Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 10-Jan-2017, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781493968459)
This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incompl...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 24-Jun-2014, PDF+DRM, Kirjastus: Springer International Publishing AG, ISBN-13: 9783319057149)
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial math...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 21-Dec-2013, PDF+DRM, Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, ISBN-13: 9783662100615)
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especiall...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 27-Nov-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781461207115)
Pattern recognition presents one of the most significant challenges for scientists and engineers, and many different approaches have been proposed. The aim of this book is to provide a self-contained account of probabilistic analysis of these approac...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 27-Nov-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781461300076)
Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerni...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 21-Nov-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781461300052)
The aim of this book is the development of the heavy traffic approach to the modeling and analysis of queueing networks, both controlled and uncontrolled, and many applications to computer, communications, and manufacturing systems. The methods explo...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 11-Nov-2013, PDF+DRM, Kirjastus: Springer New York, ISBN-13: 9781475716658)
A considerable number of problems in the statistics of random processes are formulated within the following scheme. On a certain probability space (Q, ff, P) a partially observable random process (lJ,~) = (lJ ~/), t :;::-: 0, is given with only the s...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 11-Nov-2013, PDF+DRM, Kirjastus: Springer New York, ISBN-13: 9781489926968)
In recent years algorithms of the stochastic approximation type have found applications in new and diverse areas, and new techniques have been developed for proofs of convergence and rate of convergence. The actual and potential applications in signa...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 11-Nov-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781489900272)
when certain parameters in the problem tend to limiting values (for example, when the sample size increases indefinitely, the intensity of the noise ap- proaches zero, etc.) To address the problem of asymptotically optimal estimators consider the fol...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 11-Nov-2013, PDF+DRM, Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, ISBN-13: 9783662116579)
Queueing theory is a fascinating subject in Applied Probability for two con- tradictory reasons: it sometimes requires the most sophisticated tools of stochastic processes, and it often leads to simple and explicit answers. More- over its interest ha...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 04-Aug-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781461478942)
This book provides a comprehensive up-to-date presentation of some of the classical areas of reliability, based on a more advanced probabilistic framework using the modern theory of stochastic processes. This framework allows analysts to formulate g...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 16-Jul-2013, PDF+DRM, Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, ISBN-13: 9783642393631)
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners aim to simulate more and more complex systems, and thus use random parameters as w...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 29-Jun-2013, PDF+DRM, Kirjastus: Springer New York, ISBN-13: 9781475739299)
This book provides new insight into Markovian dependence via the cycle decompositions. It presents a systematic account of a class of stochastic processes known as cycle (or circuit) processes - so-called because they may be defined by directed cycle...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 29-Jun-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781489900135)
The problem of controlling or stabilizing a system of differential equa- tions in the presence of random disturbances is intuitively appealing and has been a motivating force behind a wide variety of results grouped loosely together under the heading...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 17-Apr-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781475753011)
The objective of this book is to collect in a single volume the essentials of stochastic networks, from the classical product-form theory to the more re- cent developments such as diffusion and fluid limits, stochastic comparisons, stability, control...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 17-Apr-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781475736991)
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market.Stochastic portfolio theory...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 17-Apr-2013, PDF+DRM, Kirjastus: Springer-Verlag New York Inc., ISBN-13: 9781475765922)
This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up...Loe edasi...
Sari: Stochastic Modelling and Applied Probability
(Ilmumisaeg: 17-Apr-2013, PDF+DRM, Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, ISBN-13: 9783662130520)
Queues and stochastic networks are analyzed in this book with purely probabilistic methods. The purpose of these lectures is to show that general results from Markov processes, martingales or ergodic theory can be used directly to study the correspon...Loe edasi...
