Stochastic Processes

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance...

This undergraduate text distils the wisdom of an experienced teacher and yields, to the mutual advantage of students and their instructors, a sound and stimulating introduction to probability theory. The accent is on its essential role in statistical...

The long-awaited revision of Fundamentals of Applied Probability and Random Processes expands on the central components that made the first edition a classic. The title is based on the premise that engineers use probability as a modeling tool, and that...

Probability and Random Processes provides a clear presentation of foundational concepts with specific applications to signal processing and communications, clearly the two areas of most interest to students and instructors in this course. It...

This volume covers a broad spectrum of topics in stochastic geometry, including percolation, tessellations, Gaussian fields and point processes. Based on lectures given at the Stochastic Geometry Days held by the Stochastic Geometry Research Group from...

This textbook provides a comprehensive exploration of anomalous stochastic processes and extreme events, commonly referred to as "black swans," with a particular focus on (multi-)fractal approaches and continuous-time random walks. The authors present a...

This is an essential textbook for senior undergraduate and graduate students of statistics, stochastic processes, stochastic finance, and probability theory. It covers all the important notations of probability theory and stochastic processes that are...

Uncertainty and risk are integral to engineering because real systems have inherent ambiguities that arise naturally or due to our inability to model complex physics. The authors discuss probability theory, stochastic processes, estimation, and...

These notes are based on a course of lectures given by Professor Nelson at Princeton during the spring term of 1966. The subject of Brownian motion has long been of interest in mathematical probability. In these lectures, Professor Nelson traces the...

Kiyosi Ito's greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. Starting with the geometric ideas that guided him, this book gives an...

A cornerstone of applied probability, Markov chains can be used to help model how plants grow, chemicals react, and atoms diffuse--and applications are increasingly being found in such areas as engineering, computer science, economics, and education. To...

Based on lectures in Erevan, this exposition of ergodic theory contains a rich collection of examples well chosen to introduce the reader to the main themes of the subject. Topics discussed include existence of invariant measures, geodesic flows on...

Probability theory is a rapidly expanding field and is used in many areas of science and technology. Beginning from a basis of abstract analysis, this mathematics book develops the knowledge needed for advanced students to develop a complex understanding...

Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk models and covers several aspects of risk theory. The first of them is the smoothness of the survival probabilities. In particular, the book provides a...

This book discusses various problems in stochastic Processes, Control Theory, Electromagnetics, Classical and Quantum Field Theory & Quantum Stochastics. The problems are chosen to motivate the interested reader to learn more about these subjects from...

This book illustrates a number of asymptotic and analytic approaches applied for the study of random evolutionary systems, and considers typical problems for specific examples. In this case, constructive mathematical models of natural processes are used,...

Introduction to Probability and Statistics for Engineers and Scientists, Sixth Edition, uniquely emphasizes how probability informs statistical problems, thus helping readers develop an intuitive understanding of the statistical procedures commonly used...

Introduction to Stochastic Level Crossing Techniques describes stochastic models and their analysis using the System Point Level Crossing method (abbreviated SPLC or LC). This involves deriving probability density functions (pdfs) or cumulative...

Environmental Data Analysis with MATLAB, Third Edition, is a new edition that expands fundamentally on the original with an expanded tutorial approach, more clear organization, new crib sheets, and problem sets providing a clear learning path for...

The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been...

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...

Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Ito's...

Apologies but we at Booksplease don't have a full description for this book.Book InformationISBN 9780984422197Author Vladimir Ilich PiterbargFormat PaperbackPage Count 182Imprint Atlantic Financial PressPublisher Atlantic Financial PressWeight(grams)...

The theory of large deviations deals with rates at which probabilities of certain events decay as a natural parameter in the problem varies. This book, which is based on a graduate course on large deviations at the Courant Institute, focuses on three...

Markov process theory is basically an extension of ordinary calculus to accommodate functions whos time evolutions are not entirely deterministic. It is a subject that is becoming increasingly important for many fields of science. This book develops the...

Functional Gaussian Approximation for Dependent Structures develops and analyses mathematical models for phenomena that evolve in time and influence each another. It provides a better understanding of the structure and asymptotic behaviour of stochastic...

This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is...

This simple, compact toolkit for designing and analyzing stochastic approximation algorithms requires only basic literacy in probability and differential equations. Yet these algorithms have powerful applications in control and communications...

Computational finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact...

Direct and to the point, this book from one of the field's leaders covers Brownian motion and stochastic calculus at the graduate level, and illustrates the use of that theory in various application domains, emphasizing business and economics. The...

Apologies but we at Booksplease don't have a full description for this book.Book InformationISBN 9780486490960Author A. KhinchinFormat PaperbackPage Count 128Imprint Dover Publications Inc.Publisher Dover Publications Inc.Weight(grams) 141gDimensions(mm)...

This book grew out of the notes for a one-semester basic graduate course in probability. As the title suggests, it is meant to be an introduction to probability and could serve as textbook for a year long text for a basic graduate course. It assumes some...

One of the central problems in operations research and management science is how to quantify the effects of uncertainty about the future. This, the second volume in a series of handbooks, is devoted to models where chance events play a major role. The...

Anyone involved in the philosophy of science is naturally drawn into the study of the foundations of probability. Different interpretations of probability, based on competing philosophical ideas, lead to different statistical techniques, and frequently...

The aim of this book is to report on the progress realized in probability theory in the field of dynamic random walks and to present applications in computer science, mathematical physics and finance. Each chapter contains didactical material as well as...

Recent breakthroughs in volatility modelling have brought fractional stochastic calculus to a groundbreaking position. Readers of Fractional S(P)DEs will find a unique and comprehensive overview encompassing the theory and the numerics of both ordinary...

This research monograph explores new frontiers in Markov chains. Although time-homogeneous Markov chains are well understood, this is not at all the case with time-inhomogeneous ones. The book, after a review on the classical theory of homogeneous...

Apologies but we at Booksplease don't have a full description for this book.Book InformationISBN 9781632380494Author Charlin ChesterFormat HardbackImprint NY Research PressPublisher NY Research PressWeight(grams) 762g

This book examines optimization problems that in practice involve random model parameters. It outlines the computation of robust optimal solutions, i.e., optimal solutions that are insensitive to random parameter variations, where appropriate...

The purpose of this book is to present results on the subject of weak convergence in function spaces to study invariance principles in statistical applications to dependent random variables, U-statistics, censor data analysis. Different techniques,...