Inequalities For Stochastic Processes

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How To Gamble If You Must

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Author : Lester E. Dubins
language : en
Publisher: Courier Corporation
Release Date : 2014-08-20

How To Gamble If You Must written by Lester E. Dubins and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-20 with Mathematics categories.

This classic of advanced statistics is geared toward graduate-level readers and uses the concepts of gambling to develop important ideas in probability theory. The authors have distilled the essence of many years' research into a dozen concise chapters. "Strongly recommended" by the Journal of the American Statistical Association upon its initial publication, this revised and updated edition features contributions from two well-known statisticians that include a new Preface, updated references, and findings from recent research. Following an introductory chapter, the book formulates the gambler's problem and discusses gambling strategies. Succeeding chapters explore the properties associated with casinos and certain measures of subfairness. Concluding chapters relate the scope of the gambler's problems to more general mathematical ideas, including dynamic programming, Bayesian statistics, and stochastic processes. Dover (2014) revised and updated republication of the 1976 Dover edition entitled Inequalities for Stochastic Processes. See every Dover book in print at www.doverpublications.com

Inequalities For Stochastic Processes

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Author : Leonard J. Savage
language : en
Publisher:
Release Date : 1976

Inequalities For Stochastic Processes written by Leonard J. Savage and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Gambling categories.

Inequalities For Stochastic Processes

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Author : Lester E. Dubins
language : en
Publisher:
Release Date : 1976

Inequalities For Stochastic Processes written by Lester E. Dubins and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Games & Activities categories.

Introduction To Stochastic Processes

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Author : Mu-fa Chen
language : en
Publisher: World Scientific
Release Date : 2021-05-25

Introduction To Stochastic Processes written by Mu-fa Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-25 with Mathematics categories.

The objective of this book is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts — Markov chains and stochastic analysis. The readers are led directly to the core of the main topics to be treated in the context. Further details and additional materials are left to a section containing abundant exercises for further reading and studying.In the part on Markov chains, the focus is on the ergodicity. By using the minimal nonnegative solution method, we deal with the recurrence and various types of ergodicity. This is done step by step, from finite state spaces to denumerable state spaces, and from discrete time to continuous time. The methods of proofs adopt modern techniques, such as coupling and duality methods. Some very new results are included, such as the estimate of the spectral gap. The structure and proofs in the first part are rather different from other existing textbooks on Markov chains.In the part on stochastic analysis, we cover the martingale theory and Brownian motions, the stochastic integral and stochastic differential equations with emphasis on one dimension, and the multidimensional stochastic integral and stochastic equation based on semimartingales. We introduce three important topics here: the Feynman-Kac formula, random time transform and Girsanov transform. As an essential application of the probability theory in classical mathematics, we also deal with the famous Brunn-Minkowski inequality in convex geometry.This book also features modern probability theory that is used in different fields, such as MCMC, or even deterministic areas: convex geometry and number theory. It provides a new and direct routine for students going through the classical Markov chains to the modern stochastic analysis.

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.

Applications Of Variational Inequalities In Stochastic Control

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Author : A. Bensoussan
language : en
Publisher: Elsevier
Release Date : 2011-08-18

Applications Of Variational Inequalities In Stochastic Control written by A. Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-18 with Mathematics categories.

Applications of Variational Inequalities in Stochastic Control

Basic Stochastic Processes

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Author : Zdzislaw Brzezniak
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Basic Stochastic Processes written by Zdzislaw Brzezniak 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.

Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book for self-study provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes. The book centers on exercises as the main means of explanation.

Probability Theory And Stochastic Processes With Applications Second Edition

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Author : Oliver Knill
language : en
Publisher: World Scientific Publishing Company
Release Date : 2017-01-31

Probability Theory And Stochastic Processes With Applications Second Edition written by Oliver Knill and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-31 with Mathematics categories.

This second edition has a unique approach that provides a broad and wide introduction into the fascinating area of probability theory. It starts on a fast track with the treatment of probability theory and stochastic processes by providing short proofs. The last chapter is unique as it features a wide range of applications in other fields like Vlasov dynamics of fluids, statistics of circular data, singular continuous random variables, Diophantine equations, percolation theory, random Schrödinger operators, spectral graph theory, integral geometry, computer vision, and processes with high risk.Many of these areas are under active investigation and this volume is highly suited for ambitious undergraduate students, graduate students and researchers.

Inequalities For Stochastic Processes And Problems Of Stochastic Control

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Author : S. D. Jacka
language : en
Publisher:
Release Date : 1983

Inequalities For Stochastic Processes And Problems Of Stochastic Control written by S. D. Jacka and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with categories.