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Author : Juha Vuolle-Apiala
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.0/5 ( download)
Download or read book Studies in Self-similar Markov Processes written by Juha Vuolle-Apiala and published by . This book was released on 1990 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Weerapat Satitkanitkul
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (111 download)
Download or read book Self-similar Markov Processes and Stable Processess written by Weerapat Satitkanitkul and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Embrechts
Publisher : Princeton University Press
ISBN 13 : 1400825105
Total Pages : 125 pages
Book Rating : 4.4/5 (8 download)
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.
Author : Juha Vuolle-Apiala
Publisher :
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (578 download)
Download or read book Time-changes of Self-similar Markov Processes written by Juha Vuolle-Apiala and published by . This book was released on 1988 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vassili N. Kolokoltsov
Publisher : Walter de Gruyter
ISBN 13 : 311025011X
Total Pages : 449 pages
Book Rating : 4.1/5 (12 download)
Download or read book Markov Processes, Semigroups and Generators written by Vassili N. Kolokoltsov and published by Walter de Gruyter. This book was released on 2011-03-29 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov processes represent a universal model for a large variety of real life random evolutions. The wide flow of new ideas, tools, methods and applications constantly pours into the ever-growing stream of research on Markov processes that rapidly spreads over new fields of natural and social sciences, creating new streamlined logical paths to its turbulent boundary. Even if a given process is not Markov, it can be often inserted into a larger Markov one (Markovianization procedure) by including the key historic parameters into the state space. This monograph gives a concise, but systematic and self-contained, exposition of the essentials of Markov processes, together with recent achievements, working from the "physical picture" - a formal pre-generator, and stressing the interplay between probabilistic (stochastic differential equations) and analytic (semigroups) tools. The book will be useful to students and researchers. Part I can be used for a one-semester course on Brownian motion, Lévy and Markov processes, or on probabilistic methods for PDE. Part II mainly contains the author's research on Markov processes. From the contents: Tools from Probability and Analysis Brownian motion Markov processes and martingales SDE, ψDE and martingale problems Processes in Euclidean spaces Processes in domains with a boundary Heat kernels for stable-like processes Continuous-time random walks and fractional dynamics Complex chains and Feynman integral
Author : Oliver Ibe
Publisher : Newnes
ISBN 13 : 0124078397
Total Pages : 515 pages
Book Rating : 4.1/5 (24 download)
Download or read book Markov Processes for Stochastic Modeling written by Oliver Ibe and published by Newnes. This book was released on 2013-05-22 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriented book that also includes enough theory to provide a solid ground in the subject for the reader. Presents both the theory and applications of the different aspects of Markov processes Includes numerous solved examples as well as detailed diagrams that make it easier to understand the principle being presented Discusses different applications of hidden Markov models, such as DNA sequence analysis and speech analysis.
Author : Loïc Chaumont
Publisher : SMF
ISBN 13 : 9782856293652
Total Pages : 121 pages
Book Rating : 4.2/5 (936 download)
Download or read book Self-similar Processes and Their Applications written by Loïc Chaumont and published by SMF. This book was released on 2013 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marius Iosifescu
Publisher : Courier Corporation
ISBN 13 : 0486150585
Total Pages : 305 pages
Book Rating : 4.4/5 (861 download)
Download or read book Finite Markov Processes and Their Applications written by Marius Iosifescu and published by Courier Corporation. This book was released on 2014-07-01 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: A self-contained treatment of finite Markov chains and processes, this text covers both theory and applications. Author Marius Iosifescu, vice president of the Romanian Academy and director of its Center for Mathematical Statistics, begins with a review of relevant aspects of probability theory and linear algebra. Experienced readers may start with the second chapter, a treatment of fundamental concepts of homogeneous finite Markov chain theory that offers examples of applicable models. The text advances to studies of two basic types of homogeneous finite Markov chains: absorbing and ergodic chains. A complete study of the general properties of homogeneous chains follows. Succeeding chapters examine the fundamental role of homogeneous infinite Markov chains in mathematical modeling employed in the fields of psychology and genetics; the basics of nonhomogeneous finite Markov chain theory; and a study of Markovian dependence in continuous time, which constitutes an elementary introduction to the study of continuous parameter stochastic processes.
Author : Andreas E. Kyprianou
Publisher : Springer Science & Business Media
ISBN 13 : 3642376320
Total Pages : 461 pages
Book Rating : 4.6/5 (423 download)
Download or read book Fluctuations of Lévy Processes with Applications written by Andreas E. Kyprianou and published by Springer Science & Business Media. This book was released on 2014-01-09 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markov processes. This textbook is based on a series of graduate courses concerning the theory and application of Lévy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recent developments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their application to ruin theory, as well as including an extensive overview of the classical and modern theory of positive self-similar Markov processes. Each chapter has a comprehensive set of exercises.
Author : Michael B. Marcus
Publisher : Cambridge University Press
ISBN 13 : 1139458833
Total Pages : 4 pages
Book Rating : 4.1/5 (394 download)
Download or read book Markov Processes, Gaussian Processes, and Local Times written by Michael B. Marcus and published by Cambridge University Press. This book was released on 2006-07-24 with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was first published in 2006. Written by two of the foremost researchers in the field, this book studies the local times of Markov processes by employing isomorphism theorems that relate them to certain associated Gaussian processes. It builds to this material through self-contained but harmonized 'mini-courses' on the relevant ingredients, which assume only knowledge of measure-theoretic probability. The streamlined selection of topics creates an easy entrance for students and experts in related fields. The book starts by developing the fundamentals of Markov process theory and then of Gaussian process theory, including sample path properties. It then proceeds to more advanced results, bringing the reader to the heart of contemporary research. It presents the remarkable isomorphism theorems of Dynkin and Eisenbaum and then shows how they can be applied to obtain new properties of Markov processes by using well-established techniques in Gaussian process theory. This original, readable book will appeal to both researchers and advanced graduate students.
Author : Jacques Janssen
Publisher : Springer Science & Business Media
ISBN 13 : 0387295488
Total Pages : 315 pages
Book Rating : 4.3/5 (872 download)
Download or read book Applied Semi-Markov Processes written by Jacques Janssen and published by Springer Science & Business Media. This book was released on 2006-02-08 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aims to give to the reader the tools necessary to apply semi-Markov processes in real-life problems. The book is self-contained and, starting from a low level of probability concepts, gradually brings the reader to a deep knowledge of semi-Markov processes. Presents homogeneous and non-homogeneous semi-Markov processes, as well as Markov and semi-Markov rewards processes. The concepts are fundamental for many applications, but they are not as thoroughly presented in other books on the subject as they are here.
Author : Andrew Aylwin
Publisher :
ISBN 13 :
Total Pages : 244 pages
Book Rating : 4.:/5 (11 download)
Download or read book Self-similar Markov Processes and the Time Inversion Property written by Andrew Aylwin and published by . This book was released on 2017 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Benoit B. Mandelbrot Michel L. Lapidus Machiel Van Frankenhuysen
Publisher : American Mathematical Soc.
ISBN 13 : 9780821868485
Total Pages : 724 pages
Book Rating : 4.8/5 (684 download)
Download or read book Fractal Geometry and Applications: A Jubilee of Benoit Mandelbrot written by Benoit B. Mandelbrot Michel L. Lapidus Machiel Van Frankenhuysen and published by American Mathematical Soc.. This book was released on 2004 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume offers an excellent selection of cutting-edge articles about fractal geometry, covering the great breadth of mathematics and related areas touched by this subject. Included are rich survey articles and fine expository papers. The high-quality contributions to the volume by well-known researchers--including two articles by Mandelbrot--provide a solid cross-section of recent research representing the richness and variety of contemporary advances in and around fractal geometry. In demonstrating the vitality and diversity of the field, this book will motivate further investigation into the many open problems and inspire future research directions. It is suitable for graduate students and researchers interested in fractal geometry and its applications. This is a two-part volume. Part 1 covers analysis, number theory, and dynamical systems; Part 2, multifractals, probability and statistical mechanics, and applications.
Author : Jyväskylän yliopisto. Matematiikan laitos
Publisher :
ISBN 13 :
Total Pages : 394 pages
Book Rating : 4.3/5 (91 download)
Download or read book Bericht written by Jyväskylän yliopisto. Matematiikan laitos and published by . This book was released on 1990 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D. W. Faulkner
Publisher : IOS Press
ISBN 13 : 9789051992762
Total Pages : 324 pages
Book Rating : 4.9/5 (927 download)
Download or read book ATM, Networks and LANs written by D. W. Faulkner and published by IOS Press. This book was released on 1996 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multi-media networks based on ATM LAN technology can provide integrated transmission of voice, data and visual information direct to the workstation. Such networks are of strategic importance to organisations which depend upon electronic transactions. The smooth operation of these networks is therefore of critical importance. The aim of this special theme is to investigate the state of corporate networks and provide a view of how emerging new technology will improve communications efficiency. Multi-media networks based on ATM LAN technology can provide integrated transmission of voice, data and visual information direct to the workstation. Such networks are of strategic importance to organisations which depend upon electronic transactions. The smooth operation of these networks is therefore of critical importance. The aim of this special theme is to investigate the state of corporate networks and provide a view of how emerging new technology will improve communications efficiency.
Author : Jiann-Hua Lou
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.E/5 ( download)
Download or read book Some Properties of a Special Class of Self Similar Processes written by Jiann-Hua Lou and published by . This book was released on 1983 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D N Shanbhag
Publisher : Gulf Professional Publishing
ISBN 13 : 9780444500137
Total Pages : 1028 pages
Book Rating : 4.5/5 (1 download)
Download or read book Stochastic Processes: Modeling and Simulation written by D N Shanbhag and published by Gulf Professional Publishing. This book was released on 2003-02-24 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to volume 19 of Handbook on Statistics on Stochastic Processes: Modelling and Simulation is concerned mainly with the theme of reviewing and, in some cases, unifying with new ideas the different lines of research and developments in stochastic processes of applied flavour. This volume consists of 23 chapters addressing various topics in stochastic processes. These include, among others, those on manufacturing systems, random graphs, reliability, epidemic modelling, self-similar processes, empirical processes, time series models, extreme value therapy, applications of Markov chains, modelling with Monte Carlo techniques, and stochastic processes in subjects such as engineering, telecommunications, biology, astronomy and chemistry. particular with modelling, simulation techniques and numerical methods concerned with stochastic processes. The scope of the project involving this volume as well as volume 19 is already clarified in the preface of volume 19. The present volume completes the aim of the project and should serve as an aid to students, teachers, researchers and practitioners interested in applied stochastic processes.
