Asymptotic Methods In Stochastics

Author : M. Csörgö,Lajos Horváth,Barbara Szyszkowicz
Publisher : American Mathematical Soc.
Page : 546 pages
File Size : 52,9 Mb
Release : 2004
Category : Mathematics
ISBN : 9780821835616

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Asymptotic Methods in Stochastics by M. Csörgö,Lajos Horváth,Barbara Szyszkowicz Pdf

This volume, honoring over forty years of Miklos Csorgo's work in probability and statistics, reflects the state of current research. It offers a comprehensive collection of surveys introducing new results with complete proofs and expository papers giving an historic overview. This book is suitable for graduate students and researchers interested in probability theory, stochastic processes, mathematical statistics, and applications of these mathematical/statistical sciences.

Author : Donald Dawson,Rafal Kulik,Mohamedou Ould Haye,Barbara Szyszkowicz,Yiqiang Zhao
Publisher : Springer
Page : 406 pages
File Size : 50,9 Mb
Release : 2015-11-12
Category : Mathematics
ISBN : 9781493930760

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Asymptotic Laws and Methods in Stochastics by Donald Dawson,Rafal Kulik,Mohamedou Ould Haye,Barbara Szyszkowicz,Yiqiang Zhao Pdf

This book contains articles arising from a conference in honour of mathematician-statistician Miklόs Csörgő on the occasion of his 80th birthday, held in Ottawa in July 2012. It comprises research papers and overview articles, which provide a substantial glimpse of the history and state-of-the-art of the field of asymptotic methods in probability and statistics, written by leading experts. The volume consists of twenty articles on topics on limit theorems for self-normalized processes, planar processes, the central limit theorem and laws of large numbers, change-point problems, short and long range dependent time series, applied probability and stochastic processes, and the theory and methods of statistics. It also includes Csörgő’s list of publications during more than 50 years, since 1962.

Author : Anatoliĭ Vladimirovich Skorokhod
Publisher : Amer Mathematical Society
Page : 339 pages
File Size : 45,8 Mb
Release : 1989
Category : Mathematics
ISBN : 0821845314

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Asymptotic Methods in the Theory of Stochastic Differential Equations by Anatoliĭ Vladimirovich Skorokhod Pdf

Author : A. V. Skorokhod
Publisher : American Mathematical Soc.
Page : 339 pages
File Size : 41,7 Mb
Release : 2009-01-07
Category : Mathematics
ISBN : 0821846868

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Asymptotic Methods in the Theory of Stochastic Differential Equations by A. V. Skorokhod Pdf

Written by one of the foremost Soviet experts in the field, this book is intended for specialists in the theory of random processes and its applications. The author's 1982 monograph on stochastic differential equations, written with Iosif Ilich Gikhman, did not include a number of topics important to applications. The present work begins to fill this gap by investigating the asymptotic behavior of stochastic differential equations. The main topics are ergodic theory for Markov processes and for solutions of stochastic differential equations, stochastic differential equations containing a small parameter, and stability theory for solutions of systems of stochastic differential equations.

Author : Lajos Horvath and Barbara Szyszkowicz
Publisher : American Mathematical Soc.
Page : 552 pages
File Size : 55,9 Mb
Release : 2024-06-30
Category : Asymptotic expansions
ISBN : 082187148X

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Asymptotic Methods in Stochastics by Lajos Horvath and Barbara Szyszkowicz Pdf

Honoring over forty years of Miklos Csorgo's work in probability and statistics, this title shows the state of the research. This book covers such topics as: path properties of stochastic processes, weak convergence of random size sums, almost sure stability of weighted maxima, and procedures for detecting changes in statistical models.

Author : A. V. Skorokhod
Publisher : American Mathematical Soc.
Page : 362 pages
File Size : 50,5 Mb
Release : 2009-01-07
Category : Mathematics
ISBN : 0821898256

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Asymptotic Methods in the Theory of Stochastic Differential Equations by A. V. Skorokhod Pdf

Ergodic theorems: General ergodic theorems Densities for transition probabilities and resolvents for Markov solutions of stochastic differential equations Ergodic theorems for one-dimensional stochastic equations Ergodic theorems for solutions of stochastic equations in $R^d$ Asymptotic behavior of systems of stochastic equations containing a small parameter: Equations with a small right-hand side Processes with rapid switching Averaging over variables for systems of stochastic differential equations Stability. Linear systems: Stability of sample paths of homogeneous Markov processes Linear equations in $R^d$ and the stochastic semigroups connected with them. Stability Stability of solutions of stochastic differential equations Linear stochastic equations in Hilbert space. Stochastic semigroups. Stability: Linear equations with bounded coefficients Strong stochastic semigroups with second moments Stability Bibliography

Author : Grigorij Kulinich,Svitlana Kushnirenko,Yuliya Mishura
Publisher : Springer Nature
Page : 240 pages
File Size : 44,9 Mb
Release : 2020-04-29
Category : Mathematics
ISBN : 9783030412913

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Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations by Grigorij Kulinich,Svitlana Kushnirenko,Yuliya Mishura Pdf

This book is devoted to unstable solutions of stochastic differential equations (SDEs). Despite the huge interest in the theory of SDEs, this book is the first to present a systematic study of the instability and asymptotic behavior of the corresponding unstable stochastic systems. The limit theorems contained in the book are not merely of purely mathematical value; rather, they also have practical value. Instability or violations of stability are noted in many phenomena, and the authors attempt to apply mathematical and stochastic methods to deal with them. The main goals include exploration of Brownian motion in environments with anomalies and study of the motion of the Brownian particle in layered media. A fairly wide class of continuous Markov processes is obtained in the limit. It includes Markov processes with discontinuous transition densities, processes that are not solutions of any Itô's SDEs, and the Bessel diffusion process. The book is self-contained, with presentation of definitions and auxiliary results in an Appendix. It will be of value for specialists in stochastic analysis and SDEs, as well as for researchers in other fields who deal with unstable systems and practitioners who apply stochastic models to describe phenomena of instability.

Author : Herbert Steinrück
Publisher : Springer Science & Business Media
Page : 426 pages
File Size : 52,7 Mb
Release : 2012-01-29
Category : Technology & Engineering
ISBN : 9783709104088

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Asymptotic Methods in Fluid Mechanics: Survey and Recent Advances by Herbert Steinrück Pdf

A survey of asymptotic methods in fluid mechanics and applications is given including high Reynolds number flows (interacting boundary layers, marginal separation, turbulence asymptotics) and low Reynolds number flows as an example of hybrid methods, waves as an example of exponential asymptotics and multiple scales methods in meteorology.

Author : Jianhai Bao,George Yin,Chenggui Yuan
Publisher : Springer
Page : 151 pages
File Size : 54,5 Mb
Release : 2016-11-19
Category : Mathematics
ISBN : 9783319469799

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Asymptotic Analysis for Functional Stochastic Differential Equations by Jianhai Bao,George Yin,Chenggui Yuan Pdf

This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity.This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.

Author : Anonim
Publisher : Unknown
Page : 234 pages
File Size : 47,8 Mb
Release : 2000
Category : Mathematical statistics
ISBN : 1470446227

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Asymptotic Statistical Methods for Stochastic Processes by Anonim Pdf

The asymptotic properties of the likelihood ratio play an important part in solving problems in statistics for various schemes of observations. In this book, the author describes the asymptotic methods for parameter estimation and hypothesis testing based on asymptotic properties of the likelihood ratios in the case where an observed stochastic process is a semimartingale. Chapter 1 gives the general basic notions and results of the theory under consideration. Chapters 2 and 3 are devoted to the problem of distinguishing between two simple statistical hypotheses. In Chapter 2, certain types of.

Author : Lucien Marie Le Cam,Grace Lo Yang
Publisher : Springer Science & Business Media
Page : 312 pages
File Size : 41,7 Mb
Release : 2000-07-28
Category : Mathematics
ISBN : 0387950362

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Asymptotics in Statistics by Lucien Marie Le Cam,Grace Lo Yang Pdf

This is the second edition of a coherent introduction to the subject of asymptotic statistics as it has developed over the past 50 years. It differs from the first edition in that it is now more 'reader friendly' and also includes a new chapter on Gaussian and Poisson experiments, reflecting their growing role in the field. Most of the subsequent chapters have been entirely rewritten and the nonparametrics of Chapter 7 have been amplified. The volume is not intended to replace monographs on specialized subjects, but will help to place them in a coherent perspective. It thus represents a link between traditional material - such as maximum likelihood, and Wald's Theory of Statistical Decision Functions -- together with comparison and distances for experiments. Much of the material has been taught in a second year graduate course at Berkeley for 30 years.

Author : Albert N. Shiryaev,Konstantin E. Samouylov,Dmitry V. Kozyrev
Publisher : Springer Nature
Page : 370 pages
File Size : 44,6 Mb
Release : 2021-08-02
Category : Mathematics
ISBN : 9783030832667

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Recent Developments in Stochastic Methods and Applications by Albert N. Shiryaev,Konstantin E. Samouylov,Dmitry V. Kozyrev Pdf

Highlighting the latest advances in stochastic analysis and its applications, this volume collects carefully selected and peer-reviewed papers from the 5th International Conference on Stochastic Methods (ICSM-5), held in Moscow, Russia, November 23-27, 2020. The contributions deal with diverse topics such as stochastic analysis, stochastic methods in computer science, analytical modeling, asymptotic methods and limit theorems, Markov processes, martingales, insurance and financial mathematics, queueing theory and stochastic networks, reliability theory, risk analysis, statistical methods and applications, machine learning and data analysis. The 29 articles in this volume are a representative sample of the 87 high-quality papers accepted and presented during the conference. The aim of the ICSM-5 conference is to promote the collaboration of researchers from Russia and all over the world, and to contribute to the development of the field of stochastic analysis and applications of stochastic models.

Author : Masanobu Taniguchi,Yoshihide Kakizawa
Publisher : Springer Science & Business Media
Page : 671 pages
File Size : 51,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461211624

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Asymptotic Theory of Statistical Inference for Time Series by Masanobu Taniguchi,Yoshihide Kakizawa Pdf

The primary aim of this book is to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual AR, MA, and ARMA processes. A wide variety of stochastic processes, including non-Gaussian linear processes, long-memory processes, nonlinear processes, non-ergodic processes and diffusion processes are described. The authors discuss estimation and testing theory and many other relevant statistical methods and techniques.

Author : Volker Schmidt
Publisher : Springer
Page : 464 pages
File Size : 54,5 Mb
Release : 2014-10-24
Category : Mathematics
ISBN : 9783319100647

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Stochastic Geometry, Spatial Statistics and Random Fields by Volker Schmidt Pdf

This volume is an attempt to provide a graduate level introduction to various aspects of stochastic geometry, spatial statistics and random fields, with special emphasis placed on fundamental classes of models and algorithms as well as on their applications, e.g. in materials science, biology and genetics. This book has a strong focus on simulations and includes extensive codes in Matlab and R which are widely used in the mathematical community. It can be seen as a continuation of the recent volume 2068 of Lecture Notes in Mathematics, where other issues of stochastic geometry, spatial statistics and random fields were considered with a focus on asymptotic methods.

Author : Vladimir Panov
Publisher : Springer
Page : 511 pages
File Size : 51,5 Mb
Release : 2017-11-21
Category : Mathematics
ISBN : 9783319653136

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Modern Problems of Stochastic Analysis and Statistics by Vladimir Panov Pdf

This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory of Stochastic Analysis and its Applications on the occasion of his 70th birthday. Contributions were prepared by the participants of the international conference of the international conference “Modern problems of stochastic analysis and statistics”, held at the Higher School of Economics in Moscow from May 29 - June 2, 2016. It offers a valuable reference resource for researchers and graduate students interested in modern stochastics.