Stochastic Processes General Theory
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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.
Statistics Of Random Processes Ii
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Author : Robert Shevilevich Lipt︠s︡er
language : en
Publisher: Springer Science & Business Media
Release Date : 2001
Statistics Of Random Processes Ii written by Robert Shevilevich Lipt︠s︡er 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 2001 with Mathematics categories.
"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
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.
Limit Theorems For Stochastic Processes
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Author : Jean Jacod
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Limit Theorems For Stochastic Processes written by Jean Jacod 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 2013-03-09 with Mathematics categories.
Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an elementary introduction to the main topics: theory of martingales and stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students.
Discrete Stochastic Processes
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Author : Robert G. Gallager
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Discrete Stochastic Processes written by Robert G. Gallager 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 Technology & Engineering categories.
Stochastic processes are found in probabilistic systems that evolve with time. Discrete stochastic processes change by only integer time steps (for some time scale), or are characterized by discrete occurrences at arbitrary times. Discrete Stochastic Processes helps the reader develop the understanding and intuition necessary to apply stochastic process theory in engineering, science and operations research. The book approaches the subject via many simple examples which build insight into the structure of stochastic processes and the general effect of these phenomena in real systems. The book presents mathematical ideas without recourse to measure theory, using only minimal mathematical analysis. In the proofs and explanations, clarity is favored over formal rigor, and simplicity over generality. Numerous examples are given to show how results fail to hold when all the conditions are not satisfied. Audience: An excellent textbook for a graduate level course in engineering and operations research. Also an invaluable reference for all those requiring a deeper understanding of the subject.
Controlled Stochastic Processes
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Author : I. I. Gihman
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Controlled Stochastic Processes 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.
The theory of controlled processes is one of the most recent mathematical theories to show very important applications in modern engineering, parti cularly for constructing automatic control systems, as well as for problems of economic control. However, actual systems subject to control do not admit a strictly deterministic analysis in view of random factors of various kinds which influence their behavior. Such factors include, for example, random noise occurring in the electrical system, variations in the supply and demand of commodities, fluctuations in the labor force in economics, and random failures of components on an automated line. The theory of con trolled processes takes the random nature of the behavior of a system into account. In such cases it is natural, when choosing a control strategy, to proceed from the average expected result, taking note of all the possible variants of the behavior of a controlled system. An extensive literature is devoted to various economic and engineering systems of control (some of these works are listed in the Bibliography). is no text which adequately covers the general However, as of now there mathematical theory of controlled processes. The authors ofthis monograph have attempted to fill this gap. In this volume the general theory of discrete-parameter (time) controlled processes (Chapter 1) and those with continuous-time (Chapter 2), as well as the theory of controlled stochastic differential equations (Chapter 3), are presented.
Model Theory Of Stochastic Processes
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Author : Sergio Fajardo
language : en
Publisher: Cambridge University Press
Release Date : 2017-03-30
Model Theory Of Stochastic Processes written by Sergio Fajardo 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 2017-03-30 with Mathematics categories.
Since their inception, the Perspectives in Logic and Lecture Notes in Logic series have published seminal works by leading logicians. Many of the original books in the series have been unavailable for years, but they are now in print once again. In this volume, the fourteenth publication in the Lecture Notes in Logic series, Fajardo and Keisler present new research combining probability theory and mathematical logic. It is a general study of stochastic processes using ideas from model theory, a key central theme being the question, 'When are two stochastic processes alike?' The authors assume some background in nonstandard analysis, but prior knowledge of model theory and advanced logic is not necessary. This volume will appeal to mathematicians willing to explore new developments with an open mind.
Stationary And Related Stochastic Processes
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Author : Harald Cramér
language : en
Publisher: Courier Corporation
Release Date : 2004-11-29
Stationary And Related Stochastic Processes written by Harald Cramér and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-29 with Mathematics categories.
This graduate-level text offers a comprehensive account of the general theory of stationary processes, with special emphasis on the properties of sample functions. The text develops the foundations of the general theory of stochastic processes, examines processes with a continuous-time parameter, and applies the general theory to procedures key to the study of stationary processes. 1967 edition.
Stochastic Calculus And Applications
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Author : Samuel N. Cohen
language : en
Publisher: Birkhäuser
Release Date : 2015-11-18
Stochastic Calculus And Applications written by Samuel N. Cohen and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-18 with Mathematics categories.
Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)
Adventures In Stochastic Processes
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Author : Sidney I. Resnick
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-11
Adventures In Stochastic Processes written by Sidney I. Resnick 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 2013-12-11 with Mathematics categories.
Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. In a lively and imaginative presentation, studded with examples, exercises, and applications, and supported by inclusion of computational procedures, the author has created a textbook that provides easy access to this fundamental topic for many students of applied sciences at many levels. With its carefully modularized discussion and crystal clear differentiation between rigorous proof and plausibility argument, it is accessible to beginners but flexible enough to serve as well those who come to the course with strong backgrounds. The prerequisite background for reading the book is a graduate level pre-measure theoretic probability course. No knowledge of measure theory is presumed and advanced notions of conditioning are scrupulously avoided until the later chapters of the book. The tools of applied probability---discrete spaces, Markov chains, renewal theory, point processes, branching processes, random walks, Brownian motion---are presented to the reader in illuminating discussion. Applications include such topics as queuing, storage, risk analysis, genetics, inventory, choice, economics, sociology, and other. Because of the conviction that analysts who build models should know how to build them for each class of process studied, the author has included such constructions.