Discrete Time Approximations And Limit Theorems

Author : Yuliya S. Mishura
Publisher : Unknown
Page : 292 pages
File Size : 52,8 Mb
Release : 2021-06-10
Category : Electronic
ISBN : 311065279X

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Discrete-Time Approximations and Limit Theorems by Yuliya S. Mishura Pdf

Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most interesting applications of mathematics nowadays.

Author : Yuliya Mishura,Kostiantyn Ralchenko
Publisher : Walter de Gruyter GmbH & Co KG
Page : 222 pages
File Size : 53,5 Mb
Release : 2021-10-25
Category : Mathematics
ISBN : 9783110652994

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Discrete-Time Approximations and Limit Theorems by Yuliya Mishura,Kostiantyn Ralchenko Pdf

The De Gruyter Series in Probability and Stochastics is devoted to the publication of high-level monographs and specialized graduate texts in any branch of modern probability theory and stochastics, along with their numerous applications in other parts of mathematics, physics and informatics, in economics and finance, and in the life sciences. The aim of the series is to present recent research results in the form of authoritative and comprehensive works that will serve the probability and stochastics community as basis for further research. Editorial Board Itai Benjamini, Weizmann Institute of Science, Israel Jean Bertoin, Universität Zürich, Switzerland Michel Ledoux, Université de Toulouse, France René L. Schilling, Technische Universität Dresden, Germany

Author : Drew Fudenberg
Publisher : World Scientific
Page : 417 pages
File Size : 51,6 Mb
Release : 2009
Category : Mathematics
ISBN : 9789812818478

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A Long-Run Collaboration on Long-Run Games by Drew Fudenberg Pdf

This book brings together the joint work of Drew Fudenberg and David Levine (through 2008) on the closely connected topics of repeated games and reputation effects, along with related papers on more general issues in game theory and dynamic games. The unified presentation highlights the recurring themes of their work.

Author : Rayadurgam Srikant
Publisher : Springer Science & Business Media
Page : 170 pages
File Size : 51,7 Mb
Release : 2012-12-06
Category : Science
ISBN : 9780817682163

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The Mathematics of Internet Congestion Control by Rayadurgam Srikant Pdf

* Recommended by T.Basar, SC series ed. * This text addresses a new, active area of research and fills a gap in the literature. * Bridges mathematics, engineering, and computer science; considers stochastic and optimization aspects of congestion control in Internet data transfers. * Useful as a supplementary text & reference for grad students with some background in control theory; also suitable for researchers.

Author : Christiane Fuchs
Publisher : Springer Science & Business Media
Page : 439 pages
File Size : 40,5 Mb
Release : 2013-01-18
Category : Mathematics
ISBN : 9783642259692

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Inference for Diffusion Processes by Christiane Fuchs Pdf

Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.

Author : Andrey A. Dorogovtsev
Publisher : Walter de Gruyter GmbH & Co KG
Page : 228 pages
File Size : 42,9 Mb
Release : 2023-11-06
Category : Mathematics
ISBN : 9783110986518

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Measure-valued Processes and Stochastic Flows by Andrey A. Dorogovtsev Pdf

Author : Nicolas Lanchier
Publisher : Walter de Gruyter GmbH & Co KG
Page : 486 pages
File Size : 52,6 Mb
Release : 2024-07-01
Category : Mathematics
ISBN : 9783110791884

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Stochastic Interacting Systems in Life and Social Sciences by Nicolas Lanchier Pdf

This volume provides an overview of two of the most important examples of interacting particle systems, the contact process, and the voter model, as well as their many variants introduced in the past 50 years. These stochastic processes are organized by domains of application (epidemiology, population dynamics, ecology, genetics, sociology, econophysics, game theory) along with a flavor of the mathematical techniques developed for their analysis.

Author : Ewaryst Rafajłowicz
Publisher : Walter de Gruyter GmbH & Co KG
Page : 202 pages
File Size : 40,8 Mb
Release : 2022-03-07
Category : History
ISBN : 9783110351040

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Optimal Input Signals for Parameter Estimation by Ewaryst Rafajłowicz Pdf

The aim of this book is to provide methods and algorithms for the optimization of input signals so as to estimate parameters in systems described by PDE’s as accurate as possible under given constraints. The optimality conditions have their background in the optimal experiment design theory for regression functions and in simple but useful results on the dependence of eigenvalues of partial differential operators on their parameters. Examples are provided that reveal sometimes intriguing geometry of spatiotemporal input signals and responses to them. An introduction to optimal experimental design for parameter estimation of regression functions is provided. The emphasis is on functions having a tensor product (Kronecker) structure that is compatible with eigenfunctions of many partial differential operators. New optimality conditions in the time domain and computational algorithms are derived for D-optimal input signals when parameters of ordinary differential equations are estimated. They are used as building blocks for constructing D-optimal spatio-temporal inputs for systems described by linear partial differential equations of the parabolic and hyperbolic types with constant parameters. Optimality conditions for spatially distributed signals are also obtained for equations of elliptic type in those cases where their eigenfunctions do not depend on unknown constant parameters. These conditions and the resulting algorithms are interesting in their own right and, moreover, they are second building blocks for optimality of spatio-temporal signals. A discussion of the generalizability and possible applications of the results obtained is presented.

Author : Giacomo Ascione,Yuliya Mishura,Enrica Pirozzi
Publisher : Walter de Gruyter GmbH & Co KG
Page : 462 pages
File Size : 43,9 Mb
Release : 2023-12-31
Category : Mathematics
ISBN : 9783110780017

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Fractional Deterministic and Stochastic Calculus by Giacomo Ascione,Yuliya Mishura,Enrica Pirozzi Pdf

Author : Nikolaos Limnios,Anatoliy Swishchuk
Publisher : Springer Nature
Page : 206 pages
File Size : 44,6 Mb
Release : 2023-07-24
Category : Mathematics
ISBN : 9783031334290

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Discrete-Time Semi-Markov Random Evolutions and Their Applications by Nikolaos Limnios,Anatoliy Swishchuk Pdf

This book extends the theory and applications of random evolutions to semi-Markov random media in discrete time, essentially focusing on semi-Markov chains as switching or driving processes. After giving the definitions of discrete-time semi-Markov chains and random evolutions, it presents the asymptotic theory in a functional setting, including weak convergence results in the series scheme, and their extensions in some additional directions, including reduced random media, controlled processes, and optimal stopping. Finally, applications of discrete-time semi-Markov random evolutions in epidemiology and financial mathematics are discussed. This book will be of interest to researchers and graduate students in applied mathematics and statistics, and other disciplines, including engineering, epidemiology, finance and economics, who are concerned with stochastic models of systems.

Author : Dmitrii S. Silvestrov
Publisher : Springer Science & Business Media
Page : 408 pages
File Size : 47,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9780857293909

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Limit Theorems for Randomly Stopped Stochastic Processes by Dmitrii S. Silvestrov Pdf

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.

Author : George A Anastassiou,Merve Kester
Publisher : World Scientific
Page : 348 pages
File Size : 54,5 Mb
Release : 2016-09-29
Category : Mathematics
ISBN : 9789813145856

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Discrete Approximation Theory by George A Anastassiou,Merve Kester Pdf

In this monograph, we present the authors' recent work of the last seven years in Approximation Theory. Chapters are self-contained and can be read independently and advanced courses can be taught out of this book. Here our generalized discrete singular operators are of the following types: Picard, Gauss–Weierstrass and Poisson–Cauchy operators. We treat both the unitary and non-unitary, univariate and multivariate cases of these operators, which are not necessarily positive operators. The book's results are expected to find applications in many areas of pure and applied mathematics, and statistics. As such, it is suitable for researchers, graduate students, and seminars of related subjects, and serves well as an invaluable resource for all science libraries.

Author : Kushner
Publisher : Academic Press
Page : 242 pages
File Size : 52,9 Mb
Release : 1977-04-14
Category : Mathematics
ISBN : 0080956386

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Probability Methods for Approximations in Stochastic Control and for Elliptic Equations by Kushner Pdf

Probability Methods for Approximations in Stochastic Control and for Elliptic Equations

Author : Peter E. Kloeden,Eckhard Platen
Publisher : Springer Science & Business Media
Page : 666 pages
File Size : 46,9 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9783662126165

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Numerical Solution of Stochastic Differential Equations by Peter E. Kloeden,Eckhard Platen Pdf

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Author : Harold Kushner,Paul G. Dupuis
Publisher : Springer Science & Business Media
Page : 436 pages
File Size : 46,6 Mb
Release : 2012-12-06
Category : Science
ISBN : 9781468404418

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Numerical Methods for Stochastic Control Problems in Continuous Time by Harold Kushner,Paul G. Dupuis Pdf

This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth.