Download Full eBooks in PDF
Lectures On The Theory Of Stochastic Processes 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 Lectures On The Theory Of Stochastic Processes book. This book definitely worth reading, it is an incredibly well-written.
Author : Anatolij V. Skorochod
Publisher : Walter de Gruyter GmbH & Co KG
Page : 192 pages
File Size : 47,9 Mb
Release : 2019-01-14
Category : Mathematics
ISBN : 9783110618167
No detailed description available for "Lectures on the Theory of Stochastic Processes".
Author : Jean-Claude Falmagne
Publisher : McGraw-Hill Science, Engineering & Mathematics
Page : 296 pages
File Size : 48,9 Mb
Release : 2002
Category : Mathematics
ISBN : UOM:39015055088333
Designed for undergraduate mathematics students or graduate students in the sciences. This book can be used in a prerequisite course for Statistics (for math majors) or Mathematical Modeling. The first eighteen chapters could be used in a one-quarter course, and the entire text is suitable for a one-semester course.
Author : Kiyosi Ito
Publisher : Springer Science & Business Media
Page : 246 pages
File Size : 47,6 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9783662100653
This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the Lévy-Itô decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.
Author : Sergio Fajardo,H. Jerome Keisler
Publisher : Cambridge University Press
Page : 136 pages
File Size : 46,7 Mb
Release : 2017-03-30
Category : Mathematics
ISBN : 9781108619264
Since their inception, the Perspectives in Logic and Lecture Notes in Logic series have published seminal works by leading logicians. Many of the original books in the series have been unavailable for years, but they are now in print once again. In this volume, the fourteenth publication in the Lecture Notes in Logic series, Fajardo and Keisler present new research combining probability theory and mathematical logic. It is a general study of stochastic processes using ideas from model theory, a key central theme being the question, 'When are two stochastic processes alike?' The authors assume some background in nonstandard analysis, but prior knowledge of model theory and advanced logic is not necessary. This volume will appeal to mathematicians willing to explore new developments with an open mind.
Author : Jeffrey S Rosenthal
Publisher : World Scientific
Page : 213 pages
File Size : 51,6 Mb
Release : 2019-09-26
Category : Mathematics
ISBN : 9789811207921
This textbook introduces the theory of stochastic processes, that is, randomness which proceeds in time. Using concrete examples like repeated gambling and jumping frogs, it presents fundamental mathematical results through simple, clear, logical theorems and examples. It covers in detail such essential material as Markov chain recurrence criteria, the Markov chain convergence theorem, and optional stopping theorems for martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and space, Poisson processes, and renewal theory.Interspersed throughout are applications to such topics as gambler's ruin probabilities, random walks on graphs, sequence waiting times, branching processes, stock option pricing, and Markov Chain Monte Carlo (MCMC) algorithms.The focus is always on making the theory as well-motivated and accessible as possible, to allow students and readers to learn this fascinating subject as easily and painlessly as possible.
Author : Sergio Fajardo,H. Jerome Keisler
Publisher : A K Peters/CRC Press
Page : 140 pages
File Size : 53,6 Mb
Release : 2002-01-01
Category : Mathematics
ISBN : 1568811721
This book presents new research in probability theory using ideas from mathematical logic. It is a general study of stochastic processes on adapted probability spaces, employing the concept of similarity of stochastic processes based on the notion of adapted distribution. The authors use ideas from model theory and methods from nonstandard analysis. The construction of spaces with certain richness properties, defined by insights from model theory, becomes easy using nonstandard methods, but remains difficult or impossible without them.
Author : Sheldon M. Ross
Publisher : John Wiley & Sons
Page : 549 pages
File Size : 40,7 Mb
Release : 1995-02-28
Category : Mathematics
ISBN : 9780471120629
A nonmeasure theoretic introduction to stochastic processes. Considers its diverse range of applications and provides readers with probabilistic intuition and insight in thinking about problems. This revised edition contains additional material on compound Poisson random variables including an identity which can be used to efficiently compute moments; a new chapter on Poisson approximations; and coverage of the mean time spent in transient states as well as examples relating to the Gibb's sampler, the Metropolis algorithm and mean cover time in star graphs. Numerous exercises and problems have been added throughout the text.
Author : Daniel W. Stroock
Publisher : Cambridge University Press
Page : 141 pages
File Size : 54,9 Mb
Release : 1987-02-19
Category : Mathematics
ISBN : 9780521333665
This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
Author : Kiyosi Itô
Publisher : Unknown
Page : 233 pages
File Size : 41,6 Mb
Release : 1984
Category : Electronic
ISBN : OCLC:878102003
Author : Günter Last,Mathew Penrose
Publisher : Cambridge University Press
Page : 315 pages
File Size : 44,8 Mb
Release : 2017-10-26
Category : Mathematics
ISBN : 9781107088016
A modern introduction to the Poisson process, with general point processes and random measures, and applications to stochastic geometry.
Author : Iosif I. Gikhman,Anatoli V. Skorokhod
Publisher : Springer Science & Business Media
Page : 594 pages
File Size : 55,9 Mb
Release : 2004-03-22
Category : Mathematics
ISBN : 3540202846
From the Reviews: "Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection." D.W. Stroock in Bulletin of the American Mathematical Society, 1980 "To call this work encyclopedic would not give an accurate picture of its content and style. Some parts read like a textbook, but others are more technical and contain relatively new results. ... The exposition is robust and explicit, as one has come to expect of the Russian tradition of mathematical writing. The set when completed will be an invaluable source of information and reference in this ever-expanding field" K.L. Chung in American Scientist, 1977 "..., the subject has grown enormously since 1953, and there will never be a true successor to Doob's book, but Gihman and Skorohod's three volumes will, I think, occupy a rather similar position as an invaluable tool of reference for all probability theorists. ... The dominant impression is of the authors' mastery of their material, and of their confident insight into its underlying structure. ..." J.F.C. Kingman in Bulletin of the London Mathematical Society, 1977
Author : Philippe Biane,Richard Durrett
Publisher : Springer
Page : 217 pages
File Size : 54,8 Mb
Release : 2006-11-14
Category : Mathematics
ISBN : 9783540494027
This book contains two of the three lectures given at the Saint-Flour Summer School of Probability Theory during the period August 18 to September 4, 1993.
Author : S. R. S. Varadhan
Publisher : American Mathematical Soc.
Page : 138 pages
File Size : 53,5 Mb
Release : 2007
Category : Stochastic processes
ISBN : 9780821840856
This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. The text describes the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps.
Author : Alexander Shapiro,Darinka Dentcheva,Andrzej Ruszczyński
Publisher : SIAM
Page : 540 pages
File Size : 52,7 Mb
Release : 2021-08-19
Category : Mathematics
ISBN : 9781611976595
An accessible and rigorous presentation of contemporary models and ideas of stochastic programming, this book focuses on optimization problems involving uncertain parameters for which stochastic models are available. Since these problems occur in vast, diverse areas of science and engineering, there is much interest in rigorous ways of formulating, analyzing, and solving them. This substantially revised edition presents a modern theory of stochastic programming, including expanded and detailed coverage of sample complexity, risk measures, and distributionally robust optimization. It adds two new chapters that provide readers with a solid understanding of emerging topics; updates Chapter 6 to now include a detailed discussion of the interchangeability principle for risk measures; and presents new material on formulation and numerical approaches to solving periodical multistage stochastic programs. Lectures on Stochastic Programming: Modeling and Theory, Third Edition is written for researchers and graduate students working on theory and applications of optimization, with the hope that it will encourage them to apply stochastic programming models and undertake further studies of this fascinating and rapidly developing area.
Author : Alexander Shapiro,Darinka Dentcheva,Andrzej Ruszczy?ski
Publisher : SIAM
Page : 447 pages
File Size : 42,9 Mb
Release : 2009-01-01
Category : Mathematics
ISBN : 9780898718751
Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. Readers will find coverage of the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle. The book also includes the theory of two-stage and multistage stochastic programming problems; the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality; and statistical inference in and risk-averse approaches to stochastic programming.
