Stochastics

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Ambit Stochastics

Author : Ole E. Barndorff-Nielsen
Publisher : Springer
ISBN 13 : 3319941291
Total Pages : 418 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Ambit Stochastics by : Ole E. Barndorff-Nielsen

Download or read book Ambit Stochastics written by Ole E. Barndorff-Nielsen and published by Springer. This book was released on 2018-11-01 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

Stochastics

Author : Hans-Otto Georgii
Publisher : Walter de Gruyter
ISBN 13 : 9783110191455
Total Pages : 384 pages
Book Rating : 4.1/5 (914 download)

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Book Synopsis Stochastics by : Hans-Otto Georgii

Download or read book Stochastics written by Hans-Otto Georgii and published by Walter de Gruyter. This book was released on 2008 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a translation of the third edition of the well accepted German textbook 'Stochastik', which presents the fundamental ideas and results of both probability theory and statistics, and comprises the material of a one-year course. The stochastic concepts, models and methods are motivated by examples and problems and then developed and analysed systematically.

Probability and Stochastics

Author : Erhan Çınlar
Publisher : Springer Science & Business Media
ISBN 13 : 0387878599
Total Pages : 567 pages
Book Rating : 4.3/5 (878 download)

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Book Synopsis Probability and Stochastics by : Erhan Çınlar

Download or read book Probability and Stochastics written by Erhan Çınlar and published by Springer Science & Business Media. This book was released on 2011-02-21 with total page 567 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text is an introduction to the modern theory and applications of probability and stochastics. The style and coverage is geared towards the theory of stochastic processes, but with some attention to the applications. In many instances the gist of the problem is introduced in practical, everyday language and then is made precise in mathematical form. The first four chapters are on probability theory: measure and integration, probability spaces, conditional expectations, and the classical limit theorems. There follows chapters on martingales, Poisson random measures, Levy Processes, Brownian motion, and Markov Processes. Special attention is paid to Poisson random measures and their roles in regulating the excursions of Brownian motion and the jumps of Levy and Markov processes. Each chapter has a large number of varied examples and exercises. The book is based on the author’s lecture notes in courses offered over the years at Princeton University. These courses attracted graduate students from engineering, economics, physics, computer sciences, and mathematics. Erhan Cinlar has received many awards for excellence in teaching, including the President’s Award for Distinguished Teaching at Princeton University. His research interests include theories of Markov processes, point processes, stochastic calculus, and stochastic flows. The book is full of insights and observations that only a lifetime researcher in probability can have, all told in a lucid yet precise style.

Introduction to Stochastic Calculus with Applications

Author : Fima C. Klebaner
Publisher : Imperial College Press
ISBN 13 : 1860945554
Total Pages : 431 pages
Book Rating : 4.8/5 (69 download)

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Book Synopsis Introduction to Stochastic Calculus with Applications by : Fima C. Klebaner

Download or read book Introduction to Stochastic Calculus with Applications written by Fima C. Klebaner and published by Imperial College Press. This book was released on 2005 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

Stochastics in Finite and Infinite Dimensions

Author : Takeyuki Hida
Publisher : Springer Science & Business Media
ISBN 13 : 1461201675
Total Pages : 436 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Stochastics in Finite and Infinite Dimensions by : Takeyuki Hida

Download or read book Stochastics in Finite and Infinite Dimensions written by Takeyuki Hida and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last fifty years, Gopinath Kallianpur has made extensive and significant contributions to diverse areas of probability and statistics, including stochastic finance, Fisher consistent estimation, non-linear prediction and filtering problems, zero-one laws for Gaussian processes and reproducing kernel Hilbert space theory, and stochastic differential equations in infinite dimensions. To honor Kallianpur's pioneering work and scholarly achievements, a number of leading experts have written research articles highlighting progress and new directions of research in these and related areas. This commemorative volume, dedicated to Kallianpur on the occasion of his seventy-fifth birthday, will pay tribute to his multi-faceted achievements and to the deep insight and inspiration he has so graciously offered his students and colleagues throughout his career. Contributors to the volume: S. Aida, N. Asai, K. B. Athreya, R. N. Bhattacharya, A. Budhiraja, P. S. Chakraborty, P. Del Moral, R. Elliott, L. Gawarecki, D. Goswami, Y. Hu, J. Jacod, G. W. Johnson, L. Johnson, T. Koski, N. V. Krylov, I. Kubo, H.-H. Kuo, T. G. Kurtz, H. J. Kushner, V. Mandrekar, B. Margolius, R. Mikulevicius, I. Mitoma, H. Nagai, Y. Ogura, K. R. Parthasarathy, V. Perez-Abreu, E. Platen, B. V. Rao, B. Rozovskii, I. Shigekawa, K. B. Sinha, P. Sundar, M. Tomisaki, M. Tsuchiya, C. Tudor, W. A. Woycynski, J. Xiong.

An Introduction to Stochastic Modeling

Author : Howard M. Taylor
Publisher : Academic Press
ISBN 13 : 1483269272
Total Pages : 410 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis An Introduction to Stochastic Modeling by : Howard M. Taylor

Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Stochastic Modeling

Author : Barry L. Nelson
Publisher : Courier Corporation
ISBN 13 : 0486139948
Total Pages : 338 pages
Book Rating : 4.4/5 (861 download)

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Book Synopsis Stochastic Modeling by : Barry L. Nelson

Download or read book Stochastic Modeling written by Barry L. Nelson and published by Courier Corporation. This book was released on 2012-10-11 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.

Stochastics

Author : Hans-Otto Georgii
Publisher : Walter de Gruyter
ISBN 13 : 3110293609
Total Pages : 420 pages
Book Rating : 4.1/5 (12 download)

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Book Synopsis Stochastics by : Hans-Otto Georgii

Download or read book Stochastics written by Hans-Otto Georgii and published by Walter de Gruyter. This book was released on 2012-12-06 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook, now in its second revised and extended edition, presents the fundamental ideas and results of both probability theory and statistics. It comprises the material of a one-year course, which is addressed to students of mathematics and to scientists with an interest in the mathematical side of stochastics. The stochastic concepts, models and methods are motivated by examples and then developed and analysed systematically. Some measure theory is included, but this is done at an elementary level that is in accordance with the introductory character of the book. A large number of problems, now in part with solutions, offer applications and supplements to the text.

The Ultimate Algorithmic Trading System Toolbox + Website

Author : George Pruitt
Publisher : John Wiley & Sons
ISBN 13 : 111909657X
Total Pages : 374 pages
Book Rating : 4.1/5 (19 download)

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Book Synopsis The Ultimate Algorithmic Trading System Toolbox + Website by : George Pruitt

Download or read book The Ultimate Algorithmic Trading System Toolbox + Website written by George Pruitt and published by John Wiley & Sons. This book was released on 2016-06-20 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accessible, beneficial guide to developing algorithmic trading solutions The Ultimate Algorithmic Trading System Toolbox is the complete package savvy investors have been looking for. An integration of explanation and tutorial, this guide takes you from utter novice to out-the-door trading solution as you learn the tools and techniques of the trade. You'll explore the broad spectrum of today's technological offerings, and use several to develop trading ideas using the provided source code and the author's own library, and get practical advice on popular software packages including TradeStation, TradersStudio, MultiCharts, Excel, and more. You'll stop making repetitive mistakes as you learn to recognize which paths you should not go down, and you'll discover that you don't need to be a programmer to take advantage of the latest technology. The companion website provides up-to-date TradeStation code, Excel spreadsheets, and instructional video, and gives you access to the author himself to help you interpret and implement the included algorithms. Algorithmic system trading isn't really all that new, but the technology that lets you program, evaluate, and implement trading ideas is rapidly evolving. This book helps you take advantage of these new capabilities to develop the trading solution you've been looking for. Exploit trading technology without a computer science degree Evaluate different trading systems' strengths and weaknesses Stop making the same trading mistakes over and over again Develop a complete trading solution using provided source code and libraries New technology has enabled the average trader to easily implement their ideas at very low cost, breathing new life into systems that were once not viable. If you're ready to take advantage of the new trading environment but don't know where to start, The Ultimate Algorithmic Trading System Toolbox will help you get on board quickly and easily.

Introduction to Stochastic Processes

Author : Erhan Cinlar
Publisher : Courier Corporation
ISBN 13 : 0486276325
Total Pages : 418 pages
Book Rating : 4.4/5 (862 download)

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Book Synopsis Introduction to Stochastic Processes by : Erhan Cinlar

Download or read book Introduction to Stochastic Processes written by Erhan Cinlar and published by Courier Corporation. This book was released on 2013-02-20 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.

Teaching and Learning Stochastics

Author : Carmen Batanero
Publisher : Springer
ISBN 13 : 3319728717
Total Pages : 381 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Teaching and Learning Stochastics by : Carmen Batanero

Download or read book Teaching and Learning Stochastics written by Carmen Batanero and published by Springer. This book was released on 2018-03-01 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a collection of selected papers that represent the current variety of research on the teaching and learning of probability. The respective chapters address a diverse range of theoretical, empirical and practical aspects underpinning the teaching and learning of probability, curricular issues, probabilistic reasoning, misconceptions and biases, as well as their pedagogical implications. These chapters are divided into THREE main sections, dealing with: TEACHING PROBABILITY, STUDENTS' REASONING AND LEARNING AND EDUCATION OF TEACHERS. In brief, the papers presented here include research dealing with teachers and students at different levels and ages (from primary school to university) and address epistemological and curricular analysis, as well as the role of technology, simulations, language and visualisation in teaching and learning probability. As such, it offers essential information for teachers, researchers and curricular designers alike.

Stochastic Processes and Their Applications

Author : Frank Beichelt
Publisher : CRC Press
ISBN 13 : 9780415272322
Total Pages : 342 pages
Book Rating : 4.2/5 (723 download)

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Book Synopsis Stochastic Processes and Their Applications by : Frank Beichelt

Download or read book Stochastic Processes and Their Applications written by Frank Beichelt and published by CRC Press. This book was released on 2001-10-18 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Processes for Physicists

Author : Kurt Jacobs
Publisher : Cambridge University Press
ISBN 13 : 1139486799
Total Pages : 203 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Stochastic Processes for Physicists by : Kurt Jacobs

Download or read book Stochastic Processes for Physicists written by Kurt Jacobs and published by Cambridge University Press. This book was released on 2010-02-18 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.

Basics of Applied Stochastic Processes

Author : Richard Serfozo
Publisher : Springer Science & Business Media
ISBN 13 : 3540893326
Total Pages : 452 pages
Book Rating : 4.5/5 (48 download)

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Book Synopsis Basics of Applied Stochastic Processes by : Richard Serfozo

Download or read book Basics of Applied Stochastic Processes written by Richard Serfozo and published by Springer Science & Business Media. This book was released on 2009-01-24 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes.

Linear Stochastic Control Systems

Author : Goong Chen
Publisher : CRC Press
ISBN 13 : 9780849380754
Total Pages : 404 pages
Book Rating : 4.3/5 (87 download)

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Book Synopsis Linear Stochastic Control Systems by : Goong Chen

Download or read book Linear Stochastic Control Systems written by Goong Chen and published by CRC Press. This book was released on 1995-07-12 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly covered. Reviews of the modern probability and random processes theories and the Itô stochastic differential equations are provided. Discrete-time stochastic systems theory, optimal estimation and Kalman filtering, and optimal stochastic control theory are studied in detail. A modern treatment of these same topics for continuous-time stochastic control systems is included. The text is written in an easy-to-understand style, and the reader needs only to have a background of elementary real analysis and linear deterministic systems theory to comprehend the subject matter. This graduate textbook is also suitable for self-study, professional training, and as a handy research reference. Linear Stochastic Control Systems is self-contained and provides a step-by-step development of the theory, with many illustrative examples, exercises, and engineering applications.

Stochastic Modeling

Author : Nicolas Lanchier
Publisher : Springer
ISBN 13 : 3319500384
Total Pages : 305 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Stochastic Modeling by : Nicolas Lanchier

Download or read book Stochastic Modeling written by Nicolas Lanchier and published by Springer. This book was released on 2017-01-27 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly introduced to several different topics enriched with 175 exercises which focus on real-world problems. Exercises range from the classics of probability theory to more exotic research-oriented problems based on numerical simulations. Intended for graduate students in mathematics and applied sciences, the text provides the tools and training needed to write and use programs for research purposes. The first part of the text begins with a brief review of measure theory and revisits the main concepts of probability theory, from random variables to the standard limit theorems. The second part covers traditional material on stochastic processes, including martingales, discrete-time Markov chains, Poisson processes, and continuous-time Markov chains. The theory developed is illustrated by a variety of examples surrounding applications such as the gambler’s ruin chain, branching processes, symmetric random walks, and queueing systems. The third, more research-oriented part of the text, discusses special stochastic processes of interest in physics, biology, and sociology. Additional emphasis is placed on minimal models that have been used historically to develop new mathematical techniques in the field of stochastic processes: the logistic growth process, the Wright –Fisher model, Kingman’s coalescent, percolation models, the contact process, and the voter model. Further treatment of the material explains how these special processes are connected to each other from a modeling perspective as well as their simulation capabilities in C and MatlabTM.

Stochastic Processes in Physics and Chemistry

Author : N.G. Van Kampen
Publisher : Elsevier
ISBN 13 : 0080571387
Total Pages : 482 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Stochastic Processes in Physics and Chemistry by : N.G. Van Kampen

Download or read book Stochastic Processes in Physics and Chemistry written by N.G. Van Kampen and published by Elsevier. This book was released on 1992-11-20 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of Van Kampen's standard work has been completely revised and updated. Three major changes have also been made. The Langevin equation receives more attention in a separate chapter in which non-Gaussian and colored noise are introduced. Another additional chapter contains old and new material on first-passage times and related subjects which lay the foundation for the chapter on unstable systems. Finally a completely new chapter has been written on the quantum mechanical foundations of noise. The references have also been expanded and updated.