Foundations Of Stochastic Analysis
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Foundations Of Stochastic Analysis
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Author : M. M. Rao
language : en
Publisher: Courier Corporation
Release Date : 2011-01-01
Foundations Of Stochastic Analysis written by M. M. Rao and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-01 with Mathematics categories.
Stochastic analysis involves the study of a process involving a randomly determined sequence of observations, each of which represents a sample of one element of probability distribution. This volume considers fundamental theories and contrasts the natural interplay between real and abstract methods. Starting with the introduction of the basic Kolmogorov-Bochner existence theorem, the text explores conditional expectations and probabilities as well as projective and direct limits. Subsequent chapters examine several aspects of discrete martingale theory, including applications to ergodic theory, likelihood ratios, and the Gaussian dichotomy theorem. Prerequisites include a standard measure theory course. No prior knowledge of probability is assumed; therefore, most of the results are proved in detail. Each chapter concludes with a problem section that features many hints and facts, including the most important results in information theory.
Fundamentals Of Stochastic Filtering
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Author : Alan Bain
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-10-08
Fundamentals Of Stochastic Filtering written by Alan Bain 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 2008-10-08 with Mathematics categories.
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
Foundations And Methods Of Stochastic Simulation
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Author : Barry Nelson
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-01-31
Foundations And Methods Of Stochastic Simulation written by Barry Nelson 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 2013-01-31 with Business & Economics categories.
This graduate-level text covers modeling, programming and analysis of simulation experiments and provides a rigorous treatment of the foundations of simulation and why it works. It introduces object-oriented programming for simulation, covers both the probabilistic and statistical basis for simulation in a rigorous but accessible manner (providing all necessary background material); and provides a modern treatment of experiment design and analysis that goes beyond classical statistics. The book emphasizes essential foundations throughout, rather than providing a compendium of algorithms and theorems and prepares the reader to use simulation in research as well as practice. The book is a rigorous, but concise treatment, emphasizing lasting principles but also providing specific training in modeling, programming and analysis. In addition to teaching readers how to do simulation, it also prepares them to use simulation in their research; no other book does this. An online solutions manual for end of chapter exercises is also provided.
An Introduction To Stochastic Modeling
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Author : Howard M. Taylor
language : en
Publisher: Academic Press
Release Date : 2014-05-10
An Introduction To Stochastic Modeling written by Howard M. Taylor and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Mathematics categories.
An Introduction to Stochastic Modeling, Revised Edition provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Stochastic Analysis
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Author : Paul Malliavin
language : en
Publisher: Springer
Release Date : 2015-06-12
Stochastic Analysis written by Paul Malliavin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-12 with Mathematics categories.
This book accounts in 5 independent parts, recent main developments of Stochastic Analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.
Foundations Of Stochastic Analysis
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Author : Malempati Madhusudana Rao
language : en
Publisher:
Release Date : 1981-01-01
Foundations Of Stochastic Analysis written by Malempati Madhusudana Rao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981-01-01 with Mathematics categories.
Introduction and generalities; Conditional expectations and probabilities; Projective and direct limits; Martingales and likelihood ratios; Abstract martingales and applications.
Applied Probability And Stochastic Processes
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Author : V. C. Joshua
language : en
Publisher: Springer Nature
Release Date : 2020-08-29
Applied Probability And Stochastic Processes written by V. C. Joshua and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-29 with Mathematics categories.
This book gathers selected papers presented at the International Conference on Advances in Applied Probability and Stochastic Processes, held at CMS College, Kerala, India, on 7–10 January 2019. It showcases high-quality research conducted in the field of applied probability and stochastic processes by focusing on techniques for the modelling and analysis of systems evolving with time. Further, it discusses the applications of stochastic modelling in queuing theory, reliability, inventory, financial mathematics, operations research, and more. This book is intended for a broad audience, ranging from researchers interested in applied probability, stochastic modelling with reference to queuing theory, inventory, and reliability, to those working in industries such as communication and computer networks, distributed information systems, next-generation communication systems, intelligent transportation networks, and financial markets.
Introduction To Infinite Dimensional Stochastic Analysis
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Author : Zhi-yuan Huang
language : en
Publisher: Springer Science & Business Media
Release Date : 2000
Introduction To Infinite Dimensional Stochastic Analysis written by Zhi-yuan Huang 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 2000 with Mathematics categories.
This book offers a concise introduction to the rapidly expanding field of infinite dimensional stochastic analysis. It treats Malliavin calculus and white noise analysis in a single book, presenting these two different areas in a unified setting of Gaussian probability spaces. Topics include recent results and developments in the areas of quasi-sure analysis, anticipating stochastic calculus, generalised operator theory and applications in quantum physics. A short overview on the foundations of infinite dimensional analysis is given. Audience: This volume will be of interest to researchers and graduate students whose work involves probability theory, stochastic processes, functional analysis, operator theory, mathematics of physics and abstract harmonic analysis.
Foundations Of Modern Probability
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Author : Olav Kallenberg
language : en
Publisher:
Release Date : 2014-01-15
Foundations Of Modern Probability written by Olav Kallenberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-15 with categories.