Series Expansions Of Generalized Stochastic Processes
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Series Expansions Of Generalized Stochastic Processes
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Author : R. Meidan
language : en
Publisher:
Release Date : 1976
Series Expansions Of Generalized Stochastic Processes written by R. Meidan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with categories.
Stochastic Processes
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Author : Malempati M. Rao
language : en
Publisher:
Release Date : 2014-01-15
Stochastic Processes written by Malempati M. Rao 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.
The Theory Of Stochastic Processes Iii
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Author : I. I. Gihman
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Theory Of Stochastic Processes Iii 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.
It was originally planned that the Theory of Stochastic Processes would consist of two volumes: the first to be devoted to general problems and the second to specific cJasses of random processes. It became apparent, however, that the amount of material related to specific problems of the theory could not possibly be incJuded in one volume. This is how the present third volume came into being. This voJume contains the theory of martingales, stochastic integrals, stochastic differential equations, diffusion, and continuous Markov processes. The theory of stochastic processes is an actively developing branch of mathe matics, and it would be an unreasonable and impossible task to attempt to encompass it in a single treatise (even a multivolume one). Therefore, the authors, guided by their own considerations concerning the relative importance of various results, naturally had to be selective in their choice of material. The authors are fully aware that such a selective process is not perfecL Even a number of topics that are, in the authors' opinion, of great importance could not be incJuded, for example, limit theorems for particular cJasses of random processes, the theory of random fields, conditional Markov processes, and information and statistics of random processes. With the publication of this last volume, we recall with gratitude oUf associates who assisted us in this endeavor, and express our sincere thanks to G.N. Sytaya, L.V. Lobanova, P.V. Boiko, N.F. Ryabova, N.A. Skorohod, V.V. Skorohod, N.I. Portenko, and L.I. Gab.
Stochastic Processes General Theory
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Author : Malempati M. Rao
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Stochastic Processes General Theory written by Malempati M. Rao 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 2013-03-14 with Mathematics categories.
Stochastic Processes: General Theory starts with the fundamental existence theorem of Kolmogorov, together with several of its extensions to stochastic processes. It treats the function theoretical aspects of processes and includes an extended account of martingales and their generalizations. Various compositions of (quasi- or semi-)martingales and their integrals are given. Here the Bochner boundedness principle plays a unifying role: a unique feature of the book. Applications to higher order stochastic differential equations and their special features are presented in detail. Stochastic processes in a manifold and multiparameter stochastic analysis are also discussed. Each of the seven chapters includes complements, exercises and extensive references: many avenues of research are suggested. The book is a completely revised and enlarged version of the author's Stochastic Processes and Integration (Noordhoff, 1979). The new title reflects the content and generality of the extensive amount of new material. Audience: Suitable as a text/reference for second year graduate classes and seminars. A knowledge of real analysis, including Lebesgue integration, is a prerequisite.
Stochastic Processes
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Author : Emanuel Parzen
language : en
Publisher: SIAM
Release Date : 1999-12-01
Stochastic Processes written by Emanuel Parzen and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-12-01 with Mathematics categories.
Series Representations For Generalized Stochastic Processes
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Author : Muhammad K. Habib
language : en
Publisher:
Release Date : 1986
Series Representations For Generalized Stochastic Processes written by Muhammad K. Habib and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Information theory in mathematics categories.
Generalized Poisson Models And Their Applications In Insurance And Finance
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Author : Vladimir E. Bening
language : en
Publisher: Walter de Gruyter
Release Date : 2012-06-11
Generalized Poisson Models And Their Applications In Insurance And Finance written by Vladimir E. Bening and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-11 with Business & Economics categories.
The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Equations Involving Malliavin Calculus Operators
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Author : Tijana Levajković
language : en
Publisher: Springer
Release Date : 2017-08-31
Equations Involving Malliavin Calculus Operators written by Tijana Levajković and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-31 with Mathematics categories.
This book provides a comprehensive and unified introduction to stochastic differential equations and related optimal control problems. The material is new and the presentation is reader-friendly. A major contribution of the book is the development of generalized Malliavin calculus in the framework of white noise analysis, based on chaos expansion representation of stochastic processes and its application for solving several classes of stochastic differential equations with singular data involving the main operators of Malliavin calculus. In addition, applications in optimal control and numerical approximations are discussed. The book is divided into four chapters. The first, entitled White Noise Analysis and Chaos Expansions, includes notation and provides the reader with the theoretical background needed to understand the subsequent chapters. In Chapter 2, Generalized Operators of Malliavin Calculus, the Malliavin derivative operator, the Skorokhod integral and the Ornstein-Uhlenbeck operator are introduced in terms of chaos expansions. The main properties of the operators, which are known in the literature for the square integrable processes, are proven using the chaos expansion approach and extended for generalized and test stochastic processes. Chapter 3, Equations involving Malliavin Calculus operators, is devoted to the study of several types of stochastic differential equations that involve the operators of Malliavin calculus, introduced in the previous chapter. Fractional versions of these operators are also discussed. Finally, in Chapter 4, Applications and Numerical Approximations are discussed. Specifically, we consider the stochastic linear quadratic optimal control problem with different forms of noise disturbances, operator differential algebraic equations arising in fluid dynamics, stationary equations and fractional versions of the equations studied – applications never covered in the extant literature. Moreover, numerical validations of the method are provided for specific problems."
Stochastic Models For Time Series
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Author : Paul Doukhan
language : en
Publisher: Springer
Release Date : 2018-04-17
Stochastic Models For Time Series written by Paul Doukhan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-17 with Mathematics categories.
This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap are discussed, and stationarity is reviewed. The second part describes a number of tools from Gaussian chaos and proposes a tour of linear time series models. It goes on to address nonlinearity from polynomial or chaotic models for which explicit expansions are available, then turns to Markov and non-Markov linear models and discusses Bernoulli shifts time series models. Finally, the volume focuses on the limit theory, starting with the ergodic theorem, which is seen as the first step for statistics of time series. It defines the distributional range to obtain generic tools for limit theory under long or short-range dependences (LRD/SRD) and explains examples of LRD behaviours. More general techniques (central limit theorems) are described under SRD; mixing and weak dependence are also reviewed. In closing, it describes moment techniques together with their relations to cumulant sums as well as an application to kernel type estimation.The appendix reviews basic probability theory facts and discusses useful laws stemming from the Gaussian laws as well as the basic principles of probability, and is completed by R-scripts used for the figures. Richly illustrated with examples and simulations, the book is recommended for advanced master courses for mathematicians just entering the field of time series, and statisticians who want more mathematical insights into the background of non-linear time series.
Taylor Approximations For Stochastic Partial Differential Equations
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Author : Arnulf Jentzen
language : en
Publisher: SIAM
Release Date : 2011-01-01
Taylor Approximations For Stochastic Partial Differential Equations written by Arnulf Jentzen and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-01 with Mathematics categories.
This book presents a systematic theory of Taylor expansions of evolutionary-type stochastic partial differential equations (SPDEs). The authors show how Taylor expansions can be used to derive higher order numerical methods for SPDEs, with a focus on pathwise and strong convergence. In the case of multiplicative noise, the driving noise process is assumed to be a cylindrical Wiener process, while in the case of additive noise the SPDE is assumed to be driven by an arbitrary stochastic process with Hl̲der continuous sample paths. Recent developments on numerical methods for random and stochastic ordinary differential equations are also included since these are relevant for solving spatially discretised SPDEs as well as of interest in their own right. The authors include the proof of an existence and uniqueness theorem under general assumptions on the coefficients as well as regularity estimates in an appendix.