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Stable Non Gaussian Self Similar Processes With Stationary Increments
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Book Synopsis Stable Non-Gaussian Self-Similar Processes with Stationary Increments by : Vladas Pipiras
Download or read book Stable Non-Gaussian Self-Similar Processes with Stationary Increments written by Vladas Pipiras and published by Springer. This book was released on 2017-08-31 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a self-contained presentation on the structure of a large class of stable processes, known as self-similar mixed moving averages. The authors present a way to describe and classify these processes by relating them to so-called deterministic flows. The first sections in the book review random variables, stochastic processes, and integrals, moving on to rigidity and flows, and finally ending with mixed moving averages and self-similarity. In-depth appendices are also included. This book is aimed at graduate students and researchers working in probability theory and statistics.
Book Synopsis Selfsimilar Processes by : Paul Embrechts
Download or read book Selfsimilar Processes written by Paul Embrechts and published by Princeton University Press. This book was released on 2009-01-10 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the absolute returns of equity data in finance. Selfsimilar stochastic processes (particularly fractional Brownian motion) have long been postulated as a means to model this behavior, and the concept of selfsimilarity for a stochastic process is now proving to be extraordinarily useful. Selfsimilarity translates into the equality in distribution between the process under a linear time change and the same process properly scaled in space, a simple scaling property that yields a remarkably rich theory with far-flung applications. After a short historical overview, this book describes the current state of knowledge about selfsimilar processes and their applications. Concepts, definitions and basic properties are emphasized, giving the reader a road map of the realm of selfsimilarity that allows for further exploration. Such topics as noncentral limit theory, long-range dependence, and operator selfsimilarity are covered alongside statistical estimation, simulation, sample path properties, and stochastic differential equations driven by selfsimilar processes. Numerous references point the reader to current applications. Though the text uses the mathematical language of the theory of stochastic processes, researchers and end-users from such diverse fields as mathematics, physics, biology, telecommunications, finance, econometrics, and environmental science will find it an ideal entry point for studying the already extensive theory and applications of selfsimilarity.
Book Synopsis Stable Non-Gaussian Random Processes by : Gennady Samoradnitsky
Download or read book Stable Non-Gaussian Random Processes written by Gennady Samoradnitsky and published by Routledge. This book was released on 2017-11-22 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book serves as a standard reference, making this area accessible not only to researchers in probability and statistics, but also to graduate students and practitioners. The book assumes only a first-year graduate course in probability. Each chapter begins with a brief overview and concludes with a wide range of exercises at varying levels of difficulty. The authors supply detailed hints for the more challenging problems, and cover many advances made in recent years.
Book Synopsis Advances in Planar Lipid Bilayers and Liposomes by : A. Leitmannova Liu
Download or read book Advances in Planar Lipid Bilayers and Liposomes written by A. Leitmannova Liu and published by Academic Press. This book was released on 2011-08-09 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Planar Lipid Bilayers and Liposomes, Volume 7, continues to include invited chapters on a broad range of topics, covering both main arrangements of the reconstituted system, namely planar lipid bilayers and spherical liposomes. The invited authors present the latest results in this exciting multidisciplinary field of their own research group.Many of the contributors working in both fields over many decades were in close collaboration with the late Prof. H. Ti Tien, the founding editor of this book series. There are also chapters written by some of the younger generation of scientists included in this series. This volume keeps in mind the broader goal with both systems, planar lipid bilayers and spherical liposomes, which is the further development of this interdisciplinary field worldwide. - Contributions from newcomers and established and experienced researchers - Exploring theoretically and experimentally the planar lipid bilayer systems and spherical liposomes - Indispensable source of information for new scientists
Book Synopsis Two Classes of Self-Similar Stable Processes with Stationary Increments by : Stamatis Cambanis
Download or read book Two Classes of Self-Similar Stable Processes with Stationary Increments written by Stamatis Cambanis and published by . This book was released on 1988 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two disjoint classes of self-similar symmetric stable processes with stationary increments are studied. The first class consists of linear fractional stable processes, which are related to moving average stable processes, and the second class consists of harmonizable fractional stable processes, which are connected to harmonizable stationary stable processes. The domain of attraction of the harmonizable fractional stable processes is also discussed. Keywords: Self similar processes; Stable processes; Harmonizable fractional processes; Domain of attraction; Linear fractional process.
Book Synopsis Encyclopedia of Financial Models, Volume III by : Frank J. Fabozzi
Download or read book Encyclopedia of Financial Models, Volume III written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-09-20 with total page 1060 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 3 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 3 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of forty-four informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling. Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.
Book Synopsis Trends In Probability And Related Analysis - Proceedings Of Sap'96 by : N Kono
Download or read book Trends In Probability And Related Analysis - Proceedings Of Sap'96 written by N Kono and published by World Scientific. This book was released on 1997-10-31 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume reflects the current interest — especially of researchers in the Asia-Pacific region — in probability theory and related theory of analysis and statistics. It contains the papers of the two survey speakers, and of some other speakers and researchers. It brings out the theme of SAP, an international meeting on some aspects of probability, analysis and their interplay.
Book Synopsis Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes by : Aleksand Janicki
Download or read book Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes written by Aleksand Janicki and published by CRC Press. This book was released on 2021-07-28 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents new computer methods in approximation, simulation, and visualization for a host of alpha-stable stochastic processes.
Book Synopsis Fractals: Theory and Applications in Engineering by : Michel Dekking
Download or read book Fractals: Theory and Applications in Engineering written by Michel Dekking and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Owing to the rapid emergence and growth of techniques in the engineering application of fractals, it has become necessary to gather the most recent advances on a regular basis. This book is a continuation of the first volume - published in 1997 - but contains interesting developments. A major point is that mathematics has become more and more involved in the definition and use of fractal models. It seems that the time of the qualitative observation of fractal phenomena has gone. Now the main models are strongly based upon theoretical arguments. Fractals: Theory and Applications in Engineering is a multidisciplinary book which should interest every scientist working in areas connected to fractals.
Book Synopsis Fractional Order Signal Processing by : Saptarshi Das
Download or read book Fractional Order Signal Processing written by Saptarshi Das and published by Springer Science & Business Media. This book was released on 2011-09-15 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book tries to briefly introduce the diverse literatures in the field of fractional order signal processing which is becoming an emerging topic among an interdisciplinary community of researchers. This book is aimed at postgraduate and beginning level research scholars who would like to work in the field of Fractional Order Signal processing (FOSP). The readers should have preliminary knowledge about basic signal processing techniques. Prerequisite knowledge of fractional calculus is not essential and is exposited at relevant places in connection to the appropriate signal processing topics. Basic signal processing techniques like filtering, estimation, system identification, etc. in the light of fractional order calculus are presented along with relevant application areas. The readers can easily extend these concepts to varied disciplines like image or speech processing, pattern recognition, time series forecasting, financial data analysis and modeling, traffic modeling in communication channels, optics, biomedical signal processing, electrochemical applications and many more. Adequate references are provided in each category so that the researchers can delve deeper into each area and broaden their horizon of understanding. Available MATLAB tools to simulate FOSP theories are also introduced so that the readers can apply the theoretical concepts right-away and gain practical insight in the specific domain.
Book Synopsis Cyclostationarity: Theory and Methods – IV by : Fakher Chaari
Download or read book Cyclostationarity: Theory and Methods – IV written by Fakher Chaari and published by Springer. This book was released on 2019-07-31 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers contributions presented at the 10th Workshop on Cyclostationary Systems and Their Applications, held in Gródek nad Dunajcem, Poland in February 2017. It includes twelve interesting papers covering current topics related to both cyclostationary and general non stationary processes. Moreover, this book, which covers both theoretical and practical issues, offers a practice-oriented guide to the analysis of data sets with non-stationary behavior and a bridge between basic and applied research on nonstationary processes. It provides students, researchers and professionals with a timely guide on cyclostationary systems, nonstationary processes and relevant engineering applications.
Book Synopsis Probability in Banach Spaces, 8: Proceedings of the Eighth International Conference by : R.M. Dudley
Download or read book Probability in Banach Spaces, 8: Proceedings of the Eighth International Conference written by R.M. Dudley and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probability limit theorems in infinite-dimensional spaces give conditions un der which convergence holds uniformly over an infinite class of sets or functions. Early results in this direction were the Glivenko-Cantelli, Kolmogorov-Smirnov and Donsker theorems for empirical distribution functions. Already in these cases there is convergence in Banach spaces that are not only infinite-dimensional but nonsep arable. But the theory in such spaces developed slowly until the late 1970's. Meanwhile, work on probability in separable Banach spaces, in relation with the geometry of those spaces, began in the 1950's and developed strongly in the 1960's and 70's. We have in mind here also work on sample continuity and boundedness of Gaussian processes and random methods in harmonic analysis. By the mid-70's a substantial theory was in place, including sharp infinite-dimensional limit theorems under either metric entropy or geometric conditions. Then, modern empirical process theory began to develop, where the collection of half-lines in the line has been replaced by much more general collections of sets in and functions on multidimensional spaces. Many of the main ideas from probability in separable Banach spaces turned out to have one or more useful analogues for empirical processes. Tightness became "asymptotic equicontinuity. " Metric entropy remained useful but also was adapted to metric entropy with bracketing, random entropies, and Kolchinskii-Pollard entropy. Even norms themselves were in some situations replaced by measurable majorants, to which the well-developed separable theory then carried over straightforwardly.
Book Synopsis Correlation Theory of Stationary and Related Random Functions by : A.M. Yaglom
Download or read book Correlation Theory of Stationary and Related Random Functions written by A.M. Yaglom and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: Correlation Theory of Stationary and Related Random Functions is an elementary introduction to the most important part of the theory dealing only with the first and second moments of these functions. This theory is a significant part of modern probability theory and offers both intrinsic mathematical interest and many concrete and practical applications. Stationary random functions arise in connection with stationary time series which are so important in many areas of engineering and other applications. This book presents the theory in such a way that it can be understood by readers without specialized mathematical backgrounds, requiring only the knowledge of elementary calculus. The first volume in this two-volume exposition contains the main theory; the supplementary notes and references of the second volume consist of detailed discussions of more specialized questions, some more additional material (which assumes a more thorough mathematical background than the rest of the book) and numerous references to the extensive literature.
Book Synopsis Scaling, Fractals and Wavelets by : Patrice Abry
Download or read book Scaling, Fractals and Wavelets written by Patrice Abry and published by John Wiley & Sons. This book was released on 2013-03-01 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Scaling is a mathematical transformation that enlarges or diminishes objects. The technique is used in a variety of areas, including finance and image processing. This book is organized around the notions of scaling phenomena and scale invariance. The various stochastic models commonly used to describe scaling — self-similarity, long-range dependence and multi-fractals — are introduced. These models are compared and related to one another. Next, fractional integration, a mathematical tool closely related to the notion of scale invariance, is discussed, and stochastic processes with prescribed scaling properties (self-similar processes, locally self-similar processes, fractionally filtered processes, iterated function systems) are defined. A number of applications where the scaling paradigm proved fruitful are detailed: image processing, financial and stock market fluctuations, geophysics, scale relativity, and fractal time-space.
Book Synopsis Statistical Inference for Fractional Diffusion Processes by : B. L. S. Prakasa Rao
Download or read book Statistical Inference for Fractional Diffusion Processes written by B. L. S. Prakasa Rao and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view. This book deals with Fractional Diffusion Processes and statistical inference for such stochastic processes. The main focus of the book is to consider parametric and nonparametric inference problems for fractional diffusion processes when a complete path of the process over a finite interval is observable. Key features: Introduces self-similar processes, fractional Brownian motion and stochastic integration with respect to fractional Brownian motion. Provides a comprehensive review of statistical inference for processes driven by fractional Brownian motion for modelling long range dependence. Presents a study of parametric and nonparametric inference problems for the fractional diffusion process. Discusses the fractional Brownian sheet and infinite dimensional fractional Brownian motion. Includes recent results and developments in the area of statistical inference of fractional diffusion processes. Researchers and students working on the statistics of fractional diffusion processes and applied mathematicians and statisticians involved in stochastic process modelling will benefit from this book.
Book Synopsis IP-Traffic Theory and Performance by : Christian Grimm
Download or read book IP-Traffic Theory and Performance written by Christian Grimm and published by Springer Science & Business Media. This book was released on 2008-07-19 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reading without meditation is sterile; meditation without reading is liable to error; prayer without meditation is lukewarm; meditation without prayer is unfruitful; prayer, when it is fervent, wins contemplation, but to obtain contemplation without prayer would be rare, even miraculous. Bernhard de Clairvaux (12th century) NobodycandenythatIP-basedtra?chasinvadedourdailylifeinmanyways and no one can escape from its di?erent forms of appearance. However, most people are not aware of this fact. From the usage of mobile phones – either as simple telephone or for data transmissions – over the new form of telephone service Voice over IP (VoIP), up to the widely used Internet at the users own PC, in all instances the transmission of the information, encoded in a digital form, relies on the Internet Protocol (IP). So, we should take a brief glimpse at this protocol and its constant companions such as TCP and UDP, which have revolutionized the communication system over the past 20 years. The communication network has experienced a fundamental change, which was dominated up to end of the eighties of the last century by voice appli- tion.Butfromthemiddleoftheninetieswehaveobservedadecisivemigration in the data transmission. If the devoted reader of this monograph reads the title ‘IP tra?c theory and performance’, she/he may ask, why do we have to be concerned with mod- ing IP tra?c, and why do we have to consider and get to know new concepts.
Book Synopsis Stochastic-Process Limits by : Ward Whitt
Download or read book Stochastic-Process Limits written by Ward Whitt and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
