Random Motions In Markov And Semi Markov Random Environments 2

Random Motions In Markov And Semi Markov Random Environments 2 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 Random Motions In Markov And Semi Markov Random Environments 2 book. This book definitely worth reading, it is an incredibly well-written.

Random Motions in Markov and Semi-Markov Random Environments 2

Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Random Motions in Markov and Semi Markov Random Environments 2 Book PDF

Author : Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 55,5 Mb
Release : 2021-03-16
Category : Mathematics
ISBN : 9781786307064

Get Book

Random Motions in Markov and Semi-Markov Random Environments 2 by Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino Pdf

This book is the second of two volumes on random motions in Markov and semi-Markov random environments. This second volume focuses on high-dimensional random motions. This volume consists of two parts. The first expands many of the results found in Volume 1 to higher dimensions. It presents new results on the random motion of the realistic three-dimensional case, which has so far been barely mentioned in the literature, and deals with the interaction of particles in Markov and semi-Markov media, which has, in contrast, been a topic of intense study. The second part contains applications of Markov and semi-Markov motions in mathematical finance. It includes applications of telegraph processes in modeling stock price dynamics and investigates the pricing of variance, volatility, covariance and correlation swaps with Markov volatility and the same pricing swaps with semi-Markov volatilities.

Random Motions in Markov and Semi-Markov Random Environments 1

Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Random Motions in Markov and Semi Markov Random Environments 1 Book PDF

Author : Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Publisher : John Wiley & Sons
Page : 256 pages
File Size : 55,9 Mb
Release : 2021-03-16
Category : Mathematics
ISBN : 9781786305473

Get Book

Random Motions in Markov and Semi-Markov Random Environments 1 by Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino Pdf

This book is the first of two volumes on random motions in Markov and semi-Markov random environments. This first volume focuses on homogenous random motions. This volume consists of two parts, the first describing the basic concepts and methods that have been developed for random evolutions. These methods are the foundational tools used in both volumes, and this description includes many results in potential operators. Some techniques to find closed-form expressions in relevant applications are also presented. The second part deals with asymptotic results and presents a variety of applications, including random motion with different types of boundaries, the reliability of storage systems and solutions of partial differential equations with constant coefficients, using commutative algebra techniques. It also presents an alternative formulation to the Black-Scholes formula in finance, fading evolutions and telegraph processes, including jump telegraph processes and the estimation of the number of level crossings for telegraph processes.

Random Motions in Markov and Semi-Markov Random Environments 2

Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Random Motions in Markov and Semi Markov Random Environments 2 Book PDF

Author : Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 44,7 Mb
Release : 2021-01-11
Category : Mathematics
ISBN : 9781119808176

Get Book

Random Motions in Markov and Semi-Markov Random Environments 2 by Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino Pdf

This book is the second of two volumes on random motions in Markov and semi-Markov random environments. This second volume focuses on high-dimensional random motions. This volume consists of two parts. The first expands many of the results found in Volume 1 to higher dimensions. It presents new results on the random motion of the realistic three-dimensional case, which has so far been barely mentioned in the literature, and deals with the interaction of particles in Markov and semi-Markov media, which has, in contrast, been a topic of intense study. The second part contains applications of Markov and semi-Markov motions in mathematical finance. It includes applications of telegraph processes in modeling stock price dynamics and investigates the pricing of variance, volatility, covariance and correlation swaps with Markov volatility and the same pricing swaps with semi-Markov volatilities.

Random Motions in Markov and Semi-Markov Random Environments 1

Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Random Motions in Markov and Semi Markov Random Environments 1 Book PDF

Author : Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino
Publisher : John Wiley & Sons
Page : 256 pages
File Size : 44,6 Mb
Release : 2021-01-12
Category : Mathematics
ISBN : 9781119808183

Get Book

Random Motions in Markov and Semi-Markov Random Environments 1 by Anatoliy Pogorui,Anatoliy Swishchuk,Ramon M. Rodriguez-Dagnino Pdf

This book is the first of two volumes on random motions in Markov and semi-Markov random environments. This first volume focuses on homogenous random motions. This volume consists of two parts, the first describing the basic concepts and methods that have been developed for random evolutions. These methods are the foundational tools used in both volumes, and this description includes many results in potential operators. Some techniques to find closed-form expressions in relevant applications are also presented. The second part deals with asymptotic results and presents a variety of applications, including random motion with different types of boundaries, the reliability of storage systems and solutions of partial differential equations with constant coefficients, using commutative algebra techniques. It also presents an alternative formulation to the Black-Scholes formula in finance, fading evolutions and telegraph processes, including jump telegraph processes and the estimation of the number of level crossings for telegraph processes.

Random Evolutionary Systems

Dmitri Koroliouk,Igor Samoilenko
Random Evolutionary Systems Book PDF

Author : Dmitri Koroliouk,Igor Samoilenko
Publisher : John Wiley & Sons
Page : 345 pages
File Size : 44,7 Mb
Release : 2021-08-02
Category : Mathematics
ISBN : 9781119851240

Get Book

Random Evolutionary Systems by Dmitri Koroliouk,Igor Samoilenko Pdf

Within the field of modeling complex objects in natural sciences, which considers systems that consist of a large number of interacting parts, a good tool for analyzing and fitting models is the theory of random evolutionary systems, considering their asymptotic properties and large deviations. In Random Evolutionary Systems we consider these systems in terms of the operators that appear in the schemes of their diffusion and the Poisson approximation. Such an approach allows us to obtain a number of limit theorems and asymptotic expansions of processes that model complex stochastic systems, both those that are autonomous and those dependent on an external random environment. In this case, various possibilities of scaling processes and their time parameters are used to obtain different limit results.

Introduction to Matrix-Analytic Methods in Queues 2

Srinivas R. Chakravarthy
Introduction to Matrix Analytic Methods in Queues 2 Book PDF

Author : Srinivas R. Chakravarthy
Publisher : John Wiley & Sons
Page : 453 pages
File Size : 44,5 Mb
Release : 2022-09-21
Category : Mathematics
ISBN : 9781394174195

Get Book

Introduction to Matrix-Analytic Methods in Queues 2 by Srinivas R. Chakravarthy Pdf

Matrix-analytic methods (MAM) were introduced by Professor Marcel Neuts and have been applied to a variety of stochastic models since. In order to provide a clear and deep understanding of MAM while showing their power, this book presents MAM concepts and explains the results using a number of worked-out examples. This book's approach will inform and kindle the interest of researchers attracted to this fertile field. To allow readers to practice and gain experience in the algorithmic and computational procedures of MAM, Introduction to Matrix-Analytic Methods in Queues 2 provides a number of computational exercises. It also incorporates simulation as another tool for studying complex stochastic models, especially when the state space of the underlying stochastic models under analytic study grows exponentially. This book's detailed approach will make it more accessible for readers interested in learning about MAM in stochastic models.

Traditional Functional-Discrete Methods for the Problems of Mathematical Physics

Volodymyr Makarov,Nataliya Mayko
Traditional Functional Discrete Methods for the Problems of Mathematical Physics Book PDF

Author : Volodymyr Makarov,Nataliya Mayko
Publisher : John Wiley & Sons
Page : 356 pages
File Size : 46,7 Mb
Release : 2024-04-02
Category : Science
ISBN : 9781786309334

Get Book

Traditional Functional-Discrete Methods for the Problems of Mathematical Physics by Volodymyr Makarov,Nataliya Mayko Pdf

This book is devoted to the construction and study of approximate methods for solving mathematical physics problems in canonical domains. It focuses on obtaining weighted a priori estimates of the accuracy of these methods while also considering the influence of boundary and initial conditions. This influence is quantified by means of suitable weight functions that characterize the distance of an inner point to the boundary of the domain. New results are presented on boundary and initial effects for the finite difference method for elliptic and parabolic equations, mesh schemes for equations with fractional derivatives, and the Cayley transform method for abstract differential equations in Hilbert and Banach spaces. Due to their universality and convenient implementation, the algorithms discussed throughout can be used to solve a wide range of actual problems in science and technology. The book is intended for scientists, university teachers, and graduate and postgraduate students who specialize in the field of numerical analysis.

The Theory of Distributions

El Mustapha Ait Ben Hassi
The Theory of Distributions Book PDF

Author : El Mustapha Ait Ben Hassi
Publisher : John Wiley & Sons
Page : 308 pages
File Size : 52,7 Mb
Release : 2023-10-10
Category : Mathematics
ISBN : 9781786309372

Get Book

The Theory of Distributions by El Mustapha Ait Ben Hassi Pdf

Many physical, chemical, biological and even economic phenomena can be modeled by differential or partial differential equations, and the framework of distribution theory is the most efficient way to study these equations. A solid familiarity with the language of distributions has become almost indispensable in order to treat these questions efficiently. This book presents the theory of distributions in as clear a sense as possible while providing the reader with a background containing the essential and most important results on distributions. Together with a thorough grounding, it also provides a series of exercises and detailed solutions. The Theory of Distributions is intended for master’s students in mathematics and for students preparing for the agrégation certification in mathematics or those studying the physical sciences or engineering.

Asymptotic and Analytic Methods in Stochastic Evolutionary Symptoms

Dmitri Koroliouk,Igor Samoilenko
Asymptotic and Analytic Methods in Stochastic Evolutionary Symptoms Book PDF

Author : Dmitri Koroliouk,Igor Samoilenko
Publisher : John Wiley & Sons
Page : 276 pages
File Size : 54,9 Mb
Release : 2023-08-29
Category : Mathematics
ISBN : 9781786309112

Get Book

Asymptotic and Analytic Methods in Stochastic Evolutionary Symptoms by Dmitri Koroliouk,Igor Samoilenko Pdf

This book illustrates a number of asymptotic and analytic approaches applied for the study of random evolutionary systems, and considers typical problems for specific examples. In this case, constructive mathematical models of natural processes are used, which more realistically describe the trajectories of diffusion-type processes, rather than those of the Wiener process. We examine models where particles have some free distance between two consecutive collisions. At the same time, we investigate two cases: the Markov evolutionary system, where the time during which the particle moves towards some direction is distributed exponentially with intensity parameter λ; and the semi-Markov evolutionary system, with arbitrary distribution of the switching process. Thus, the models investigated here describe the motion of particles with a finite speed and the proposed random evolutionary process with characteristics of a natural physical process: free run and finite propagation speed. In the proposed models, the number of possible directions of evolution can be finite or infinite.

From Euclidean to Hilbert Spaces

Edoardo Provenzi
From Euclidean to Hilbert Spaces Book PDF

Author : Edoardo Provenzi
Publisher : John Wiley & Sons
Page : 368 pages
File Size : 48,5 Mb
Release : 2021-08-03
Category : Mathematics
ISBN : 9781119851301

Get Book

From Euclidean to Hilbert Spaces by Edoardo Provenzi Pdf

From Euclidian to Hilbert Spaces analyzes the transition from finite dimensional Euclidian spaces to infinite-dimensional Hilbert spaces, a notion that can sometimes be difficult for non-specialists to grasp. The focus is on the parallels and differences between the properties of the finite and infinite dimensions, noting the fundamental importance of coherence between the algebraic and topological structure, which makes Hilbert spaces the infinite-dimensional objects most closely related to Euclidian spaces. The common thread of this book is the Fourier transform, which is examined starting from the discrete Fourier transform (DFT), along with its applications in signal and image processing, passing through the Fourier series and finishing with the use of the Fourier transform to solve differential equations. The geometric structure of Hilbert spaces and the most significant properties of bounded linear operators in these spaces are also covered extensively. The theorems are presented with detailed proofs as well as meticulously explained exercises and solutions, with the aim of illustrating the variety of applications of the theoretical results.

General Stochastic Measures

Vadym M. Radchenko
General Stochastic Measures Book PDF

Author : Vadym M. Radchenko
Publisher : John Wiley & Sons
Page : 276 pages
File Size : 45,9 Mb
Release : 2022-09-21
Category : Mathematics
ISBN : 9781786308283

Get Book

General Stochastic Measures by Vadym M. Radchenko Pdf

This book is devoted to the study of stochastic measures (SMs). An SM is a sigma-additive in probability random function, defined on a sigma-algebra of sets. SMs can be generated by the increments of random processes from many important classes such as square-integrable martingales and fractional Brownian motion, as well as alpha-stable processes. SMs include many well-known stochastic integrators as partial cases. General Stochastic Measures provides a comprehensive theoretical overview of SMs, including the basic properties of the integrals of real functions with respect to SMs. A number of results concerning the Besov regularity of SMs are presented, along with equations driven by SMs, types of solution approximation and the averaging principle. Integrals in the Hilbert space and symmetric integrals of random functions are also addressed. The results from this book are applicable to a wide range of stochastic processes, making it a useful reference text for researchers and postgraduate or postdoctoral students who specialize in stochastic analysis.

Distributions

Jacques Simon
Distributions Book PDF

Author : Jacques Simon
Publisher : John Wiley & Sons
Page : 420 pages
File Size : 42,7 Mb
Release : 2022-09-21
Category : Mathematics
ISBN : 9781786305251

Get Book

Distributions by Jacques Simon Pdf

This book presents a simple and original theory of distributions, both real and vector, adapted to the study of partial differential equations. It deals with value distributions in a Neumann space, that is, in which any Cauchy suite converges, which encompasses the Banach and Fréchet spaces and the same “weak” spaces. Alongside the usual operations – derivation, product, variable change, variable separation, restriction, extension and regularization – Distributions presents a new operation: weighting. This operation produces properties similar to those of convolution for distributions defined in any open space. Emphasis is placed on the extraction of convergent sub-sequences, the existence and study of primitives and the representation by gradient or by derivatives of continuous functions. Constructive methods are used to make these tools accessible to students and engineers.

Introduction to Matrix Analytic Methods in Queues 1

Srinivas R. Chakravarthy
Introduction to Matrix Analytic Methods in Queues 1 Book PDF

Author : Srinivas R. Chakravarthy
Publisher : John Wiley & Sons
Page : 372 pages
File Size : 52,9 Mb
Release : 2022-09-21
Category : Mathematics
ISBN : 9781786307323

Get Book

Introduction to Matrix Analytic Methods in Queues 1 by Srinivas R. Chakravarthy Pdf

Matrix-analytic methods (MAM) were introduced by Professor Marcel Neuts and have been applied to a variety of stochastic models since. In order to provide a clear and deep understanding of MAM while showing their power, this book presents MAM concepts and explains the results using a number of worked-out examples. This book’s approach will inform and kindle the interest of researchers attracted to this fertile field. To allow readers to practice and gain experience in the algorithmic and computational procedures of MAM, Introduction to Matrix Analytic Methods in Queues 1 provides a number of computational exercises. It also incorporates simulation as another tool for studying complex stochastic models, especially when the state space of the underlying stochastic models under analytic study grows exponentially. The book’s detailed approach will make it more accessible for readers interested in learning about MAM in stochastic models.

Martingales and Financial Mathematics in Discrete Time

Benoîte de Saporta,Mounir Zili
Martingales and Financial Mathematics in Discrete Time Book PDF

Author : Benoîte de Saporta,Mounir Zili
Publisher : John Wiley & Sons
Page : 240 pages
File Size : 42,7 Mb
Release : 2021-12-20
Category : Mathematics
ISBN : 9781119885023

Get Book

Martingales and Financial Mathematics in Discrete Time by Benoîte de Saporta,Mounir Zili Pdf

This book is entirely devoted to discrete time and provides a detailed introduction to the construction of the rigorous mathematical tools required for the evaluation of options in financial markets. Both theoretical and practical aspects are explored through multiple examples and exercises, for which complete solutions are provided. Particular attention is paid to the Cox, Ross and Rubinstein model in discrete time. The book offers a combination of mathematical teaching and numerous exercises for wide appeal. It is a useful reference for students at the master’s or doctoral level who are specializing in applied mathematics or finance as well as teachers, researchers in the field of economics or actuarial science, or professionals working in the various financial sectors. Martingales and Financial Mathematics in Discrete Time is also for anyone who may be interested in a rigorous and accessible mathematical construction of the tools and concepts used in financial mathematics, or in the application of the martingale theory in finance

Telegraph Processes and Option Pricing

Nikita Ratanov,Alexander D. Kolesnik
Telegraph Processes and Option Pricing Book PDF

Author : Nikita Ratanov,Alexander D. Kolesnik
Publisher : Springer Nature
Page : 451 pages
File Size : 46,5 Mb
Release : 2023-01-04
Category : Mathematics
ISBN : 9783662658277

Get Book

Telegraph Processes and Option Pricing by Nikita Ratanov,Alexander D. Kolesnik Pdf

This book provides an extensive, systematic overview of the modern theory of telegraph processes and their multidimensional counterparts, together with numerous fruitful applications in financial modelling. Focusing on stochastic processes of bounded variation instead of classical diffusion, or more generally, Lévy processes, has two obvious benefits. First, the mathematical technique is much simpler, which helps to concentrate on the key problems of stochastic analysis and applications, including financial market modelling. Second, this approach overcomes some shortcomings of the (parabolic) nature of classical diffusions that contradict physical intuition, such as infinite propagation velocity and infinite total variation of paths. In this second edition, some sections of the previous text are included without any changes, while most others have been expanded and significantly revised. These are supplemented by predominantly new results concerning piecewise linear processes with arbitrary sequences of velocities, jump amplitudes, and switching intensities. The chapter on functionals of the telegraph process has been significantly expanded by adding sections on exponential functionals, telegraph meanders and running extrema, the times of the first passages of telegraph processes with alternating random jumps, and distribution of the Euclidean distance between two independent telegraph processes. A new chapter on the multidimensional counterparts of the telegraph processes is also included. The book is intended for graduate students in mathematics, probability, statistics and quantitative finance, and for researchers working at academic institutions, in industry and engineering. It can also be used by university lecturers and professionals in various applied areas.