Asymptotic Parameter Estimation Theory For Stochastic Differential Equations Microform PDF Download
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Author | : Raphael Abel Kasonga |
Publisher | : National Library of Canada |
Total Pages | : 190 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Asymptotic Parameter Estimation Theory for Stochastic Differential Equations [microform] Book in PDF, ePub and Kindle
Author | : A. V. Skorokhod |
Publisher | : American Mathematical Soc. |
Total Pages | : 339 |
Release | : 2009-01-07 |
Genre | : Mathematics |
ISBN | : 9780821846865 |
Download Asymptotic Methods in the Theory of Stochastic Differential Equations Book in PDF, ePub and Kindle
Written by one of the foremost Soviet experts in the field, this book is intended for specialists in the theory of random processes and its applications. The author's 1982 monograph on stochastic differential equations, written with Iosif Ilich Gikhman, did not include a number of topics important to applications. The present work begins to fill this gap by investigating the asymptotic behavior of stochastic differential equations. The main topics are ergodic theory for Markov processes and for solutions of stochastic differential equations, stochastic differential equations containing a small parameter, and stability theory for solutions of systems of stochastic differential equations.
Author | : Kęstutis Kubilius |
Publisher | : Springer |
Total Pages | : 390 |
Release | : 2018-01-04 |
Genre | : Mathematics |
ISBN | : 3319710303 |
Download Parameter Estimation in Fractional Diffusion Models Book in PDF, ePub and Kindle
This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field. The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics.
Author | : Anatoliy M Samoilenko |
Publisher | : World Scientific |
Total Pages | : 323 |
Release | : 2011-06-07 |
Genre | : Mathematics |
ISBN | : 981446239X |
Download Qualitative And Asymptotic Analysis Of Differential Equations With Random Perturbations Book in PDF, ePub and Kindle
Differential equations with random perturbations are the mathematical models of real-world processes that cannot be described via deterministic laws, and their evolution depends on random factors. The modern theory of differential equations with random perturbations is on the edge of two mathematical disciplines: random processes and ordinary differential equations. Consequently, the sources of these methods come both from the theory of random processes and from the classic theory of differential equations.This work focuses on the approach to stochastic equations from the perspective of ordinary differential equations. For this purpose, both asymptotic and qualitative methods which appeared in the classical theory of differential equations and nonlinear mechanics are developed.
Author | : |
Publisher | : |
Total Pages | : 812 |
Release | : 1989 |
Genre | : Canada |
ISBN | : |
Download Canadiana Book in PDF, ePub and Kindle
Author | : Albert N Shiryaev |
Publisher | : World Scientific |
Total Pages | : 301 |
Release | : 2000-07-04 |
Genre | : Mathematics |
ISBN | : 9814494151 |
Download Statistical Experiments And Decision, Asymptotic Theory Book in PDF, ePub and Kindle
This volume provides an exposition of some fundamental aspects of the asymptotic theory of statistical experiments. The most important of them is “how to construct asymptotically optimal decisions if we know the structure of optimal decisions for the limit experiment”.
Author | : Jiming Jiang |
Publisher | : CRC Press |
Total Pages | : 215 |
Release | : 2017-09-19 |
Genre | : Mathematics |
ISBN | : 1351645595 |
Download Asymptotic Analysis of Mixed Effects Models Book in PDF, ePub and Kindle
Large sample techniques are fundamental to all fields of statistics. Mixed effects models, including linear mixed models, generalized linear mixed models, non-linear mixed effects models, and non-parametric mixed effects models are complex models, yet, these models are extensively used in practice. This monograph provides a comprehensive account of asymptotic analysis of mixed effects models. The monograph is suitable for researchers and graduate students who wish to learn about asymptotic tools and research problems in mixed effects models. It may also be used as a reference book for a graduate-level course on mixed effects models, or asymptotic analysis.
Author | : Jianhai Bao |
Publisher | : Springer |
Total Pages | : 0 |
Release | : 2016-11-30 |
Genre | : Mathematics |
ISBN | : 9783319469782 |
Download Asymptotic Analysis for Functional Stochastic Differential Equations Book in PDF, ePub and Kindle
This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity.This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.
Author | : A. Stan Hurn |
Publisher | : |
Total Pages | : 7 |
Release | : 1995 |
Genre | : Stochastic differential equations |
ISBN | : 9780732512279 |
Download Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods Book in PDF, ePub and Kindle
Author | : Albert Tarantola |
Publisher | : SIAM |
Total Pages | : 348 |
Release | : 2005-01-01 |
Genre | : Mathematics |
ISBN | : 0898715725 |
Download Inverse Problem Theory and Methods for Model Parameter Estimation Book in PDF, ePub and Kindle
This book proposes a general approach to the basic difficulties appearing in the resolution of inverse problems.