Stopped Random Walks PDF Download
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Author | : Allan Gut |
Publisher | : Springer Science & Business Media |
Total Pages | : 208 |
Release | : 2013-04-17 |
Genre | : Mathematics |
ISBN | : 1475719922 |
Download Stopped Random Walks Book in PDF, ePub and Kindle
My first encounter with renewal theory and its extensions was in 1967/68 when I took a course in probability theory and stochastic processes, where the then recent book Stochastic Processes by Professor N.D. Prabhu was one of the requirements. Later, my teacher, Professor Carl-Gustav Esseen, gave me some problems in this area for a possible thesis, the result of which was Gut (1974a). Over the years I have, on and off, continued research in this field. During this time it has become clear that many limit theorems can be obtained with the aid of limit theorems for random walks indexed by families of positive, integer valued random variables, typically by families of stopping times. During the spring semester of 1984 Professor Prabhu visited Uppsala and very soon got me started on a book focusing on this aspect. I wish to thank him for getting me into this project, for his advice and suggestions, as well as his kindness and hospitality during my stay at Cornell in the spring of 1985. Throughout the writing of this book I have had immense help and support from Svante Janson. He has not only read, but scrutinized, every word and every formula of this and earlier versions of the manuscript. My gratitude to him for all the errors he found, for his perspicacious suggestions and remarks and, above all, for what his unusual personal as well as scientific generosity has meant to me cannot be expressed in words.
Author | : Allan Gut |
Publisher | : Springer |
Total Pages | : 212 |
Release | : 2014-01-15 |
Genre | : |
ISBN | : 9781475719932 |
Download Stopped Random Walks Book in PDF, ePub and Kindle
Author | : Philipp Blanchard |
Publisher | : Springer Science & Business Media |
Total Pages | : 271 |
Release | : 2011-05-26 |
Genre | : Science |
ISBN | : 364219592X |
Download Random Walks and Diffusions on Graphs and Databases Book in PDF, ePub and Kindle
Most networks and databases that humans have to deal with contain large, albeit finite number of units. Their structure, for maintaining functional consistency of the components, is essentially not random and calls for a precise quantitative description of relations between nodes (or data units) and all network components. This book is an introduction, for both graduate students and newcomers to the field, to the theory of graphs and random walks on such graphs. The methods based on random walks and diffusions for exploring the structure of finite connected graphs and databases are reviewed (Markov chain analysis). This provides the necessary basis for consistently discussing a number of applications such diverse as electric resistance networks, estimation of land prices, urban planning, linguistic databases, music, and gene expression regulatory networks.
Author | : Andrew W. Lo |
Publisher | : Princeton University Press |
Total Pages | : 449 |
Release | : 2011-11-14 |
Genre | : Business & Economics |
ISBN | : 1400829097 |
Download A Non-Random Walk Down Wall Street Book in PDF, ePub and Kindle
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Author | : A. A. Borovkov |
Publisher | : Cambridge University Press |
Total Pages | : 437 |
Release | : 2020-10-29 |
Genre | : Mathematics |
ISBN | : 1108901204 |
Download Asymptotic Analysis of Random Walks Book in PDF, ePub and Kindle
This is a companion book to Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions by A.A. Borovkov and K.A. Borovkov. Its self-contained systematic exposition provides a highly useful resource for academic researchers and professionals interested in applications of probability in statistics, ruin theory, and queuing theory. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time.
Author | : Mikhail Menshikov |
Publisher | : Cambridge University Press |
Total Pages | : 385 |
Release | : 2016-12-22 |
Genre | : Mathematics |
ISBN | : 1316867366 |
Download Non-homogeneous Random Walks Book in PDF, ePub and Kindle
Stochastic systems provide powerful abstract models for a variety of important real-life applications: for example, power supply, traffic flow, data transmission. They (and the real systems they model) are often subject to phase transitions, behaving in one way when a parameter is below a certain critical value, then switching behaviour as soon as that critical value is reached. In a real system, we do not necessarily have control over all the parameter values, so it is important to know how to find critical points and to understand system behaviour near these points. This book is a modern presentation of the 'semimartingale' or 'Lyapunov function' method applied to near-critical stochastic systems, exemplified by non-homogeneous random walks. Applications treat near-critical stochastic systems and range across modern probability theory from stochastic billiards models to interacting particle systems. Spatially non-homogeneous random walks are explored in depth, as they provide prototypical near-critical systems.
Author | : Allan Gut |
Publisher | : Springer Science & Business Media |
Total Pages | : 617 |
Release | : 2006-03-16 |
Genre | : Mathematics |
ISBN | : 0387273328 |
Download Probability: A Graduate Course Book in PDF, ePub and Kindle
This textbook on the theory of probability starts from the premise that rather than being a purely mathematical discipline, probability theory is an intimate companion of statistics. The book starts with the basic tools, and goes on to cover a number of subjects in detail, including chapters on inequalities, characteristic functions and convergence. This is followed by explanations of the three main subjects in probability: the law of large numbers, the central limit theorem, and the law of the iterated logarithm. After a discussion of generalizations and extensions, the book concludes with an extensive chapter on martingales.
Author | : Peter G. Doyle |
Publisher | : American Mathematical Soc. |
Total Pages | : 159 |
Release | : 1984-12-31 |
Genre | : Electric network topology |
ISBN | : 1614440220 |
Download Random Walks and Electric Networks Book in PDF, ePub and Kindle
Probability theory, like much of mathematics, is indebted to physics as a source of problems and intuition for solving these problems. Unfortunately, the level of abstraction of current mathematics often makes it difficult for anyone but an expert to appreciate this fact. Random Walks and electric networks looks at the interplay of physics and mathematics in terms of an example—the relation between elementary electric network theory and random walks —where the mathematics involved is at the college level.
Author | : Gregory F. Lawler |
Publisher | : Springer Science & Business Media |
Total Pages | : 219 |
Release | : 2013-06-29 |
Genre | : Mathematics |
ISBN | : 1475721374 |
Download Intersections of Random Walks Book in PDF, ePub and Kindle
A more accurate title for this book would be "Problems dealing with the non-intersection of paths of random walks. " These include: harmonic measure, which can be considered as a problem of nonintersection of a random walk with a fixed set; the probability that the paths of independent random walks do not intersect; and self-avoiding walks, i. e. , random walks which have no self-intersections. The prerequisite is a standard measure theoretic course in probability including martingales and Brownian motion. The first chapter develops the facts about simple random walk that will be needed. The discussion is self-contained although some previous expo sure to random walks would be helpful. Many of the results are standard, and I have made borrowed from a number of sources, especially the ex cellent book of Spitzer [65]. For the sake of simplicity I have restricted the discussion to simple random walk. Of course, many of the results hold equally well for more general walks. For example, the local central limit theorem can be proved for any random walk whose increments have mean zero and finite variance. Some of the later results, especially in Section 1. 7, have not been proved for very general classes of walks. The proofs here rely heavily on the fact that the increments of simple random walk are bounded and symmetric.
Author | : Elena Marie Caruso |
Publisher | : |
Total Pages | : 82 |
Release | : 1968 |
Genre | : Queuing theory |
ISBN | : |
Download The Queue as a Stopped Random Walk Book in PDF, ePub and Kindle