Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Download or read book Stochastic Processes written by Pierre Del Moral and published by CRC Press. This book was released on 2017-02-24 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
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 Stochastic Methods written by Crispin Gardiner and published by Springer. This book was released on 2010-10-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners.
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 Handbook of Stochastic Processes Optimization and Control Theory written by Sharples Norris and published by . This book was released on 2012-09 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the handbook is highly multi-disciplinary. It addresses operations research, control theory and optimization, stochastic analysis, and financial engineering and reviews and substantially updates the recent progress in these fields.
Download or read book Stochastic Analysis and applications written by and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantum Noise written by Crispin Gardiner and published by Springer Science & Business Media. This book was released on 2004-08-27 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a systematic and comprehensive exposition of the quantum stochastic methods that have been developed in the field of quantum optics. It includes new treatments of photodetection, quantum amplifier theory, non-Markovian quantum stochastic processes, quantum input--output theory, and positive P-representations. It is the first book in which quantum noise is described by a mathematically complete theory in a form that is also suited to practical applications. Special attention is paid to non-classical effects, such as squeezing and antibunching. Chapters added to the previous edition, on the stochastic Schrödinger equation, and on cascaded quantum systems, and now supplemented, in the third edition by a chapter on recent developments in various pertinent fields such as laser cooling, Bose-Einstein condensation, quantum feedback and quantum information.
Download or read book A Handbook of Model Categories written by Scott Balchin and published by Springer Nature. This book was released on 2021-10-29 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book outlines a vast array of techniques and methods regarding model categories, without focussing on the intricacies of the proofs. Quillen model categories are a fundamental tool for the understanding of homotopy theory. While many introductions to model categories fall back on the same handful of canonical examples, the present book highlights a large, self-contained collection of other examples which appear throughout the literature. In particular, it collects a highly scattered literature into a single volume. The book is aimed at anyone who uses, or is interested in using, model categories to study homotopy theory. It is written in such a way that it can be used as a reference guide for those who are already experts in the field. However, it can also be used as an introduction to the theory for novices.
Download or read book Stochastic Analysis and Applications written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2007-04-24 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over presented the newest developments within the exciting and fast growing field of stochastic analysis. This volume combines both papers from the invited speakers and contributions by the presenting lecturers. In addition, it includes the Memoirs that Kiyoshi Ito wrote for this occasion.
Download or read book Fundamentals of Probability and Stochastic Processes with Applications to Communications written by Kun Il Park and published by Springer. This book was released on 2017-11-24 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides engineers with focused treatment of the mathematics needed to understand probability, random variables, and stochastic processes, which are essential mathematical disciplines used in communications engineering. The author explains the basic concepts of these topics as plainly as possible so that people with no in-depth knowledge of these mathematical topics can better appreciate their applications in real problems. Applications examples are drawn from various areas of communications. If a reader is interested in understanding probability and stochastic processes that are specifically important for communications networks and systems, this book serves his/her need.
Download or read book Handbook of Markov Decision Processes written by Eugene A. Feinberg and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eugene A. Feinberg Adam Shwartz This volume deals with the theory of Markov Decision Processes (MDPs) and their applications. Each chapter was written by a leading expert in the re spective area. The papers cover major research areas and methodologies, and discuss open questions and future research directions. The papers can be read independently, with the basic notation and concepts ofSection 1.2. Most chap ters should be accessible by graduate or advanced undergraduate students in fields of operations research, electrical engineering, and computer science. 1.1 AN OVERVIEW OF MARKOV DECISION PROCESSES The theory of Markov Decision Processes-also known under several other names including sequential stochastic optimization, discrete-time stochastic control, and stochastic dynamic programming-studiessequential optimization ofdiscrete time stochastic systems. The basic object is a discrete-time stochas tic system whose transition mechanism can be controlled over time. Each control policy defines the stochastic process and values of objective functions associated with this process. The goal is to select a "good" control policy. In real life, decisions that humans and computers make on all levels usually have two types ofimpacts: (i) they cost orsavetime, money, or other resources, or they bring revenues, as well as (ii) they have an impact on the future, by influencing the dynamics. In many situations, decisions with the largest immediate profit may not be good in view offuture events. MDPs model this paradigm and provide results on the structure and existence of good policies and on methods for their calculation.
Download or read book Introduction to Stochastic Calculus with Applications written by Fima C. Klebaner and published by Imperial College Press. This book was released on 2005 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Download or read book Handbook of Monte Carlo Methods written by Dirk P. Kroese and published by John Wiley & Sons. This book was released on 2013-06-06 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Download or read book Handbook of Brownian Motion Facts and Formulae written by Andrei N. Borodin and published by Springer Science & Business Media. This book was released on 2015-07-14 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.
Download or read book Introductory Stochastic Analysis for Finance and Insurance written by X. Sheldon Lin and published by John Wiley & Sons. This book was released on 2006-04-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory. Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers. This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries: * Overview of Probability Theory * Discrete-Time stochastic processes * Continuous-time stochastic processes * Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.
