Stochastic Analysis And Applications 2014
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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.
Stochastic Analysis And Applications 2014
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Author : Dan Crisan
language : en
Publisher: Springer
Release Date : 2014-12-13
Stochastic Analysis And Applications 2014 written by Dan Crisan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-13 with Mathematics categories.
Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developments. It constitutes the proceedings of the conference on "Stochastic Analysis and Applications" held at the University of Oxford and the Oxford-Man Institute during 23-27 September, 2013. The conference honored the 60th birthday of Professor Terry Lyons FLSW FRSE FRS, Wallis Professor of Mathematics, University of Oxford. Terry Lyons is one of the leaders in the field of stochastic analysis. His introduction of the notion of rough paths has revolutionized the field, both in theory and in practice. Stochastic Analysis is the branch of mathematics that deals with the analysis of dynamical systems affected by noise. It emerged as a core area of mathematics in the late 20th century and has subsequently developed into an important theory with a wide range of powerful and novel tools, and with impressive applications within and beyond mathematics. Many systems are profoundly affected by stochastic fluctuations and it is not surprising that the array of applications of Stochastic Analysis is vast and touches on many aspects of life. The present volume is intended for researchers and Ph.D. students in stochastic analysis and its applications, stochastic optimization and financial mathematics, as well as financial engineers and quantitative analysts.
Classical And Spatial Stochastic Processes
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Author : Rinaldo B. Schinazi
language : en
Publisher: Springer
Release Date : 2014-09-27
Classical And Spatial Stochastic Processes written by Rinaldo B. Schinazi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-27 with Mathematics categories.
The revised and expanded edition of this textbook presents the concepts and applications of random processes with the same illuminating simplicity as its first edition, but with the notable addition of substantial modern material on biological modeling. While still treating many important problems in fields such as engineering and mathematical physics, the book also focuses on the highly relevant topics of cancerous mutations, influenza evolution, drug resistance, and immune response. The models used elegantly apply various classical stochastic models presented earlier in the text, and exercises are included throughout to reinforce essential concepts. The second edition of Classical and Spatial Stochastic Processes is suitable as a textbook for courses in stochastic processes at the advanced-undergraduate and graduate levels, or as a self-study resource for researchers and practitioners in mathematics, engineering, physics, and mathematical biology. Reviews of the first edition: An appetizing textbook for a first course in stochastic processes. It guides the reader in a very clever manner from classical ideas to some of the most interesting modern results. ... All essential facts are presented with clear proofs, illustrated by beautiful examples. ... The book is well organized, has informative chapter summaries, and presents interesting exercises. The clear proofs are concentrated at the ends of the chapters making it easy to find the results. The style is a good balance of mathematical rigorosity and user-friendly explanation. —Biometric Journal This small book is well-written and well-organized. ... Only simple results are treated ... but at the same time many ideas needed for more complicated cases are hidden and in fact very close. The second part is a really elementary introduction to the area of spatial processes. ... All sections are easily readable and it is rather tentative for the reviewer to learn them more deeply by organizing a course based on this book. The reader can be really surprised seeing how simple the lectures on these complicated topics can be. At the same time such important questions as phase transitions and their properties for some models and the estimates for certain critical values are discussed rigorously. ... This is indeed a first course on stochastic processes and also a masterful introduction to some modern chapters of the theory. —Zentralblatt Math
Introduction To Stochastic Calculus With Applications
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Author : Fima C. Klebaner
language : en
Publisher: Imperial College Press
Release Date : 2005
Introduction To Stochastic Calculus With Applications written by Fima C. Klebaner and has been published by Imperial College Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Mathematics categories.
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Stochastic Processes
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Author : Robert G. Gallager
language : en
Publisher: Cambridge University Press
Release Date : 2013-12-12
Stochastic Processes written by Robert G. Gallager and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-12 with Business & Economics categories.
The definitive textbook on stochastic processes, written by one of the world's leading information theorists, covering both theory and applications.
New Trends In Stochastic Analysis And Related Topics
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Author : Huaizhong Zhao
language : en
Publisher: World Scientific
Release Date : 2012
New Trends In Stochastic Analysis And Related Topics written by Huaizhong Zhao and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.
The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.
Fourier Analysis And Stochastic Processes
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Author : Pierre Brémaud
language : en
Publisher: Springer
Release Date : 2014-09-16
Fourier Analysis And Stochastic Processes written by Pierre Brémaud and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-16 with Mathematics categories.
This work is unique as it provides a uniform treatment of the Fourier theories of functions (Fourier transforms and series, z-transforms), finite measures (characteristic functions, convergence in distribution), and stochastic processes (including arma series and point processes). It emphasises the links between these three themes. The chapter on the Fourier theory of point processes and signals structured by point processes is a novel addition to the literature on Fourier analysis of stochastic processes. It also connects the theory with recent lines of research such as biological spike signals and ultrawide-band communications. Although the treatment is mathematically rigorous, the convivial style makes the book accessible to a large audience. In particular, it will be interesting to anyone working in electrical engineering and communications, biology (point process signals) and econometrics (arma models). Each chapter has an exercise section, which makes Fourier Analysis and Stochastic Processes suitable for a graduate course in applied mathematics, as well as for self-study.
Recent Developments In Stochastic Methods And Applications
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Author : Albert N. Shiryaev
language : en
Publisher: Springer Nature
Release Date : 2021-08-02
Recent Developments In Stochastic Methods And Applications written by Albert N. Shiryaev and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-02 with Mathematics categories.
Highlighting the latest advances in stochastic analysis and its applications, this volume collects carefully selected and peer-reviewed papers from the 5th International Conference on Stochastic Methods (ICSM-5), held in Moscow, Russia, November 23-27, 2020. The contributions deal with diverse topics such as stochastic analysis, stochastic methods in computer science, analytical modeling, asymptotic methods and limit theorems, Markov processes, martingales, insurance and financial mathematics, queueing theory and stochastic networks, reliability theory, risk analysis, statistical methods and applications, machine learning and data analysis. The 29 articles in this volume are a representative sample of the 87 high-quality papers accepted and presented during the conference. The aim of the ICSM-5 conference is to promote the collaboration of researchers from Russia and all over the world, and to contribute to the development of the field of stochastic analysis and applications of stochastic models.
Introduction To Stochastic Integration
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Author : K.L. Chung
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-09
Introduction To Stochastic Integration written by K.L. Chung 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 2013-11-09 with Mathematics categories.
A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then It’s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman–Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed. New to the second edition are a discussion of the Cameron–Martin–Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use. This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis. The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. —Journal of the American Statistical Association An attractive text...written in [a] lean and precise style...eminently readable. Especially pleasant are the care and attention devoted to details... A very fine book. —Mathematical Reviews
Informal Introduction To Stochastic Calculus With Applications An Second Edition
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Author : Ovidiu Calin
language : en
Publisher: World Scientific
Release Date : 2021-11-15
Informal Introduction To Stochastic Calculus With Applications An Second Edition written by Ovidiu Calin and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-15 with Mathematics categories.
Most branches of science involving random fluctuations can be approached by Stochastic Calculus. These include, but are not limited to, signal processing, noise filtering, stochastic control, optimal stopping, electrical circuits, financial markets, molecular chemistry, population dynamics, etc. All these applications assume a strong mathematical background, which in general takes a long time to develop. Stochastic Calculus is not an easy to grasp theory, and in general, requires acquaintance with the probability, analysis and measure theory.The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author's goal was to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.The second edition contains several new features that improved the first edition both qualitatively and quantitatively. First, two more chapters have been added, Chapter 12 and Chapter 13, dealing with applications of stochastic processes in Electrochemistry and global optimization methods.This edition contains also a final chapter material containing fully solved review problems and provides solutions, or at least valuable hints, to all proposed problems. The present edition contains a total of about 250 exercises.This edition has also improved presentation from the first edition in several chapters, including new material.