Handbook Of Stochastic Analysis And Applications PDF Download
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Author | : D. Kannan |
Publisher | : CRC Press |
Total Pages | : 808 |
Release | : 2001-10-23 |
Genre | : Mathematics |
ISBN | : 1482294702 |
Download Handbook of Stochastic Analysis and Applications Book in PDF, ePub and Kindle
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.
Author | : D. Kannan |
Publisher | : CRC Press |
Total Pages | : 800 |
Release | : 2001-10-23 |
Genre | : Mathematics |
ISBN | : 9780824706609 |
Download Handbook of Stochastic Analysis and Applications Book in PDF, ePub and Kindle
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.
Author | : Crispin Gardiner |
Publisher | : Springer |
Total Pages | : 0 |
Release | : 2010-10-19 |
Genre | : Science |
ISBN | : 9783642089626 |
Download Stochastic Methods Book in PDF, ePub and Kindle
In the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners.
Author | : Mark A. Pinsky |
Publisher | : CRC Press |
Total Pages | : 476 |
Release | : 2020-10-15 |
Genre | : Mathematics |
ISBN | : 1000146200 |
Download Stochastic Analysis and Applications Book in PDF, ePub and Kindle
This volume attempts to exhibit current research in stochastic integration, stochastic differential equations, stochastic optimization and stochastic problems in physics and biology. It includes information on the theory of Dirichlet forms, Feynman integration and the Schrodinger's equation.
Author | : Masaaki Kijima |
Publisher | : CRC Press |
Total Pages | : 345 |
Release | : 2016-04-19 |
Genre | : Business & Economics |
ISBN | : 1439884846 |
Download Stochastic Processes with Applications to Finance Book in PDF, ePub and Kindle
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools
Author | : Ana Isabel Cardoso |
Publisher | : Springer Science & Business Media |
Total Pages | : 480 |
Release | : 1994 |
Genre | : Mathematics |
ISBN | : |
Download Stochastic Analysis and Applications in Physics Book in PDF, ePub and Kindle
The intensive exchange between mathematicians and users has led in recent years to a rapid development of stochastic analysis. Of the users, the physicists form perhaps the most important group, giving direction to the mathematicians' research and providing a source of intuition. White noise analysis has emerged as a viable framework for stochastic and infinite dimensional analysis. Another growth area is the theory of stochastic partial differential equations. Gauge field theories are attracting increasing attention. Dirichlet forms provide a fruitful link between the mathematics of Markov processes and the physics of quantum systems. The deterministic-stochastic interface is addressed, as are Euclidean quantum mechanics, excursions of diffusions and the convergence of Markov chains to thermal states.
Author | : Sharples Norris |
Publisher | : |
Total Pages | : 368 |
Release | : 2012-09 |
Genre | : Mathematical optimization |
ISBN | : 9781781540909 |
Download Handbook of Stochastic Processes, Optimization and Control Theory Book in PDF, ePub and Kindle
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.
Author | : Grigorios A. Pavliotis |
Publisher | : Springer |
Total Pages | : 345 |
Release | : 2014-11-19 |
Genre | : Mathematics |
ISBN | : 1493913239 |
Download Stochastic Processes and Applications Book in PDF, ePub and Kindle
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.
Author | : Shigeo Kusuoka |
Publisher | : Springer Nature |
Total Pages | : 218 |
Release | : 2020-10-20 |
Genre | : Mathematics |
ISBN | : 9811588643 |
Download Stochastic Analysis Book in PDF, ePub and Kindle
This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions. In the final chapter, applications to mathematical finance are given. The preliminary knowledge needed by the reader is linear algebra and measure theory. Rigorous proofs are provided for theorems, propositions, and lemmas. In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts of the square integrable functions are used in the proof. In stochastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of stochastic differential equations.
Author | : Pierre Del Moral |
Publisher | : CRC Press |
Total Pages | : 866 |
Release | : 2017-02-24 |
Genre | : Mathematics |
ISBN | : 1498701841 |
Download Stochastic Processes Book in PDF, ePub and Kindle
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.