Stochastic Processes And Their Applications
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Stochastic Processes And Their Applications
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Author : Kiyosi Ito
language : en
Publisher:
Release Date : 2014-09-01
Stochastic Processes And Their Applications written by Kiyosi Ito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-01 with categories.
Stochastic Processes And Their Applications
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Author : Frank E. Beichelt
language : en
Publisher: Gordon & Breach Science Publishers
Release Date : 2001-01-01
Stochastic Processes And Their Applications written by Frank E. Beichelt and has been published by Gordon & Breach Science Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-01-01 with Stochastic processes categories.
An Introduction To Stochastic Processes And Their Applications
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Author : Petar Todorovic
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
An Introduction To Stochastic Processes And Their Applications written by Petar Todorovic 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 text on stochastic processes and their applications is based on a set of lectures given during the past several years at the University of California, Santa Barbara (UCSB). It is an introductory graduate course designed for classroom purposes. Its objective is to provide graduate students of statistics with an overview of some basic methods and techniques in the theory of stochastic processes. The only prerequisites are some rudiments of measure and integration theory and an intermediate course in probability theory. There are more than 50 examples and applications and 243 problems and complements which appear at the end of each chapter. The book consists of 10 chapters. Basic concepts and definitions are pro vided in Chapter 1. This chapter also contains a number of motivating ex amples and applications illustrating the practical use of the concepts. The last five sections are devoted to topics such as separability, continuity, and measurability of random processes, which are discussed in some detail. The concept of a simple point process on R+ is introduced in Chapter 2. Using the coupling inequality and Le Cam's lemma, it is shown that if its counting function is stochastically continuous and has independent increments, the point process is Poisson. When the counting function is Markovian, the sequence of arrival times is also a Markov process. Some related topics such as independent thinning and marked point processes are also discussed. In the final section, an application of these results to flood modeling is presented.
Stochastic Processes With Applications
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Author : Rabi N. Bhattacharya
language : en
Publisher: SIAM
Release Date : 2009-08-27
Stochastic Processes With Applications written by Rabi N. Bhattacharya and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-27 with Mathematics categories.
This book develops systematically and rigorously, yet in an expository and lively manner, the evolution of general random processes and their large time properties such as transience, recurrence, and convergence to steady states. The emphasis is on the most important classes of these processes from the viewpoint of theory as well as applications, namely, Markov processes. The book features very broad coverage of the most applicable aspects of stochastic processes, including sufficient material for self-contained courses on random walks in one and multiple dimensions; Markov chains in discrete and continuous times, including birth-death processes; Brownian motion and diffusions; stochastic optimization; and stochastic differential equations. This book is for graduate students in mathematics, statistics, science and engineering, and it may also be used as a reference by professionals in diverse fields whose work involves the application of probability.
Stochastic Processes And Their Applications
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Author : Sergio Albeverio
language : en
Publisher: Springer
Release Date : 2011-11-04
Stochastic Processes And Their Applications written by Sergio Albeverio and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-04 with Mathematics categories.
Stochastic Processes And Their Applications
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Author : Kiyosi Ito
language : en
Publisher: Springer
Release Date : 2006-11-14
Stochastic Processes And Their Applications written by Kiyosi Ito and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-14 with Mathematics categories.
Prior Processes And Their Applications
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Author : Eswar G. Phadia
language : en
Publisher: Springer
Release Date : 2016-07-27
Prior Processes And Their Applications written by Eswar G. Phadia and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-27 with Mathematics categories.
This book presents a systematic and comprehensive treatment of various prior processes that have been developed over the past four decades for dealing with Bayesian approach to solving selected nonparametric inference problems. This revised edition has been substantially expanded to reflect the current interest in this area. After an overview of different prior processes, it examines the now pre-eminent Dirichlet process and its variants including hierarchical processes, then addresses new processes such as dependent Dirichlet, local Dirichlet, time-varying and spatial processes, all of which exploit the countable mixture representation of the Dirichlet process. It subsequently discusses various neutral to right type processes, including gamma and extended gamma, beta and beta-Stacy processes, and then describes the Chinese Restaurant, Indian Buffet and infinite gamma-Poisson processes, which prove to be very useful in areas such as machine learning, information retrieval and featural modeling. Tailfree and Polya tree and their extensions form a separate chapter, while the last two chapters present the Bayesian solutions to certain estimation problems pertaining to the distribution function and its functional based on complete data as well as right censored data. Because of the conjugacy property of some of these processes, most solutions are presented in closed form. However, the current interest in modeling and treating large-scale and complex data also poses a problem – the posterior distribution, which is essential to Bayesian analysis, is invariably not in a closed form, making it necessary to resort to simulation. Accordingly, the book also introduces several computational procedures, such as the Gibbs sampler, Blocked Gibbs sampler and slice sampling, highlighting essential steps of algorithms while discussing specific models. In addition, it features crucial steps of proofs and derivations, explains the relationships between different processes and provides further clarifications to promote a deeper understanding. Lastly, it includes a comprehensive list of references, equipping readers to explore further on their own.
An Introduction To Stochastic Processes And Their Applications
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Author : Chin Long Chiang
language : en
Publisher: Krieger Publishing Company
Release Date : 1980
An Introduction To Stochastic Processes And Their Applications written by Chin Long Chiang and has been published by Krieger Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Mathematics categories.
Random variables. Probability generating functions. Exponential-type distributions and maximum likelihood estimation. Branching process, random walk and ruin problem. Markov chains. Algebraic treatment of finite Markov chains. Renewal processes. Some stochastic models of population growth. A general birth process, an equality and an epidemic model. Birth-death processes and queueing processes. A simple illness-death process - fix-neyman processes. Multiple transition probabilities in the simple illness death process. Multiple transition time in the simple illness death process - an alternating renewal process. The kolmogorov differential equations and finite markov processes. Kolmogorov differential equations and finite markov processes - continuation. A general illness-death process. Migration processes and birth-illness-death processes.
Stochastic Processes And Applications To Mathematical Finance
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Author : Jiro Akahori
language : en
Publisher: World Scientific
Release Date : 2004
Stochastic Processes And Applications To Mathematical Finance written by Jiro Akahori 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 with Mathematics categories.
This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.
Certain Important Stochastic Processes And Their Applications
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Author : Deborah Gail Kasper
language : en
Publisher:
Release Date : 1994
Certain Important Stochastic Processes And Their Applications written by Deborah Gail Kasper and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Stochastic processes categories.