Applied Stochastic Modelling

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Applied Stochastic System Modeling

Shunji Osaki
Applied Stochastic System Modeling Book PDF

Author : Shunji Osaki
Publisher : Springer Science & Business Media
Page : 278 pages
File Size : 46,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642846816

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Applied Stochastic System Modeling by Shunji Osaki Pdf

This book was written for an introductory one-semester or two-quarter course in stochastic processes and their applications. The reader is assumed to have a basic knowledge of analysis and linear algebra at an undergraduate level. Stochastic models are applied in many fields such as engineering systems, physics, biology, operations research, business, economics, psychology, and linguistics. Stochastic modeling is one of the promising kinds of modeling in applied probability theory. This book is intended to introduce basic stochastic processes: Poisson pro cesses, renewal processes, discrete-time Markov chains, continuous-time Markov chains, and Markov-renewal processes. These basic processes are introduced from the viewpoint of elementary mathematics without going into rigorous treatments. This book also introduces applied stochastic system modeling such as reliability and queueing modeling. Chapters 1 and 2 deal with probability theory, which is basic and prerequisite to the following chapters. Many important concepts of probabilities, random variables, and probability distributions are introduced. Chapter 3 develops the Poisson process, which is one of the basic and im portant stochastic processes. Chapter 4 presents the renewal process. Renewal theoretic arguments are then used to analyze applied stochastic models. Chapter 5 develops discrete-time Markov chains. Following Chapter 5, Chapter 6 deals with continuous-time Markov chains. Continuous-time Markov chains have im portant applications to queueing models as seen in Chapter 9. A one-semester course or two-quarter course consists of a brief review of Chapters 1 and 2, fol lowed in order by Chapters 3 through 6.

Basics of Applied Stochastic Processes

Richard Serfozo
Basics of Applied Stochastic Processes Book PDF

Author : Richard Serfozo
Publisher : Springer Science & Business Media
Page : 452 pages
File Size : 46,6 Mb
Release : 2009-01-24
Category : Mathematics
ISBN : 9783540893325

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Basics of Applied Stochastic Processes by Richard Serfozo Pdf

Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes.

Applied Stochastic Models and Control for Finance and Insurance

Charles S. Tapiero
Applied Stochastic Models and Control for Finance and Insurance Book PDF

Author : Charles S. Tapiero
Publisher : Springer Science & Business Media
Page : 352 pages
File Size : 54,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461558231

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Applied Stochastic Models and Control for Finance and Insurance by Charles S. Tapiero Pdf

Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.

Applied Stochastic Modelling

Byron J.T. Morgan
Applied Stochastic Modelling Book PDF

Author : Byron J.T. Morgan
Publisher : CRC Press
Page : 363 pages
File Size : 54,6 Mb
Release : 2008-12-02
Category : Mathematics
ISBN : 9781420011654

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Applied Stochastic Modelling by Byron J.T. Morgan Pdf

Highlighting modern computational methods, Applied Stochastic Modelling, Second Edition provides students with the practical experience of scientific computing in applied statistics through a range of interesting real-world applications. It also successfully revises standard probability and statistical theory. Along with an updated bibliography and

An Introduction to Stochastic Modeling

Howard M. Taylor,Samuel Karlin
An Introduction to Stochastic Modeling Book PDF

Author : Howard M. Taylor,Samuel Karlin
Publisher : Academic Press
Page : 410 pages
File Size : 40,5 Mb
Release : 2014-05-10
Category : Mathematics
ISBN : 9781483269276

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An Introduction to Stochastic Modeling by Howard M. Taylor,Samuel Karlin Pdf

An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Applied Stochastic Processes

Ming Liao
Applied Stochastic Processes Book PDF

Author : Ming Liao
Publisher : CRC Press
Page : 209 pages
File Size : 54,8 Mb
Release : 2013-07-22
Category : Business & Economics
ISBN : 9781466589339

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Applied Stochastic Processes by Ming Liao Pdf

Applied Stochastic Processes presents a concise, graduate-level treatment of the subject, emphasizing applications and practical computation. It also establishes the complete mathematical theory in an accessible way. After reviewing basic probability, the text covers Poisson processes, renewal processes, discrete- and continuous-time Markov chains, and Brownian motion. It also offers an introduction to stochastic differential equations. While the main applications described are queues, the book also considers other examples, such as the mathematical model of a single stock market. With exercises in most sections, this book provides a clear, practical introduction for beginning graduate students. The material is presented in a straightforward manner using short, motivating examples. In addition, the author develops the mathematical theory with a strong emphasis on probability intuition.

Stochastic Control of Hereditary Systems and Applications

Mou-Hsiung Chang
Stochastic Control of Hereditary Systems and Applications Book PDF

Author : Mou-Hsiung Chang
Publisher : Springer Science & Business Media
Page : 406 pages
File Size : 44,7 Mb
Release : 2008-01-03
Category : Mathematics
ISBN : 9780387758169

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Stochastic Control of Hereditary Systems and Applications by Mou-Hsiung Chang Pdf

This monograph develops the Hamilton-Jacobi-Bellman theory via dynamic programming principle for a class of optimal control problems for stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion and with a bounded or an infinite but fading memory. These equations represent a class of stochastic infinite-dimensional systems that become increasingly important and have wide range of applications in physics, chemistry, biology, engineering and economics/finance. This monograph can be used as a reference for those who have special interest in optimal control theory and applications of stochastic hereditary systems.

Stochastic Modeling

Nicolas Lanchier
Stochastic Modeling Book PDF

Author : Nicolas Lanchier
Publisher : Springer
Page : 303 pages
File Size : 45,7 Mb
Release : 2017-01-27
Category : Mathematics
ISBN : 9783319500386

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Stochastic Modeling by Nicolas Lanchier Pdf

Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly introduced to several different topics enriched with 175 exercises which focus on real-world problems. Exercises range from the classics of probability theory to more exotic research-oriented problems based on numerical simulations. Intended for graduate students in mathematics and applied sciences, the text provides the tools and training needed to write and use programs for research purposes. The first part of the text begins with a brief review of measure theory and revisits the main concepts of probability theory, from random variables to the standard limit theorems. The second part covers traditional material on stochastic processes, including martingales, discrete-time Markov chains, Poisson processes, and continuous-time Markov chains. The theory developed is illustrated by a variety of examples surrounding applications such as the gambler’s ruin chain, branching processes, symmetric random walks, and queueing systems. The third, more research-oriented part of the text, discusses special stochastic processes of interest in physics, biology, and sociology. Additional emphasis is placed on minimal models that have been used historically to develop new mathematical techniques in the field of stochastic processes: the logistic growth process, the Wright –Fisher model, Kingman’s coalescent, percolation models, the contact process, and the voter model. Further treatment of the material explains how these special processes are connected to each other from a modeling perspective as well as their simulation capabilities in C and MatlabTM.

Stochastic Modelling of Reaction-Diffusion Processes

Radek Erban,S. Jonathan Chapman
Stochastic Modelling of Reaction Diffusion Processes Book PDF

Author : Radek Erban,S. Jonathan Chapman
Publisher : Cambridge University Press
Page : 321 pages
File Size : 40,7 Mb
Release : 2020-01-30
Category : Mathematics
ISBN : 9781108498128

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Stochastic Modelling of Reaction-Diffusion Processes by Radek Erban,S. Jonathan Chapman Pdf

Practical introduction for advanced undergraduate or beginning graduate students of applied mathematics, developed at the University of Oxford.

Applied Stochastic Modeling

Liliana Blanco-Castañeda,Viswanathan Arunachalam
Applied Stochastic Modeling Book PDF

Author : Liliana Blanco-Castañeda,Viswanathan Arunachalam
Publisher : Springer Nature
Page : 154 pages
File Size : 52,9 Mb
Release : 2023-06-18
Category : Mathematics
ISBN : 9783031312823

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Applied Stochastic Modeling by Liliana Blanco-Castañeda,Viswanathan Arunachalam Pdf

This book provides the essential theoretical tools for stochastic modeling. The authors address the most used models in applications such as Markov chains with discrete-time parameters, hidden Markov chains, Poisson processes, and birth and death processes. This book also presents specific examples with simulation methods that apply the topics to different areas of knowledge. These examples include practical applications, such as modeling the COVID-19 pandemic and animal movement modeling. This book is concise and rigorous, presenting the material in an easily accessible manner that allows readers to learn how to address and solve problems of a stochastic nature.

Stochastic Modeling in Economics and Finance

Jitka Dupacova,J. Hurt,J. Stepan
Stochastic Modeling in Economics and Finance Book PDF

Author : Jitka Dupacova,J. Hurt,J. Stepan
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 52,7 Mb
Release : 2006-04-18
Category : Mathematics
ISBN : 9780306481673

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Stochastic Modeling in Economics and Finance by Jitka Dupacova,J. Hurt,J. Stepan Pdf

In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.

Stochastic Calculus and Financial Applications

J. Michael Steele
Stochastic Calculus and Financial Applications Book PDF

Author : J. Michael Steele
Publisher : Springer Science & Business Media
Page : 303 pages
File Size : 47,7 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781468493054

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Stochastic Calculus and Financial Applications by J. Michael Steele Pdf

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham
Continuous time Stochastic Control and Optimization with Financial Applications Book PDF

Author : Huyên Pham
Publisher : Springer Science & Business Media
Page : 243 pages
File Size : 40,7 Mb
Release : 2009-05-28
Category : Mathematics
ISBN : 9783540895008

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Continuous-time Stochastic Control and Optimization with Financial Applications by Huyên Pham Pdf

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Monte Carlo Methods in Financial Engineering

Paul Glasserman
Monte Carlo Methods in Financial Engineering Book PDF

Author : Paul Glasserman
Publisher : Springer Science & Business Media
Page : 603 pages
File Size : 40,9 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9780387216171

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Monte Carlo Methods in Financial Engineering by Paul Glasserman Pdf

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Applied Stochastic Differential Equations

Simo Särkkä,Arno Solin
Applied Stochastic Differential Equations Book PDF

Author : Simo Särkkä,Arno Solin
Publisher : Cambridge University Press
Page : 327 pages
File Size : 53,7 Mb
Release : 2019-05-02
Category : Business & Economics
ISBN : 9781316510087

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Applied Stochastic Differential Equations by Simo Särkkä,Arno Solin Pdf

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.