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Statistics And Control Of Stochastic Processes The Liptser Festschrift
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Book Synopsis Statistics And Control Of Stochastic Processes: The Liptser Festschrift by : Yu M Kabanov
Download or read book Statistics And Control Of Stochastic Processes: The Liptser Festschrift written by Yu M Kabanov and published by World Scientific. This book was released on 1997-12-04 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works.The contributions in this book are devoted to the hottest topics and united by a martingale methodology which was the key idea of the seminar.
Author :Yu M. Kabanov Publisher :World Scientific Publishing Company Incorporated ISBN 13 :9789810232924 Total Pages :354 pages Book Rating :4.2/5 (329 download)
Book Synopsis Statistics and Control of Stochastic Processes by : Yu M. Kabanov
Download or read book Statistics and Control of Stochastic Processes written by Yu M. Kabanov and published by World Scientific Publishing Company Incorporated. This book was released on 1997 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works. The contributions in this book are devoted to the hottest topics and united by a martingale which was the key idea of the seminar.
Book Synopsis Statistics and Control of Stochastic Processes by : Yu. M. Kabanov
Download or read book Statistics and Control of Stochastic Processes written by Yu. M. Kabanov and published by . This book was released on 1997 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistics and Control of Stochastic Processes by : Nikolai Vladimirovich Krylov
Download or read book Statistics and Control of Stochastic Processes written by Nikolai Vladimirovich Krylov and published by . This book was released on 1985 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis From Stochastic Calculus to Mathematical Finance by : Yu. Kabanov
Download or read book From Stochastic Calculus to Mathematical Finance written by Yu. Kabanov and published by Springer Science & Business Media. This book was released on 2007-04-03 with total page 659 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
Book Synopsis Stochastic Differential Equations by : Peter H. Baxendale
Download or read book Stochastic Differential Equations written by Peter H. Baxendale and published by World Scientific. This book was released on 2007 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large class of both linear and non-linear equations. The other papers in this volume were specially written for the occasion of Prof RozovskiiOCOs 60th birthday. They tackle a wide range of topics in the theory and applications of stochastic differential equations, both ordinary and with partial derivatives."
Book Synopsis Statistics and Control of Stochastic Processes by : N.V. Krylov
Download or read book Statistics and Control of Stochastic Processes written by N.V. Krylov and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Differential Equations: Theory And Applications - A Volume In Honor Of Professor Boris L Rozovskii by : Peter H Baxendale
Download or read book Stochastic Differential Equations: Theory And Applications - A Volume In Honor Of Professor Boris L Rozovskii written by Peter H Baxendale and published by World Scientific. This book was released on 2007-04-19 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large class of both linear and non-linear equations.The other papers in this volume were specially written for the occasion of Prof Rozovskii's 60th birthday. They tackle a wide range of topics in the theory and applications of stochastic differential equations, both ordinary and with partial derivatives.
Book Synopsis Introduction to Stochastic Calculus by : Rajeeva L. Karandikar
Download or read book Introduction to Stochastic Calculus written by Rajeeva L. Karandikar and published by Springer. This book was released on 2018-06-01 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.
Book Synopsis Statistical Inference for Ergodic Diffusion Processes by : Yury A. Kutoyants
Download or read book Statistical Inference for Ergodic Diffusion Processes written by Yury A. Kutoyants and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Book Synopsis Séminaire de Probabilités XXXVIII by : Michel Émery
Download or read book Séminaire de Probabilités XXXVIII written by Michel Émery and published by Springer. This book was released on 2004-11-15 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités contains contributions whose topics range from analysis of semi-groups to free probability, via martingale theory, Wiener space and Brownian motion, Gaussian processes and matrices, diffusions and their applications to PDEs. As do all previous volumes of this series, it provides an overview on the current state of the art in the research on stochastic processes.
Book Synopsis Séminaire de Probabilités XL by : Catherine Donati-Martin
Download or read book Séminaire de Probabilités XL written by Catherine Donati-Martin and published by Springer. This book was released on 2007-07-25 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Who could have predicted that the S ́ eminaire de Probabilit ́ es would reach the age of 40? This long life is ?rst due to the vitality of the French probabil- tic school, for which the S ́ eminaire remains one of the most speci?c media of exchange. Another factor is the amount of enthusiasm, energy and time invested year after year by the R ́ edacteurs: Michel Ledoux dedicated himself tothistaskuptoVolumeXXXVIII,andMarcYormadehisnameinseparable from the S ́ eminaire by devoting himself to it during a quarter of a century. Browsing among the past volumes can only give a faint glimpse of how much is owed to them; keeping up with the standard they have set is a challenge to the new R ́ edaction. In a changing world where the status of paper and ink is questioned and where, alas, pressure for publishing is increasing, in particular among young mathematicians, we shall try and keep the same direction. Although most contributions are anonymously refereed, the S ́ eminaire is not a mathema- cal journal; our ?rst criterion is not mathematical depth, but usefulness to the French and international probabilistic community. We do not insist that everything published in these volumes should have reached its ?nal form or be original, and acceptance–rejection may not be decided on purely scienti?c grounds.
Book Synopsis Partially Observable Linear Systems Under Dependent Noises by : Agamirza E. Bashirov
Download or read book Partially Observable Linear Systems Under Dependent Noises written by Agamirza E. Bashirov and published by Birkhäuser. This book was released on 2012-12-06 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the methods of fighting against noise. It can be regarded as a mathematical view of specific engineering problems with known and new methods of control and estimation in noisy media. From the reviews: "An excellent reference on the complete sets of equations for the optimal controls and for the optimal filters under wide band noises and shifted white noises and their possible application to navigation of spacecraft." --MATHEMATICAL REVIEWS
Book Synopsis Inspired by Finance by : Yuri Kabanov
Download or read book Inspired by Finance written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2013-10-23 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.
Book Synopsis Statistics and Control of Stochastic Processes by : Nikolaĭ Vladimirovich Krylov
Download or read book Statistics and Control of Stochastic Processes written by Nikolaĭ Vladimirovich Krylov and published by . This book was released on 1985 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimality and Risk - Modern Trends in Mathematical Finance by : Freddy Delbaen
Download or read book Optimality and Risk - Modern Trends in Mathematical Finance written by Freddy Delbaen and published by Springer Science & Business Media. This book was released on 2009-08-25 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems. Forefront researchers in probability and financial mathematics have contributed to this volume paying tribute to Yuri Kabanov, an eminent researcher in probability and mathematical finance, on the occasion of his 60th birthday. The volume gives a fair overview of these topics and the current approaches.
Book Synopsis Stochastic Partial Differential Equations and Applications by : Giuseppe Da Prato
Download or read book Stochastic Partial Differential Equations and Applications written by Giuseppe Da Prato and published by CRC Press. This book was released on 2002-04-05 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the proceedings of the International Conference on Stochastic Partial Differential Equations and Applications-V held in Trento, Italy, this illuminating reference presents applications in filtering theory, stochastic quantization, quantum probability, and mathematical finance and identifies paths for future research in the field. Stochastic Partial Differential Equations and Applications analyzes recent developments in the study of quantum random fields, control theory, white noise, and fluid dynamics. It presents precise conditions for nontrivial and well-defined scattering, new Gaussian noise terms, models depicting the asymptotic behavior of evolution equations, and solutions to filtering dilemmas in signal processing. With contributions from more than 40 leading experts in the field, Stochastic Partial Differential Equations and Applications is an excellent resource for pure and applied mathematicians; numerical analysts; mathematical physicists; geometers; economists; probabilists; computer scientists; control, electrical, and electronics engineers; and upper-level undergraduate and graduate students in these disciplines.
