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Diffusion Approximation Of A Sequence Of Semimartingales And Its Application In Exploring The Asymptotic Behaviour Of Some Queueing Networks Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Diffusion Approximation Of A Sequence Of Semimartingales And Its Application In Exploring The Asymptotic Behaviour Of Some Queueing Networks book. This book definitely worth reading, it is an incredibly well-written.
Author : Yi-Ju Chao
Publisher : Unknown
Page : 206 pages
File Size : 54,9 Mb
Release : 1999
Category : Electronic
ISBN : MINN:31951P006938040
Author : Anonim
Publisher : Unknown
Page : 856 pages
File Size : 53,7 Mb
Release : 2000
Category : Dissertations, Academic
ISBN : STANFORD:36105029530313
Author : Anonim
Publisher : Unknown
Page : 762 pages
File Size : 55,9 Mb
Release : 1992
Category : Mathematical statistics
ISBN : UOM:39015051242710
The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
Author : N. Sri Namachchivaya,Y.K. Lin
Publisher : Springer
Page : 467 pages
File Size : 41,6 Mb
Release : 2012-10-23
Category : Mathematics
ISBN : 9401001804
Non-linear stochastic systems are at the center of many engineering disciplines and progress in theoretical research had led to a better understanding of non-linear phenomena. This book provides information on new fundamental results and their applications which are beginning to appear across the entire spectrum of mechanics. The outstanding points of these proceedings are Coherent compendium of the current state of modelling and analysis of non-linear stochastic systems from engineering, applied mathematics and physics point of view. Subject areas include: Multiscale phenomena, stability and bifurcations, control and estimation, computational methods and modelling. For the Engineering and Physics communities, this book will provide first-hand information on recent mathematical developments. The applied mathematics community will benefit from the modelling and information on various possible applications.
Author : Takeyuki Hida,Rajeeva L. Karandikar,Hiroshi Kunita,Balram S. Rajput,Shinzo Watanabe,Jie Xiong
Publisher : Springer Science & Business Media
Page : 436 pages
File Size : 42,6 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461201670
During the last fifty years, Gopinath Kallianpur has made extensive and significant contributions to diverse areas of probability and statistics, including stochastic finance, Fisher consistent estimation, non-linear prediction and filtering problems, zero-one laws for Gaussian processes and reproducing kernel Hilbert space theory, and stochastic differential equations in infinite dimensions. To honor Kallianpur's pioneering work and scholarly achievements, a number of leading experts have written research articles highlighting progress and new directions of research in these and related areas. This commemorative volume, dedicated to Kallianpur on the occasion of his seventy-fifth birthday, will pay tribute to his multi-faceted achievements and to the deep insight and inspiration he has so graciously offered his students and colleagues throughout his career. Contributors to the volume: S. Aida, N. Asai, K. B. Athreya, R. N. Bhattacharya, A. Budhiraja, P. S. Chakraborty, P. Del Moral, R. Elliott, L. Gawarecki, D. Goswami, Y. Hu, J. Jacod, G. W. Johnson, L. Johnson, T. Koski, N. V. Krylov, I. Kubo, H.-H. Kuo, T. G. Kurtz, H. J. Kushner, V. Mandrekar, B. Margolius, R. Mikulevicius, I. Mitoma, H. Nagai, Y. Ogura, K. R. Parthasarathy, V. Perez-Abreu, E. Platen, B. V. Rao, B. Rozovskii, I. Shigekawa, K. B. Sinha, P. Sundar, M. Tomisaki, M. Tsuchiya, C. Tudor, W. A. Woycynski, J. Xiong.
Author : Mikhail Menshikov,Serguei Popov,Andrew Wade
Publisher : Cambridge University Press
Page : 423 pages
File Size : 49,6 Mb
Release : 2016-12-22
Category : Mathematics
ISBN : 9781316867365
Stochastic systems provide powerful abstract models for a variety of important real-life applications: for example, power supply, traffic flow, data transmission. They (and the real systems they model) are often subject to phase transitions, behaving in one way when a parameter is below a certain critical value, then switching behaviour as soon as that critical value is reached. In a real system, we do not necessarily have control over all the parameter values, so it is important to know how to find critical points and to understand system behaviour near these points. This book is a modern presentation of the 'semimartingale' or 'Lyapunov function' method applied to near-critical stochastic systems, exemplified by non-homogeneous random walks. Applications treat near-critical stochastic systems and range across modern probability theory from stochastic billiards models to interacting particle systems. Spatially non-homogeneous random walks are explored in depth, as they provide prototypical near-critical systems.
Author : David Lando
Publisher : Princeton University Press
Page : 328 pages
File Size : 54,6 Mb
Release : 2009-12-13
Category : Business & Economics
ISBN : 9781400829194
Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
Author : Terry J. Lyons,Michael J. Caruana,Thierry Lévy
Publisher : Springer
Page : 126 pages
File Size : 43,5 Mb
Release : 2007-04-25
Category : Mathematics
ISBN : 9783540712855
Each year young mathematicians congregate in Saint Flour, France, and listen to extended lecture courses on new topics in Probability Theory. The goal of these notes, representing a course given by Terry Lyons in 2004, is to provide a straightforward and self supporting but minimalist account of the key results forming the foundation of the theory of rough paths.
Author : J. Gani
Publisher : Springer Science & Business Media
Page : 323 pages
File Size : 46,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461386315
This book brings together the personal accounts and reflections of nineteen mathematical model-builders, whose specialty is probabilistic modelling. The reader may well wonder why, apart from personal interest, one should commission and edit such a collection of articles. There are, of course, many reasons, but perhaps the three most relevant are: (i) a philosophicaJ interest in conceptual models; this is an interest shared by everyone who has ever puzzled over the relationship between thought and reality; (ii) a conviction, not unsupported by empirical evidence, that probabilistic modelling has an important contribution to make to scientific research; and finally (iii) a curiosity, historical in its nature, about the complex interplay between personal events and the development of a field of mathematical research, namely applied probability. Let me discuss each of these in turn. Philosophical Abstraction, the formation of concepts, and the construction of conceptual models present us with complex philosophical problems which date back to Democritus, Plato and Aristotle. We have all, at one time or another, wondered just how we think; are our thoughts, concepts and models of reality approxim&tions to the truth, or are they simply functional constructs helping us to master our environment? Nowhere are these problems more apparent than in mathematical model ling, where idealized concepts and constructions replace the imperfect realities for which they stand.
Author : Joel Hasbrouck
Publisher : Oxford University Press
Page : 208 pages
File Size : 46,9 Mb
Release : 2007-01-04
Category : Business & Economics
ISBN : 0198041306
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Author : Daniel Revuz,Marc Yor
Publisher : Springer Science & Business Media
Page : 608 pages
File Size : 54,9 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9783662064009
"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." –BULLETIN OF THE L.M.S.
Author : Ward Whitt
Publisher : Springer Science & Business Media
Page : 616 pages
File Size : 52,6 Mb
Release : 2006-04-11
Category : Mathematics
ISBN : 9780387217482
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
Author : Frédéric Abergel,Bikas K Chakrabarti,Anirban Chakraborti,Manipushpak Mitra
Publisher : Springer Science & Business Media
Page : 316 pages
File Size : 54,9 Mb
Release : 2011-04-06
Category : Business & Economics
ISBN : 9788847017665
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
Author : Maureen O'Hara
Publisher : John Wiley & Sons
Page : 310 pages
File Size : 48,9 Mb
Release : 1998-03-06
Category : Business & Economics
ISBN : 9780631207610
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Author : Robin Pemantle,Mark C. Wilson
Publisher : Cambridge University Press
Page : 395 pages
File Size : 48,8 Mb
Release : 2013-05-31
Category : Mathematics
ISBN : 9781107031579
Aimed at graduate students and researchers in enumerative combinatorics, this book is the first to treat the analytic aspects of combinatorial enumeration from a multivariate perspective.
