The Theory Of Stochastic Processes Ii
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The Theory Of Stochastic Processes Ii
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Author : I.I. Gikhman
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-03-22
The Theory Of Stochastic Processes Ii written by I.I. Gikhman 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 2004-03-22 with Mathematics categories.
From the Reviews: "To call this work encyclopedic would not give an accurate picture of its content and style. Some parts read like a textbook, but others are more technical and contain relatively new results. ... The exposition is robust and explicit, as one has come to expect of the Russian tradition of mathematical writing." --K.L. Chung, American Scientist, 1977
The Theory Of Stochastic Processes
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Author : Iosif I. Gikhman
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-03-22
The Theory Of Stochastic Processes written by Iosif I. Gikhman 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 2004-03-22 with Mathematics categories.
From the Reviews: "Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection." D.W. Stroock in Bulletin of the American Mathematical Society, 1980 "To call this work encyclopedic would not give an accurate picture of its content and style. Some parts read like a textbook, but others are more technical and contain relatively new results. ... The exposition is robust and explicit, as one has come to expect of the Russian tradition of mathematical writing. The set when completed will be an invaluable source of information and reference in this ever-expanding field" K.L. Chung in American Scientist, 1977 "..., the subject has grown enormously since 1953, and there will never be a true successor to Doob's book, but Gihman and Skorohod's three volumes will, I think, occupy a rather similar position as an invaluable tool of reference for all probability theorists. ... The dominant impression is of the authors' mastery of their material, and of their confident insight into its underlying structure. ..." J.F.C. Kingman in Bulletin of the London Mathematical Society, 1977
The Theory Of Stochastic Processes Iii
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Author : Iosif I. Gikhman
language : en
Publisher: Springer
Release Date : 2007-06-29
The Theory Of Stochastic Processes Iii written by Iosif I. Gikhman and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-06-29 with Mathematics categories.
From the Reviews: "Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection." D.W. Stroock in Bulletin of the American Mathematical Society, 1980 "To call this work encyclopedic would not give an accurate picture of its content and style. Some parts read like a textbook, but others are more technical and contain relatively new results. ... The exposition is robust and explicit, as one has come to expect of the Russian tradition of mathematical writing. The set when completed will be an invaluable source of information and reference in this ever-expanding field." K.L. Chung in American Scientist, 1977 "The dominant impression is of the authors' mastery of their material, and of their confident insight into its underlying structure." J.F.C. Kingman in Bulletin of the London Mathematical Society, 1977
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
Theory And Applications Of Stochastic Processes
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Author : Zeev Schuss
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-09
Theory And Applications Of Stochastic Processes written by Zeev Schuss 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 2009-12-09 with Mathematics categories.
Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.
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 : Kiyosi Itō
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-03-12
Stochastic Processes written by Kiyosi Itō 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 2004-03-12 with Mathematics categories.
This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the Lévy-Itô decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.
The Theory Of Stochastic Processes
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Author : I.I. Gikhman
language : en
Publisher:
Release Date : 2004
The Theory Of Stochastic Processes written by I.I. Gikhman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Introduction To Stochastic Processes
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Author : Mu-fa Chen
language : en
Publisher: World Scientific
Release Date : 2021-05-25
Introduction To Stochastic Processes written by Mu-fa Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-25 with Mathematics categories.
The objective of this book is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts — Markov chains and stochastic analysis. The readers are led directly to the core of the main topics to be treated in the context. Further details and additional materials are left to a section containing abundant exercises for further reading and studying.In the part on Markov chains, the focus is on the ergodicity. By using the minimal nonnegative solution method, we deal with the recurrence and various types of ergodicity. This is done step by step, from finite state spaces to denumerable state spaces, and from discrete time to continuous time. The methods of proofs adopt modern techniques, such as coupling and duality methods. Some very new results are included, such as the estimate of the spectral gap. The structure and proofs in the first part are rather different from other existing textbooks on Markov chains.In the part on stochastic analysis, we cover the martingale theory and Brownian motions, the stochastic integral and stochastic differential equations with emphasis on one dimension, and the multidimensional stochastic integral and stochastic equation based on semimartingales. We introduce three important topics here: the Feynman-Kac formula, random time transform and Girsanov transform. As an essential application of the probability theory in classical mathematics, we also deal with the famous Brunn-Minkowski inequality in convex geometry.This book also features modern probability theory that is used in different fields, such as MCMC, or even deterministic areas: convex geometry and number theory. It provides a new and direct routine for students going through the classical Markov chains to the modern stochastic analysis.
Stochastic Processes
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Author : Narahari Umanath Prabhu
language : en
Publisher: World Scientific
Release Date : 2007
Stochastic Processes written by Narahari Umanath Prabhu and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Mathematics categories.
Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory and random walks deal inadequately with their applications. Written in a simple and accessible manner, this book addresses that inadequacy and provides guidelines and tools to study the applications. The coverage includes research developments in Markov property, martingales, regenerative phenomena and Tauberian theorems, and covers measure theory at an elementary level.