercises in Probability, third edition, (OUP 2020).CP
Download or read book Chemical Changes During Processing and Storage of Foods written by Delia B. Rodriguez-Amaya and published by Academic Press. This book was released on 2020-11-25 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chemical Changes During Processing and Storage of Foods: Implications for Food Quality and Human Health presents a comprehensive and updated discussion of the major chemical changes occurring in foods during processing and storage, the mechanisms and influencing factors involved, and their effects on food quality, shelf-life, food safety, and health. Food components undergo chemical reactions and interactions that produce both positive and negative consequences. This book brings together classical and recent knowledge to deliver a deeper understanding of this topic so that desirable alterations can be enhanced and undesirable changes avoided or reduced. Chemical Changes During Processing and Storage of Foods provides researchers in the fields of food science, nutrition, public health, medical sciences, food security, biochemistry, pharmacy, chemistry, chemical engineering, and agronomy with a strong knowledge to support their endeavors to improve the food we consume. It will also benefit undergraduate and graduate students working on a variety of disciplines in food chemistry Offers a comprehensive overview of the major chemical changes that occur in foods at the molecular level and discusses the positive and negative effects on food quality and human health Describes the mechanisms of these chemical changes and the factors that impede or accelerate their occurrence Helps to solve daily industry problems such as loss of color and nutritional quality, alteration of texture, flavor deterioration or development of off-flavor, loss of nutrients and bioactive compounds or lowering of their bioefficacy, and possible formation of toxic compounds
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
