Refined Large Deviation Limit Theorems
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Refined Large Deviation Limit Theorems
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Author : Vladimir Vinogradov
language : en
Publisher:
Release Date : 2019
Refined Large Deviation Limit Theorems written by Vladimir Vinogradov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with MATHEMATICS categories.
This is a developing area of modern probability theory, which has applications in many areas. This volume is devoted to the systematic study of results on large deviations in situations where Cramr's condition on the finiteness of exponential moments may not be satisfied
Refined Large Deviation Limit Theorems
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Author : Vladimir Vinogradov
language : en
Publisher: CRC Press
Release Date : 2023-06-14
Refined Large Deviation Limit Theorems written by Vladimir Vinogradov and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-14 with Mathematics categories.
This is a developing area of modern probability theory, which has applications in many areas. This volume is devoted to the systematic study of results on large deviations in situations where Cramér's condition on the finiteness of exponential moments may not be satisfied
Probability Finance And Insurance Proceedings Of A Workshop
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Author : Siu Pang Yung
language : en
Publisher: World Scientific
Release Date : 2004-06-28
Probability Finance And Insurance Proceedings Of A Workshop written by Siu Pang Yung and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-28 with Mathematics categories.
This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction.This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory — particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory — it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
Extreme Value Theory For Time Series
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Author : Thomas Mikosch
language : en
Publisher: Springer Nature
Release Date : 2024-08-02
Extreme Value Theory For Time Series written by Thomas Mikosch and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-08-02 with Mathematics categories.
This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models. Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures. The remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques. A major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. This text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data. The book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis. It is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible.
Modelling Extremal Events
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Author : Paul Embrechts
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-01-02
Modelling Extremal Events written by Paul Embrechts 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 2013-01-02 with Business & Economics categories.
"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS
A Practical Guide To Heavy Tails
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Author : Robert Adler
language : en
Publisher: Springer Science & Business Media
Release Date : 1998-10-26
A Practical Guide To Heavy Tails written by Robert Adler 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 1998-10-26 with Mathematics categories.
Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR
Advances On Theoretical And Methodological Aspects Of Probability And Statistics
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Author : N. Balakrishnan
language : en
Publisher: CRC Press
Release Date : 2003-04-24
Advances On Theoretical And Methodological Aspects Of Probability And Statistics written by N. Balakrishnan and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-24 with Mathematics categories.
At the International Indian Statistical Association Conference, held at McMaster University in Ontario, Canada, participants focused on advancements in theory and methodology of probability and statistics. This is one of two volumes containing invited papers from the meeting. The 32 chapters deal with different topics of interest, including stochastic processes and inference, distributions and characterizations, inference, Bayesian inference, selection methods, regression methods, and methods in health research. The text is ideal for applied mathematicians, statisticians, and researchers in the field.
Perspectives In Mathematical System Theory Control And Signal Processing
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Author : Jan C. Willems
language : en
Publisher: Springer
Release Date : 2010-03-10
Perspectives In Mathematical System Theory Control And Signal Processing written by Jan C. Willems and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-10 with Science categories.
This Festschrift, published on the occasion of the sixtieth birthday of Yutaka - mamoto (‘YY’ as he is occasionally casually referred to), contains a collection of articles by friends, colleagues, and former Ph.D. students of YY. They are a tribute to his friendship and his scienti?c vision and oeuvre, which has been a source of inspiration to the authors. Yutaka Yamamoto was born in Kyoto, Japan, on March 29, 1950. He studied applied mathematics and general engineering science at the Department of Applied Mathematics and Physics of Kyoto University, obtaining the B.S. and M.Sc. degrees in 1972 and 1974. His M.Sc. work was done under the supervision of Professor Yoshikazu Sawaragi. In 1974, he went to the Center for Mathematical System T- ory of the University of Florida in Gainesville. He obtained the M.Sc. and Ph.D. degrees, both in Mathematics, in 1976 and 1978, under the direction of Professor Rudolf Kalman.
Nonlinear Dynamics New Directions
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Author : Hernán González-Aguilar
language : en
Publisher: Springer
Release Date : 2015-03-09
Nonlinear Dynamics New Directions written by Hernán González-Aguilar and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-09 with Technology & Engineering categories.
This book, along with its companion volume, Nonlinear Dynamics New Directions: Models and Applications, covers topics ranging from fractal analysis to very specific applications of the theory of dynamical systems to biology. This first volume is devoted to fundamental aspects and includes a number of important new contributions as well as some review articles that emphasize new development prospects. The second volume contains mostly new applications of the theory of dynamical systems to both engineering and biology. The topics addressed in the two volumes include a rigorous treatment of fluctuations in dynamical systems, topics in fractal analysis, studies of the transient dynamics in biological networks, synchronization in lasers, and control of chaotic systems, among others. This book also: · Presents a rigorous treatment of fluctuations in dynamical systems and explores a range of topics in fractal analysis, among other fundamental topics · Features recent developments on large deviations for higher-dimensional maps, a study of measures resisting multifractal analysis and a overview of complex Kleninan groups · Includes thorough review of recent findings that emphasize new development prospects
Integral Methods In Science And Engineering
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Author : Christian Constanda
language : en
Publisher: CRC Press
Release Date : 2020-01-16
Integral Methods In Science And Engineering written by Christian Constanda and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-16 with Mathematics categories.
Based on proceedings of the International Conference on Integral Methods in Science and Engineering, this collection of papers addresses the solution of mathematical problems by integral methods in conjunction with approximation schemes from various physical domains. Topics and applications include: wavelet expansions, reaction-diffusion systems, variational methods , fracture theory, boundary value problems at resonance, micromechanics, fluid mechanics, combustion problems, nonlinear problems, elasticity theory, and plates and shells. Volume 1 covers Analytic Methods.