Upper And Lower Bounds For Stochastic Processes
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Upper And Lower Bounds For Stochastic Processes
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Author : Michel Talagrand
language : en
Publisher: Springer Science & Business Media
Release Date : 2014-02-12
Upper And Lower Bounds For Stochastic Processes written by Michel Talagrand 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 2014-02-12 with Mathematics categories.
The book develops modern methods and in particular the "generic chaining" to bound stochastic processes. This methods allows in particular to get optimal bounds for Gaussian and Bernoulli processes. Applications are given to stable processes, infinitely divisible processes, matching theorems, the convergence of random Fourier series, of orthogonal series, and to functional analysis. The complete solution of a number of classical problems is given in complete detail, and an ambitious program for future research is laid out.
Upper And Lower Bounds For Stochastic Processes
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Author : Michel Talagrand
language : un
Publisher:
Release Date : 2004
Upper And Lower Bounds For Stochastic Processes written by Michel Talagrand 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.
Upper And Lower Bounds For Stochastic Processes
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Author : Michel Talagrand
language : en
Publisher: Springer Nature
Release Date : 2022-01-01
Upper And Lower Bounds For Stochastic Processes written by Michel Talagrand and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-01 with Mathematics categories.
This book provides an in-depth account of modern methods used to bound the supremum of stochastic processes. Starting from first principles, it takes the reader to the frontier of current research. This second edition has been completely rewritten, offering substantial improvements to the exposition and simplified proofs, as well as new results. The book starts with a thorough account of the generic chaining, a remarkably simple and powerful method to bound a stochastic process that should belong to every probabilist’s toolkit. The effectiveness of the scheme is demonstrated by the characterization of sample boundedness of Gaussian processes. Much of the book is devoted to exploring the wealth of ideas and results generated by thirty years of efforts to extend this result to more general classes of processes, culminating in the recent solution of several key conjectures. A large part of this unique book is devoted to the author’s influential work. While many of the results presented are rather advanced, others bear on the very foundations of probability theory. In addition to providing an invaluable reference for researchers, the book should therefore also be of interest to a wide range of readers.
The Generic Chaining
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Author : Michel Talagrand
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-03-17
The Generic Chaining written by Michel Talagrand 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 2005-03-17 with Mathematics categories.
The fundamental question of characterizing continuity and boundedness of Gaussian processes goes back to Kolmogorov. After contributions by R. Dudley and X. Fernique, it was solved by the author. This book provides an overview of "generic chaining", a completely natural variation on the ideas of Kolmogorov. It takes the reader from the first principles to the edge of current knowledge and to the open problems that remain in this domain.
The Generic Chaining
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Author : Michel Talagrand
language : en
Publisher: Springer
Release Date : 2005-03-17
The Generic Chaining written by Michel Talagrand and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-03-17 with Mathematics categories.
The fundamental question of characterizing continuity and boundedness of Gaussian processes goes back to Kolmogorov. After contributions by R. Dudley and X. Fernique, it was solved by the author. This book provides an overview of "generic chaining", a completely natural variation on the ideas of Kolmogorov. It takes the reader from the first principles to the edge of current knowledge and to the open problems that remain in this domain.
Pricing American Options
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Author : Leonid Kogan
language : en
Publisher: Forgotten Books
Release Date : 2018-02-27
Pricing American Options written by Leonid Kogan and has been published by Forgotten Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-27 with Mathematics categories.
Excerpt from Pricing American Options: A Duality Approach The main practical contribution of this paper is a general algorithm for constructing upper and lower bounds on the true price of the option using any approximation to the option price. We show that our bounds are tight, so that if the initial approximation is close to the true price of the option, the bounds are also guaranteed to be close. In addition, we explicitly characterize the worst-case performance of the pricing bounds. The computation of the lower bound is straightforward and relies on simulating the suboptimal exercise strategy implied by the approximate option price. The upper bound is obtained by simulating a different stochastic process that is determined by choosing an appropriate supermartingale. We justify this procedure by representing the American option price as a solution of a dual minimization problem, which is the main theoretical result of this paper. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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.
Stochastic Process Limits
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Author : Ward Whitt
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-04-11
Stochastic Process Limits written by Ward Whitt 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 2006-04-11 with Mathematics categories.
From the reviews: "The material is self-contained, but it is technical and a solid foundation in probability and queuing theory is beneficial to prospective readers. [... It] is intended to be accessible to those with less background. This book is a must to researchers and graduate students interested in these areas." ISI Short Book Reviews
Stochastic Processes Theory And Methods
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Author : D N Shanbhag
language : en
Publisher: Gulf Professional Publishing
Release Date : 2001
Stochastic Processes Theory And Methods written by D N Shanbhag and has been published by Gulf Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.
This volume in the series contains chapters on areas such as pareto processes, branching processes, inference in stochastic processes, Poisson approximation, Levy processes, and iterated random maps and some classes of Markov processes. Other chapters cover random walk and fluctuation theory, a semigroup representation and asymptomatic behavior of certain statistics of the Fisher-Wright-Moran coalescent, continuous-time ARMA processes, record sequence and their applications, stochastic networks with product form equilibrium, and stochastic processes in insurance and finance. Other subjects include renewal theory, stochastic processes in reliability, supports of stochastic processes of multiplicity one, Markov chains, diffusion processes, and Ito's stochastic calculus and its applications. c. Book News Inc.
Applied Probability And Stochastic Processes
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Author : Frank Beichelt
language : en
Publisher: CRC Press
Release Date : 2018-09-03
Applied Probability And Stochastic Processes written by Frank Beichelt and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-03 with Business & Economics categories.
Applied Probability and Stochastic Processes, Second Edition presents a self-contained introduction to elementary probability theory and stochastic processes with a special emphasis on their applications in science, engineering, finance, computer science, and operations research. It covers the theoretical foundations for modeling time-dependent random phenomena in these areas and illustrates applications through the analysis of numerous practical examples. The author draws on his 50 years of experience in the field to give your students a better understanding of probability theory and stochastic processes and enable them to use stochastic modeling in their work. New to the Second Edition Completely rewritten part on probability theory—now more than double in size New sections on time series analysis, random walks, branching processes, and spectral analysis of stationary stochastic processes Comprehensive numerical discussions of examples, which replace the more theoretically challenging sections Additional examples, exercises, and figures Presenting the material in a student-friendly, application-oriented manner, this non-measure theoretic text only assumes a mathematical maturity that applied science students acquire during their undergraduate studies in mathematics. Many exercises allow students to assess their understanding of the topics. In addition, the book occasionally describes connections between probabilistic concepts and corresponding statistical approaches to facilitate comprehension. Some important proofs and challenging examples and exercises are also included for more theoretically interested readers.