Nonlinear Stochastic Problems
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Nonlinear Stochastic Problems
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Author : S. Bucy
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Nonlinear Stochastic Problems written by S. Bucy 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 volume corresponds to the invited lectures and advanced research papers presented at the NATD Advanced Study Institute on Nonlinear Stochastic Problems with emphasis on Identification, Signal Processing, Control and Nonlinear Filtering held in Algarve (Portugal), on May 1982. The book is a blend of theoretical issues, algorithmic implementation aspects, and application examples. In many areas of science and engineering, there are problems which are intrinsically nonlinear 3nd stochastic in nature. Clear examples arise in identification and mOdeling, signal processing, nonlinear filtering, stochastic and adaptive conLrol. The meeting was organized because it was felt that there is a need for discussion of the methods and philosophy underlying these different areas, and in order to communicate those approaches that have proven to be effective. As the computational technology progresses, more general approaches to a number of problems which have been treated previously by linearization and perturbation methods become feasible and rewarding.
Nonlinear Expectations And Stochastic Calculus Under Uncertainty
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Author : Shige Peng
language : en
Publisher: Springer Nature
Release Date : 2019-09-09
Nonlinear Expectations And Stochastic Calculus Under Uncertainty written by Shige Peng and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-09 with Mathematics categories.
This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations. It provides a gentle coverage of the theory of nonlinear expectations and related stochastic analysis. Many notions and results, for example, G-normal distribution, G-Brownian motion, G-Martingale representation theorem, and related stochastic calculus are first introduced or obtained by the author. This book is based on Shige Peng’s lecture notes for a series of lectures given at summer schools and universities worldwide. It starts with basic definitions of nonlinear expectations and their relation to coherent measures of risk, law of large numbers and central limit theorems under nonlinear expectations, and develops into stochastic integral and stochastic calculus under G-expectations. It ends with recent research topic on G-Martingale representation theorem and G-stochastic integral for locally integrable processes. With exercises to practice at the end of each chapter, this book can be used as a graduate textbook for students in probability theory and mathematical finance. Each chapter also concludes with a section Notes and Comments, which gives history and further references on the material covered in that chapter. Researchers and graduate students interested in probability theory and mathematical finance will find this book very useful.
Nonlinear Stochastic Operator Equations
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Author : G. Adomian
language : fa
Publisher:
Release Date : 1986
Nonlinear Stochastic Operator Equations written by G. Adomian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Mathematics categories.
Nonlinear Stochastic Operator Equations.
Nonlinear Stochastic Systems Theory And Applications To Physics
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Author : G. Adomian
language : en
Publisher: Springer Science & Business Media
Release Date : 1988-12-31
Nonlinear Stochastic Systems Theory And Applications To Physics written by G. Adomian 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 1988-12-31 with Mathematics categories.
Approach your problems from the right end and begin with the answers. Then one day, perhaps you will find the final answer. "The Hermit Clad In Crane Feathers" In R. van Gullk's The Chinese Haze Hurders. It Isn't that they can't see the solution. It IS that they can't see the problem. G. K. Chesterton. The Scandal of Father Brown. "The POint of a Pin." Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However, the "tree" of k now ledge of m athemat i cs and re I ated fie I ds does not grow only by putting forth new branches. It also happens, quite often in fact, that branches which were thought to be completely disparate are suddenly seen to be related. Further, the kind and level of sophistication of mathematics applied in various sciences has changed drastically in recent years: measure theory is used (non-trivially) in regional and theoretical economics; algebraic geometry interacts with physics; the Minkowsky lemma, COding theory and the structure of water meet one another in packing and covering theory; quantum fields, crystal defects and mathematical programming profit from homotopy theory; Lie algebras are relevant to filtering; and prediction and electrical engineering can use Stein spaces. And In addition to this there are such new emerging subdisciplines as "experimental mathematics", "CFD", "completely Integrable systems", "chaos, synergetics and large-scale order", which are almost impossible to fit into the eXisting classificatIOn schemes.
Backward Stochastic Differential Equations
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Author : N El Karoui
language : en
Publisher: CRC Press
Release Date : 1997-01-17
Backward Stochastic Differential Equations written by N El Karoui and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-17 with Mathematics categories.
This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.
Dynamical Systems Approaches To Nonlinear Problems In Systems And Circuits
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Author : Fathi M. Abdel Salam
language : en
Publisher: SIAM
Release Date : 1988-01-01
Dynamical Systems Approaches To Nonlinear Problems In Systems And Circuits written by Fathi M. Abdel Salam and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-01-01 with Science categories.
Stochastic Evolution Systems
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Author : B.L. Rozovskii
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Evolution Systems written by B.L. Rozovskii 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.
Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.
Monte Carlo Methods And Stochastic Processes
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Author : Emmanuel Gobet
language : en
Publisher: CRC Press
Release Date : 2020-09-30
Monte Carlo Methods And Stochastic Processes written by Emmanuel Gobet and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-30 with categories.
Developed from the author's course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear and nonlinear problems in biology, finance, geophysics, mechanics, chemistry, and other application areas. The text also thoroughly develops the problem of numerical integration and computation of expectation by the Monte-Carlo method. The book begins with a history of Monte-Carlo methods and an overview of three typical Monte-Carlo problems: numerical integration and computation of expectation, simulation of complex distributions, and stochastic optimization. The remainder of the text is organized in three parts of progressive difficulty. The first part presents basic tools for stochastic simulation and analysis of algorithm convergence. The second part describes Monte-Carlo methods for the simulation of stochastic differential equations. The final part discusses the simulation of non-linear dynamics.
Nonlinear Random Vibration Second Edition
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Author : Cho W.S. To
language : en
Publisher: CRC Press
Release Date : 2011-08-10
Nonlinear Random Vibration Second Edition written by Cho W.S. To and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-10 with Technology & Engineering categories.
This second edition of the book, Nonlinear Random Vibration: Analytical Techniques and Applications, expands on the original edition with additional detailed steps in various places in the text. It is a first systematic presentation on the subject. Its features include: • a concise treatment of Markovian and non- Markovian solutions of nonlinear stochastic differential equations, • exact solutions of Fokker-Planck-Kolmogorov equations, • methods of statistical linearization, • statistical nonlinearization techniques, • methods of stochastic averaging, • truncated hierarchy techniques, and • an appendix on probability theory. A special feature is its incorporation of detailed steps in many examples of engineering applications. Targeted audience: Graduates, research scientists and engineers in mechanical, aerospace, civil and environmental (earthquake, wind and transportation), automobile, naval, architectural, and mining engineering.
Lectures On Stochastic Programming
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Author : Alexander Shapiro
language : en
Publisher: SIAM
Release Date : 2009-10-08
Lectures On Stochastic Programming written by Alexander Shapiro and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-08 with Mathematics categories.
A comprehensive treatment of optimization problems involving uncertain parameters for which stochastic models are available.