Discretization Of Processes
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Discretization Of Processes
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Author : Jean Jacod
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-10-22
Discretization Of Processes written by Jean Jacod 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 2011-10-22 with Mathematics categories.
In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are wont to say, “In God we trust; all others must bring data.” This book establishes the theory of how to go about estimating not just scalar parameters about a proposed model, but also the underlying structure of the model itself. Classic statistical tools are used: the law of large numbers, and the central limit theorem. Researchers have recently developed creative and original methods to use these tools in sophisticated (but highly technical) ways to reveal new details about the underlying structure. For the first time in book form, the authors present these latest techniques, based on research from the last 10 years. They include new findings. This book will be of special interest to researchers, combining the theory of mathematical finance with its investigation using market data, and it will also prove to be useful in a broad range of applications, such as to mathematical biology, chemical engineering, and physics.
Process Algebra With Timing
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Author : J.C.M. Baeten
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Process Algebra With Timing written by J.C.M. Baeten 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 2013-03-09 with Computers categories.
This book is concerned with a number of theories that can be used for describ ing and analyzing systems of interacting components in case it is desirable or necessary to regard their time-dependent behavior. Society is becoming increasingly more dependent on complex computer based systems that are composed of several components that act concurrently and interact - to synchronize and communicate with each other. The com plexity of these systems arises to a great extent from the many ways in which their components can interact. The need that these components act and in teract on time as well adds considerably to the complexity. In developing such a system, it is important to be able to acquire a better understanding of the relevant issues at the conceptual level, to describe the system in a precise way at various levels of detail, and to analyze it on the basis of the descriptions. When the early algebraic theories about processes, such as ACP [16, 17, 20], CCS [49, 50] and CSP [27, 39], were developed for that purpose, the established opinion was still that timing is a concern that can more often than not be treated independently. It is therefore not surprising that timing is deliberately ignored in those theories. They have now all been extended to deal with timing.
Controlled Stochastic Processes
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Author : I. I. Gihman
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Controlled Stochastic Processes written by I. I. Gihman 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 Mathematics categories.
The theory of controlled processes is one of the most recent mathematical theories to show very important applications in modern engineering, parti cularly for constructing automatic control systems, as well as for problems of economic control. However, actual systems subject to control do not admit a strictly deterministic analysis in view of random factors of various kinds which influence their behavior. Such factors include, for example, random noise occurring in the electrical system, variations in the supply and demand of commodities, fluctuations in the labor force in economics, and random failures of components on an automated line. The theory of con trolled processes takes the random nature of the behavior of a system into account. In such cases it is natural, when choosing a control strategy, to proceed from the average expected result, taking note of all the possible variants of the behavior of a controlled system. An extensive literature is devoted to various economic and engineering systems of control (some of these works are listed in the Bibliography). is no text which adequately covers the general However, as of now there mathematical theory of controlled processes. The authors ofthis monograph have attempted to fill this gap. In this volume the general theory of discrete-parameter (time) controlled processes (Chapter 1) and those with continuous-time (Chapter 2), as well as the theory of controlled stochastic differential equations (Chapter 3), are presented.
Probability Essentials
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Author : Jean Jacod
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Probability Essentials written by Jean Jacod 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 Mathematics categories.
This introduction can be used, at the beginning graduate level, for a one-semester course on probability theory or for self-direction without benefit of a formal course; the measure theory needed is developed in the text. It will also be useful for students and teachers in related areas such as finance theory, electrical engineering, and operations research. The text covers the essentials in a directed and lean way with 28 short chapters, and assumes only an undergraduate background in mathematics. Readers are taken right up to a knowledge of the basics of Martingale Theory, and the interested student will be ready to continue with the study of more advanced topics, such as Brownian Motion and Ito Calculus, or Statistical Inference.
The Finite Volume Method In Computational Fluid Dynamics
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Author : F. Moukalled
language : en
Publisher: Springer
Release Date : 2015-08-13
The Finite Volume Method In Computational Fluid Dynamics written by F. Moukalled and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-13 with Technology & Engineering categories.
This textbook explores both the theoretical foundation of the Finite Volume Method (FVM) and its applications in Computational Fluid Dynamics (CFD). Readers will discover a thorough explanation of the FVM numerics and algorithms used for the simulation of incompressible and compressible fluid flows, along with a detailed examination of the components needed for the development of a collocated unstructured pressure-based CFD solver. Two particular CFD codes are explored. The first is uFVM, a three-dimensional unstructured pressure-based finite volume academic CFD code, implemented within Matlab. The second is OpenFOAM®, an open source framework used in the development of a range of CFD programs for the simulation of industrial scale flow problems. With over 220 figures, numerous examples and more than one hundred exercise on FVM numerics, programming, and applications, this textbook is suitable for use in an introductory course on the FVM, in an advanced course on numerics, and as a reference for CFD programmers and researchers.
Stochastic Processes And Applications
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Author : Grigorios A. Pavliotis
language : en
Publisher: Springer
Release Date : 2014-11-19
Stochastic Processes And Applications written by Grigorios A. Pavliotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-19 with Mathematics categories.
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.
Mathematical Modelling
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Author : Seyed M. Moghadas
language : en
Publisher: John Wiley & Sons
Release Date : 2018-08-28
Mathematical Modelling written by Seyed M. Moghadas and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-28 with Mathematics categories.
An important resource that provides an overview of mathematical modelling Mathematical Modelling offers a comprehensive guide to both analytical and computational aspects of mathematical modelling that encompasses a wide range of subjects. The authors provide an overview of the basic concepts of mathematical modelling and review the relevant topics from differential equations and linear algebra. The text explores the various types of mathematical models, and includes a range of examples that help to describe a variety of techniques from dynamical systems theory. The book’s analytical techniques examine compartmental modelling, stability, bifurcation, discretization, and fixed-point analysis. The theoretical analyses involve systems of ordinary differential equations for deterministic models. The text also contains information on concepts of probability and random variables as the requirements of stochastic processes. In addition, the authors describe algorithms for computer simulation of both deterministic and stochastic models, and review a number of well-known models that illustrate their application in different fields of study. This important resource: Includes a broad spectrum of models that fall under deterministic and stochastic classes and discusses them in both continuous and discrete forms Demonstrates the wide spectrum of problems that can be addressed through mathematical modelling based on fundamental tools and techniques in applied mathematics and statistics Contains an appendix that reveals the overall approach that can be taken to solve exercises in different chapters Offers many exercises to help better understand the modelling process Written for graduate students in applied mathematics, instructors, and professionals using mathematical modelling for research and training purposes, Mathematical Modelling: A Graduate Textbook covers a broad range of analytical and computational aspects of mathematical modelling.
Applied Stochastic Differential Equations
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Author : Simo Särkkä
language : en
Publisher: Cambridge University Press
Release Date : 2019-05-02
Applied Stochastic Differential Equations written by Simo Särkkä and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-02 with Business & Economics categories.
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Handbook Of Process Algebra
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Author : J.A. Bergstra
language : en
Publisher: Elsevier
Release Date : 2001-03-16
Handbook Of Process Algebra written by J.A. Bergstra and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-03-16 with Computers categories.
Process Algebra is a formal description technique for complex computer systems, especially those involving communicating, concurrently executing components. It is a subject that concurrently touches many topic areas of computer science and discrete math, including system design notations, logic, concurrency theory, specification and verification, operational semantics, algorithms, complexity theory, and, of course, algebra.This Handbook documents the fate of process algebra since its inception in the late 1970's to the present. It is intended to serve as a reference source for researchers, students, and system designers and engineers interested in either the theory of process algebra or in learning what process algebra brings to the table as a formal system description and verification technique. The Handbook is divided into six parts spanning a total of 19 self-contained Chapters. The organization is as follows. Part 1, consisting of four chapters, covers a broad swath of the basic theory of process algebra. Part 2 contains two chapters devoted to the sub-specialization of process algebra known as finite-state processes, while the three chapters of Part 3 look at infinite-state processes, value-passing processes and mobile processes in particular. Part 4, also three chapters in length, explores several extensions to process algebra including real-time, probability and priority. The four chapters of Part 5 examine non-interleaving process algebras, while Part 6's three chapters address process-algebra tools and applications.
Mimetic Discretization Methods
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Author : Jose E. Castillo
language : en
Publisher: CRC Press
Release Date : 2013-01-10
Mimetic Discretization Methods written by Jose E. Castillo and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-10 with Mathematics categories.
To help solve physical and engineering problems, mimetic or compatible algebraic discretization methods employ discrete constructs to mimic the continuous identities and theorems found in vector calculus. Mimetic Discretization Methods focuses on the recent mimetic discretization method co-developed by the first author. Based on the Castillo-Grone operators, this simple mimetic discretization method is invariably valid for spatial dimensions no greater than three. The book also presents a numerical method for obtaining corresponding discrete operators that mimic the continuum differential and flux-integral operators, enabling the same order of accuracy in the interior as well as the domain boundary. After an overview of various mimetic approaches and applications, the text discusses the use of continuum mathematical models as a way to motivate the natural use of mimetic methods. The authors also offer basic numerical analysis material, making the book suitable for a course on numerical methods for solving PDEs. The authors cover mimetic differential operators in one, two, and three dimensions and provide a thorough introduction to object-oriented programming and C++. In addition, they describe how their mimetic methods toolkit (MTK)-available online-can be used for the computational implementation of mimetic discretization methods. The text concludes with the application of mimetic methods to structured nonuniform meshes as well as several case studies. Compiling the authors' many concepts and results developed over the years, this book shows how to obtain a robust numerical solution of PDEs using the mimetic discretization approach. It also helps readers compare alternative methods in the literature.