Approximation Of Population Processes
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Approximation Of Population Processes
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Author : Thomas G. Kurtz
language : en
Publisher: SIAM
Release Date : 1981-02-01
Approximation Of Population Processes written by Thomas G. Kurtz and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981-02-01 with Mathematics categories.
This monograph considers approximations that are possible when the number of particles in population processes is large
Stochastic Population Processes
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Author : Eric Renshaw
language : en
Publisher: OUP Oxford
Release Date : 2015-03-19
Stochastic Population Processes written by Eric Renshaw and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-19 with Mathematics categories.
The vast majority of random processes in the real world have no memory - the next step in their development depends purely on their current state. Stochastic realizations are therefore defined purely in terms of successive event-time pairs, and such systems are easy to simulate irrespective of their degree of complexity. However, whilst the associated probability equations are straightforward to write down, their solution usually requires the use of approximation and perturbation
Discrete Time Markov Chains
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Author : George Yin
language : en
Publisher: Springer Science & Business Media
Release Date : 2005
Discrete Time Markov Chains written by George Yin and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Focusing on discrete-time-scale Markov chains, the contents of this book are an outgrowth of some of the authors' recent research. The motivation stems from existing and emerging applications in optimization and control of complex hybrid Markovian systems in manufacturing, wireless communication, and financial engineering. Much effort in this book is devoted to designing system models arising from these applications, analyzing them via analytic and probabilistic techniques, and developing feasible computational algorithms so as to reduce the inherent complexity. This book presents results including asymptotic expansions of probability vectors, structural properties of occupation measures, exponential bounds, aggregation and decomposition and associated limit processes, and interface of discrete-time and continuous-time systems. One of the salient features is that it contains a diverse range of applications on filtering, estimation, control, optimization, and Markov decision processes, and financial engineering. This book will be an important reference for researchers in the areas of applied probability, control theory, operations research, as well as for practitioners who use optimization techniques. Part of the book can also be used in a graduate course of applied probability, stochastic processes, and applications.
Applied Stochastic Models And Data Analysis Proceedings Of The Fifth International Symposium On Asmda
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Author : M J Valderrama
language : en
Publisher: #N/A
Release Date : 1991-03-29
Applied Stochastic Models And Data Analysis Proceedings Of The Fifth International Symposium On Asmda written by M J Valderrama and has been published by #N/A this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-03-29 with categories.
As with previous symposiums, the main objective of the Sixth International Symposium is to publish papers (of both technical and practical nature) to present new findings uncovered by theoretical results which may have the potential to contribute solutions to real-life problems. With this objective in mind, this collection of papers aims to serve as an interface between stochastic modeling and data analysis as well as their applications to the problems we face in the various fields. The papers first focused on the theory, application and interaction between stochastic models and data analysis. The results and their applications to the problems we face in the fields of economics, finance and insurance, management, marketing, health sciences, production and engineering are then explored.
Numerical Methods For Stochastic Control Problems In Continuous Time
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Author : Harold Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Science categories.
This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth.
Stochastic Analysis And Applications
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Author : Mark A. Pinsky
language : en
Publisher: CRC Press
Release Date : 2020-10-15
Stochastic Analysis And Applications written by Mark A. Pinsky and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-15 with Mathematics categories.
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.
Nonlocal Modeling Analysis And Computation
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Author : Qiang Du
language : en
Publisher: SIAM
Release Date : 2019-03-20
Nonlocal Modeling Analysis And Computation written by Qiang Du and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-20 with Science categories.
Studies of complexity, singularity, and anomaly using nonlocal continuum models are steadily gaining popularity. This monograph provides an introduction to basic analytical, computational, and modeling issues and to some of the latest developments in these areas. Nonlocal Modeling, Analysis, and Computation includes motivational examples of nonlocal models, basic building blocks of nonlocal vector calculus, elements of theory for well-posedness and nonlocal spaces, connections to and coupling with local models, convergence and compatibility of numerical approximations, and various applications, such as nonlocal dynamics of anomalous diffusion and nonlocal peridynamic models of elasticity and fracture mechanics. A particular focus is on nonlocal systems with a finite range of interaction to illustrate their connection to local partial differential equations and fractional PDEs. These models are designed to represent nonlocal interactions explicitly and to remain valid for complex systems involving possible singular solutions and they have the potential to be alternatives for as well as bridges to existing models. The author discusses ongoing studies of nonlocal models to encourage the discovery of new mathematical theory for nonlocal continuum models and offer new perspectives on traditional models, analytical techniques, and algorithms.
Analytical And Stochastic Modelling Techniques And Applications
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Author : Nigel Thomas
language : en
Publisher: Springer
Release Date : 2017-06-07
Analytical And Stochastic Modelling Techniques And Applications written by Nigel Thomas and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-07 with Computers categories.
This book constitutes the refereed proceedings of the 24th International Conference on Analytical and Stochastic Modelling Techniques and Applications, ASMTA 2017, held in Newcastle-upon-Tyne UK, in July 2017. The 14 full papers presented in this book were carefully reviewed and selected from 27 submissions. The scope of the conference is on following topics: analytical, numerical and simulation algorithms for stochastic systems, including Markov processes, queueing networks, stochastic Petri nets, process algebras, game theoretical models.
Analysis And Optimization Of Systems
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Author : A. Bensoussan
language : en
Publisher: Springer
Release Date : 2006-01-20
Analysis And Optimization Of Systems written by A. Bensoussan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-20 with Technology & Engineering categories.
INRIA, Institut National de Recherche en Informatique et en Automatique
Continuous Time Random Walks For The Numerical Solution Of Stochastic Differential Equations
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Author : Nawaf Bou-Rabee
language : en
Publisher: American Mathematical Soc.
Release Date : 2019-01-08
Continuous Time Random Walks For The Numerical Solution Of Stochastic Differential Equations written by Nawaf Bou-Rabee and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-08 with Mathematics categories.
This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.