Stochastic Processes With Applications To Science And Engineering

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Stochastic Processes in Science, Engineering and Finance

Frank Beichelt
Stochastic Processes in Science Engineering and Finance Book PDF

Author : Frank Beichelt
Publisher : CRC Press
Page : 438 pages
File Size : 48,6 Mb
Release : 2006-02-22
Category : Mathematics
ISBN : 142001045X

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Stochastic Processes in Science, Engineering and Finance by Frank Beichelt Pdf

This book presents a self-contained introduction to stochastic processes with emphasis on their applications in science, engineering, finance, computer science, and operations research. It provides theoretical foundations for modeling time-dependent random phenomena in these areas and illustrates their application by analyzing numerous practical examples. The treatment assumes few prerequisites, requiring only the standard mathematical maturity acquired by undergraduate applied science students. It includes an introductory chapter that summarizes the basic probability theory needed as background. Numerous exercises reinforce the concepts and techniques discussed and allow readers to assess their grasp of the subject. Solutions to most of the exercises are provided in an appendix. While focused primarily on practical aspects, the presentation includes some important proofs along with more challenging examples and exercises for those more theoretically inclined. Mastering the contents of this book prepares readers to apply stochastic modeling in their own fields and enables them to work more creatively with software designed for dealing with the data analysis aspects of stochastic processes.

Stationary Stochastic Processes for Scientists and Engineers

Georg Lindgren,Holger Rootzen,Maria Sandsten
Stationary Stochastic Processes for Scientists and Engineers Book PDF

Author : Georg Lindgren,Holger Rootzen,Maria Sandsten
Publisher : CRC Press
Page : 316 pages
File Size : 43,8 Mb
Release : 2013-10-11
Category : Mathematics
ISBN : 9781466586192

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Stationary Stochastic Processes for Scientists and Engineers by Georg Lindgren,Holger Rootzen,Maria Sandsten Pdf

Suitable for a one-semester course, this text teaches students how to use stochastic processes efficiently. Carefully balancing mathematical rigor and ease of exposition, the book provides students with a sufficient understanding of the theory and a practical appreciation of how it is used in real-life situations. Special emphasis is on the interpretation of various statistical models and concepts as well as the types of questions statistical analysis can answer. To enable hands-on practice, MATLAB code is available online.

Stochastic Calculus

Mircea Grigoriu
Stochastic Calculus Book PDF

Author : Mircea Grigoriu
Publisher : Springer Science & Business Media
Page : 784 pages
File Size : 55,8 Mb
Release : 2013-12-11
Category : Mathematics
ISBN : 9780817682286

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Stochastic Calculus by Mircea Grigoriu Pdf

Algebraic, differential, and integral equations are used in the applied sciences, en gineering, economics, and the social sciences to characterize the current state of a physical, economic, or social system and forecast its evolution in time. Generally, the coefficients of and/or the input to these equations are not precisely known be cause of insufficient information, limited understanding of some underlying phe nomena, and inherent randonmess. For example, the orientation of the atomic lattice in the grains of a polycrystal varies randomly from grain to grain, the spa tial distribution of a phase of a composite material is not known precisely for a particular specimen, bone properties needed to develop reliable artificial joints vary significantly with individual and age, forces acting on a plane from takeoff to landing depend in a complex manner on the environmental conditions and flight pattern, and stock prices and their evolution in time depend on a large number of factors that cannot be described by deterministic models. Problems that can be defined by algebraic, differential, and integral equations with random coefficients and/or input are referred to as stochastic problems. The main objective of this book is the solution of stochastic problems, that is, the determination of the probability law, moments, and/or other probabilistic properties of the state of a physical, economic, or social system. It is assumed that the operators and inputs defining a stochastic problem are specified.

Stationary Stochastic Processes

Georg Lindgren
Stationary Stochastic Processes Book PDF

Author : Georg Lindgren
Publisher : CRC Press
Page : 378 pages
File Size : 45,5 Mb
Release : 2012-10-01
Category : Mathematics
ISBN : 9781466557796

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Stationary Stochastic Processes by Georg Lindgren Pdf

Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes. Features Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability Motivates mathematical theory from a statistical model-building viewpoint Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes Provides more than 100 exercises with hints to solutions and selected full solutions This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.

Stochastic Processes and Their Applications

Frank Beichelt,L. Paul Fatti
Stochastic Processes and Their Applications Book PDF

Author : Frank Beichelt,L. Paul Fatti
Publisher : CRC Press
Page : 342 pages
File Size : 51,7 Mb
Release : 2001-10-18
Category : Mathematics
ISBN : 0415272327

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Stochastic Processes and Their Applications by Frank Beichelt,L. Paul Fatti Pdf

This book introduces stochastic processes and their applications for students in engineering, industrial statistics, science, operations research, business, and finance. It provides the theoretical foundations for modeling time-dependent random phenomena encountered in these disciplines. Through numerous science and engineering-based examples and exercises, the author presents the subject in a comprehensible, practically oriented way, but he also includes some important proofs and theoretically challenging examples and exercises that will appeal to more mathematically minded readers. Solutions to most of the exercises are included either in an appendix or within the text.

Random Perturbation Methods with Applications in Science and Engineering

Anatoli V. Skorokhod,Frank C. Hoppensteadt,Habib D. Salehi
Random Perturbation Methods with Applications in Science and Engineering Book PDF

Author : Anatoli V. Skorokhod,Frank C. Hoppensteadt,Habib D. Salehi
Publisher : Springer Science & Business Media
Page : 500 pages
File Size : 44,7 Mb
Release : 2007-06-21
Category : Mathematics
ISBN : 9780387224466

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Random Perturbation Methods with Applications in Science and Engineering by Anatoli V. Skorokhod,Frank C. Hoppensteadt,Habib D. Salehi Pdf

This book develops methods for describing random dynamical systems, and it illustrats how the methods can be used in a variety of applications. Appeals to researchers and graduate students who require tools to investigate stochastic systems.

An Introduction to Continuous-Time Stochastic Processes

Vincenzo Capasso,David Bakstein
An Introduction to Continuous Time Stochastic Processes Book PDF

Author : Vincenzo Capasso,David Bakstein
Publisher : Springer Science & Business Media
Page : 348 pages
File Size : 40,7 Mb
Release : 2008-01-03
Category : Mathematics
ISBN : 9780817644284

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An Introduction to Continuous-Time Stochastic Processes by Vincenzo Capasso,David Bakstein Pdf

This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and applications, the authors use stochastic methods and concrete examples to model real-world problems from engineering, biomathematics, biotechnology, and finance. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. The book will be of interest to students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, physics, and engineering.

Algebraic Structures and Applications

Sergei Silvestrov,Anatoliy Malyarenko,Milica Rančić
Algebraic Structures and Applications Book PDF

Author : Sergei Silvestrov,Anatoliy Malyarenko,Milica Rančić
Publisher : Springer Nature
Page : 976 pages
File Size : 53,8 Mb
Release : 2020-06-18
Category : Mathematics
ISBN : 9783030418502

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Algebraic Structures and Applications by Sergei Silvestrov,Anatoliy Malyarenko,Milica Rančić Pdf

This book explores the latest advances in algebraic structures and applications, and focuses on mathematical concepts, methods, structures, problems, algorithms and computational methods important in the natural sciences, engineering and modern technologies. In particular, it features mathematical methods and models of non-commutative and non-associative algebras, hom-algebra structures, generalizations of differential calculus, quantum deformations of algebras, Lie algebras and their generalizations, semi-groups and groups, constructive algebra, matrix analysis and its interplay with topology, knot theory, dynamical systems, functional analysis, stochastic processes, perturbation analysis of Markov chains, and applications in network analysis, financial mathematics and engineering mathematics. The book addresses both theory and applications, which are illustrated with a wealth of ideas, proofs and examples to help readers understand the material and develop new mathematical methods and concepts of their own. The high-quality chapters share a wealth of new methods and results, review cutting-edge research and discuss open problems and directions for future research. Taken together, they offer a source of inspiration for a broad range of researchers and research students whose work involves algebraic structures and their applications, probability theory and mathematical statistics, applied mathematics, engineering mathematics and related areas.

Stochastic Processes and Filtering Theory

Andrew H. Jazwinski
Stochastic Processes and Filtering Theory Book PDF

Author : Andrew H. Jazwinski
Publisher : Courier Corporation
Page : 404 pages
File Size : 44,9 Mb
Release : 2013-04-15
Category : Science
ISBN : 9780486318196

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Stochastic Processes and Filtering Theory by Andrew H. Jazwinski Pdf

This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.

Stochastic Processes with Applications

Rabi N. Bhattacharya,Edward C. Waymire
Stochastic Processes with Applications Book PDF

Author : Rabi N. Bhattacharya,Edward C. Waymire
Publisher : Unknown
Page : 128 pages
File Size : 44,7 Mb
Release : 2006
Category : Electronic
ISBN : 0387987924

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Stochastic Processes with Applications by Rabi N. Bhattacharya,Edward C. Waymire Pdf

Intended for use in a graduate mathematics course in stochastic processes, this book is also suitable for students from sciences and engineering. Focusing on computation and examples, it contains Chapter applications at the end of the chapters, which are drawn from physics, computer science, economics, and engineering.

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

Houmin Yan,G. George Yin,Qing Zhang
Stochastic Processes Optimization and Control Theory Applications in Financial Engineering Queueing Networks and Manufacturing Systems Book PDF

Author : Houmin Yan,G. George Yin,Qing Zhang
Publisher : Springer Science & Business Media
Page : 397 pages
File Size : 46,5 Mb
Release : 2006-09-10
Category : Technology & Engineering
ISBN : 9780387338156

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Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems by Houmin Yan,G. George Yin,Qing Zhang Pdf

This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

Stochastic Processes and Applications

Grigorios A. Pavliotis
Stochastic Processes and Applications Book PDF

Author : Grigorios A. Pavliotis
Publisher : Springer
Page : 345 pages
File Size : 47,6 Mb
Release : 2014-11-19
Category : Mathematics
ISBN : 9781493913237

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Stochastic Processes and Applications by Grigorios A. Pavliotis Pdf

This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Stochastic Processes in Engineering Systems

E. Wong,B. Hajek
Stochastic Processes in Engineering Systems Book PDF

Author : E. Wong,B. Hajek
Publisher : Springer Science & Business Media
Page : 372 pages
File Size : 42,7 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461250609

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Stochastic Processes in Engineering Systems by E. Wong,B. Hajek Pdf

This book is a revision of Stochastic Processes in Information and Dynamical Systems written by the first author (E.W.) and published in 1971. The book was originally written, and revised, to provide a graduate level text in stochastic processes for students whose primary interest is its applications. It treats both the traditional topic of sta tionary processes in linear time-invariant systems as well as the more modern theory of stochastic systems in which dynamic structure plays a profound role. Our aim is to provide a high-level, yet readily acces sible, treatment of those topics in the theory of continuous-parameter stochastic processes that are important in the analysis of information and dynamical systems. The theory of stochastic processes can easily become abstract. In dealing with it from an applied point of view, we have found it difficult to decide on the appropriate level of rigor. We intend to provide just enough mathematical machinery so that important results can be stated PREFACE vi with precision and clarity; so much ofthe theory of stochastic processes is inherently simple if the suitable framework is provided. The price of providing this framework seems worth paying even though the ul timate goal is in applications and not the mathematics per se.

Introduction to Probability and Stochastic Processes with Applications

Liliana Blanco Castañeda,Viswanathan Arunachalam,Selvamuthu Dharmaraja
Introduction to Probability and Stochastic Processes with Applications Book PDF

Author : Liliana Blanco Castañeda,Viswanathan Arunachalam,Selvamuthu Dharmaraja
Publisher : John Wiley & Sons
Page : 741 pages
File Size : 51,7 Mb
Release : 2014-08-21
Category : Mathematics
ISBN : 9781118344965

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Introduction to Probability and Stochastic Processes with Applications by Liliana Blanco Castañeda,Viswanathan Arunachalam,Selvamuthu Dharmaraja Pdf

An easily accessible, real-world approach to probability and stochastic processes Introduction to Probability and Stochastic Processes with Applications presents a clear, easy-to-understand treatment of probability and stochastic processes, providing readers with a solid foundation they can build upon throughout their careers. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, mathematics, and operations research, the book features numerous real-world examples that illustrate how random phenomena occur in nature and how to use probabilistic techniques to accurately model these phenomena. The authors discuss a broad range of topics, from the basic concepts of probability to advanced topics for further study, including Itô integrals, martingales, and sigma algebras. Additional topical coverage includes: Distributions of discrete and continuous random variables frequently used in applications Random vectors, conditional probability, expectation, and multivariate normal distributions The laws of large numbers, limit theorems, and convergence of sequences of random variables Stochastic processes and related applications, particularly in queueing systems Financial mathematics, including pricing methods such as risk-neutral valuation and the Black-Scholes formula Extensive appendices containing a review of the requisite mathematics and tables of standard distributions for use in applications are provided, and plentiful exercises, problems, and solutions are found throughout. Also, a related website features additional exercises with solutions and supplementary material for classroom use. Introduction to Probability and Stochastic Processes with Applications is an ideal book for probability courses at the upper-undergraduate level. The book is also a valuable reference for researchers and practitioners in the fields of engineering, operations research, and computer science who conduct data analysis to make decisions in their everyday work.

Stationary Stochastic Processes for Scientists and Engineers

Georg Lindgren,Holger Rootzen,Maria Sandsten
Stationary Stochastic Processes for Scientists and Engineers Book PDF

Author : Georg Lindgren,Holger Rootzen,Maria Sandsten
Publisher : CRC Press
Page : 326 pages
File Size : 50,5 Mb
Release : 2013-10-11
Category : Mathematics
ISBN : 9781466586185

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Stationary Stochastic Processes for Scientists and Engineers by Georg Lindgren,Holger Rootzen,Maria Sandsten Pdf

Stochastic processes are indispensable tools for development and research in signal and image processing, automatic control, oceanography, structural reliability, environmetrics, climatology, econometrics, and many other areas of science and engineering. Suitable for a one-semester course, Stationary Stochastic Processes for Scientists and Engineers teaches students how to use these processes efficiently. Carefully balancing mathematical rigor and ease of exposition, the book provides students with a sufficient understanding of the theory and a practical appreciation of how it is used in real-life situations. Special emphasis is on the interpretation of various statistical models and concepts as well as the types of questions statistical analysis can answer. The text first introduces numerous examples from signal processing, economics, and general natural sciences and technology. It then covers the estimation of mean value and covariance functions, properties of stationary Poisson processes, Fourier analysis of the covariance function (spectral analysis), and the Gaussian distribution. The book also focuses on input-output relations in linear filters, describes discrete-time auto-regressive and moving average processes, and explains how to solve linear stochastic differential equations. It concludes with frequency analysis and estimation of spectral densities. With a focus on model building and interpreting the statistical concepts, this classroom-tested book conveys a broad understanding of the mechanisms that generate stationary stochastic processes. By combining theory and applications, the text gives students a well-rounded introduction to these processes. To enable hands-on practice, MATLAB® code is available online.