Weak Convergence Of Stochastic Processes
DOWNLOAD
Download Weak Convergence Of Stochastic Processes PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Weak Convergence Of Stochastic Processes book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Convergence Of Stochastic Processes
DOWNLOAD
Author : D. Pollard
language : en
Publisher: David Pollard
Release Date : 1984-10-08
Convergence Of Stochastic Processes written by D. Pollard and has been published by David Pollard this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984-10-08 with Mathematics categories.
Functionals on stochastic processes; Uniform convergence of empirical measures; Convergence in distribution in euclidean spaces; Convergence in distribution in metric spaces; The uniform metric on space of cadlag functions; The skorohod metric on D [0, oo); Central limit teorems; Martingales.
Weak Convergence Of Stochastic Processes
DOWNLOAD
Author : Vidyadhar S. Mandrekar
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2016-09-26
Weak Convergence Of Stochastic Processes written by Vidyadhar S. Mandrekar and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-26 with Mathematics categories.
The purpose of this book is to present results on the subject of weak convergence in function spaces to study invariance principles in statistical applications to dependent random variables, U-statistics, censor data analysis. Different techniques, formerly available only in a broad range of literature, are for the first time presented here in a self-contained fashion. Contents: Weak convergence of stochastic processes Weak convergence in metric spaces Weak convergence on C[0, 1] and D[0,∞) Central limit theorem for semi-martingales and applications Central limit theorems for dependent random variables Empirical process Bibliography
Weak Convergence And Its Applications
DOWNLOAD
Author : Lin Zhengyan
language : en
Publisher: World Scientific
Release Date : 2014-05-09
Weak Convergence And Its Applications written by Lin Zhengyan and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-09 with Mathematics categories.
Weak convergence of stochastic processes is one of most important theories in probability theory. Not only probability experts but also more and more statisticians are interested in it. In the study of statistics and econometrics, some problems cannot be solved by the classical method. In this book, we will introduce some recent development of modern weak convergence theory to overcome defects of classical theory.
Convergence Of Stochastic Processes
DOWNLOAD
Author : D. Pollard
language : en
Publisher:
Release Date : 1984-10-01
Convergence Of Stochastic Processes written by D. Pollard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984-10-01 with categories.
Convergence Of Stochastic Processes
DOWNLOAD
Author : David Pollard
language : en
Publisher:
Release Date : 1984-01-01
Convergence Of Stochastic Processes written by David Pollard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984-01-01 with Convergence categories.
Approximation And Weak Convergence Methods For Random Processes With Applications To Stochastic Systems Theory
DOWNLOAD
Author : Harold Joseph Kushner
language : en
Publisher: MIT Press
Release Date : 1984
Approximation And Weak Convergence Methods For Random Processes With Applications To Stochastic Systems Theory written by Harold Joseph Kushner and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Computers categories.
Control and communications engineers, physicists, and probability theorists, among others, will find this book unique. It contains a detailed development of approximation and limit theorems and methods for random processes and applies them to numerous problems of practical importance. In particular, it develops usable and broad conditions and techniques for showing that a sequence of processes converges to a Markov diffusion or jump process. This is useful when the natural physical model is quite complex, in which case a simpler approximation la diffusion process, for example) is usually made. The book simplifies and extends some important older methods and develops some powerful new ones applicable to a wide variety of limit and approximation problems. The theory of weak convergence of probability measures is introduced along with general and usable methods (for example, perturbed test function, martingale, and direct averaging) for proving tightness and weak convergence. Kushner's study begins with a systematic development of the method. It then treats dynamical system models that have state-dependent noise or nonsmooth dynamics. Perturbed Liapunov function methods are developed for stability studies of nonMarkovian problems and for the study of asymptotic distributions of non-Markovian systems. Three chapters are devoted to applications in control and communication theory (for example, phase-locked loops and adoptive filters). Smallnoise problems and an introduction to the theory of large deviations and applications conclude the book. Harold J. Kushner is Professor of Applied Mathematics and Engineering at Brown University and is one of the leading researchers in the area of stochastic processes concerned with analysis and synthesis in control and communications theory. This book is the sixth in The MIT Press Series in Signal Processing, Optimization, and Control, edited by Alan S. Willsky.
Limit Theorems For Randomly Stopped Stochastic Processes
DOWNLOAD
Author : Dmitrii S. Silvestrov
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Limit Theorems For Randomly Stopped Stochastic Processes written by Dmitrii S. Silvestrov 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 volume is the first to present a state-of-the-art overview of this field, with many results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast and technically demanding Russian literature in detail. Its coverage is thorough, streamlined and arranged according to difficulty.
Weak Convergence Methods And Singularly Perturbed Stochastic Control And Filtering Problems
DOWNLOAD
Author : Harold Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Weak Convergence Methods And Singularly Perturbed Stochastic Control And Filtering Problems written by Harold Kushner 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 book deals with several closely related topics concerning approxima tions and perturbations of random processes and their applications to some important and fascinating classes of problems in the analysis and design of stochastic control systems and nonlinear filters. The basic mathematical methods which are used and developed are those of the theory of weak con vergence. The techniques are quite powerful for getting weak convergence or functional limit theorems for broad classes of problems and many of the techniques are new. The original need for some of the techniques which are developed here arose in connection with our study of the particular applica tions in this book, and related problems of approximation in control theory, but it will be clear that they have numerous applications elsewhere in weak convergence and process approximation theory. The book is a continuation of the author's long term interest in problems of the approximation of stochastic processes and its applications to problems arising in control and communication theory and related areas. In fact, the techniques used here can be fruitfully applied to many other areas. The basic random processes of interest can be described by solutions to either (multiple time scale) Ito differential equations driven by wide band or state dependent wide band noise or which are singularly perturbed. They might be controlled or not, and their state values might be fully observable or not (e. g. , as in the nonlinear filtering problem).
Weak Convergence Of Financial Markets
DOWNLOAD
Author : Jean-Luc Prigent
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Weak Convergence Of Financial Markets written by Jean-Luc Prigent 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 Business & Economics categories.
A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
Large Deviations For Stochastic Processes
DOWNLOAD
Author : Jin Feng
language : en
Publisher: American Mathematical Soc.
Release Date : 2015-02-03
Large Deviations For Stochastic Processes written by Jin Feng and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-03 with Large deviations categories.
The book is devoted to the results on large deviations for a class of stochastic processes. Following an introduction and overview, the material is presented in three parts. Part 1 gives necessary and sufficient conditions for exponential tightness that are analogous to conditions for tightness in the theory of weak convergence. Part 2 focuses on Markov processes in metric spaces. For a sequence of such processes, convergence of Fleming's logarithmically transformed nonlinear semigroups is shown to imply the large deviation principle in a manner analogous to the use of convergence of linear semigroups in weak convergence. Viscosity solution methods provide applicable conditions for the necessary convergence. Part 3 discusses methods for verifying the comparison principle for viscosity solutions and applies the general theory to obtain a variety of new and known results on large deviations for Markov processes. In examples concerning infinite dimensional state spaces, new comparison principles are derived for a class of Hamilton-Jacobi equations in Hilbert spaces and in spaces of probability measures.