Two Parameter Martingales And Their Quadratic Variation

Download Two Parameter Martingales And Their Quadratic Variation full books in PDF, epub, and Kindle. Read online Two Parameter Martingales And Their Quadratic Variation ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Two-Parameter Martingales and Their Quadratic Variation

Author : Peter Imkeller
Publisher : Springer
ISBN 13 : 3540391487
Total Pages : 182 pages
Book Rating : 4.5/5 (43 download)

DOWNLOAD NOW!

Book Synopsis Two-Parameter Martingales and Their Quadratic Variation by : Peter Imkeller

Download or read book Two-Parameter Martingales and Their Quadratic Variation written by Peter Imkeller and published by Springer. This book was released on 2006-11-15 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has two-fold aims. In a first part it gives an introductory, thorough and essentially self-contained treatment of the general theory of two-parameter processes that has developed since around 1975. Apart from two survey papers by Merzbach and Meyer it is the first text of this kind. The second part presents the results of recent research by the author on martingale theory and stochastic calculus for two-parameter processes. Both the results and the methods of these two chapters are almost entirely new, and are of particular interest. They provide the fundamentals of a general stochastic analysis of two-parameter processes including, in particular, so far inaccessible jump phenomena. The typical rader is assumed to have some basic knowledge of the general theory of one-parameter martingales. The book should be accessible to probabilistically interested mathematicians who a) wish to become acquainted with or have a complete treatment of the main features of the general theory of two-parameter processes and basics of their stochastic calculus, b) intend to learn about the most recent developments in this area.

Probability Theory and Its Applications in China

Author : Shijian Yan
Publisher : American Mathematical Soc.
ISBN 13 : 0821851268
Total Pages : 333 pages
Book Rating : 4.8/5 (218 download)

DOWNLOAD NOW!

Book Synopsis Probability Theory and Its Applications in China by : Shijian Yan

Download or read book Probability Theory and Its Applications in China written by Shijian Yan and published by American Mathematical Soc.. This book was released on 1991 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probability theory has always been an active field of research in China, but, until recently, almost all of this research was written in Chinese. This book contains surveys by some of China's leading probabilists, with a fairly complete coverage of theoretical probability and selective coverage of applied topics. The purpose of the book is to provide an account of the most significant results in probability obtained in China in the past few decades and to promote communication between probabilists in China and those in other countries. This collection will be of interest to graduate students and researchers in mathematics and probability theory, as well as to researchers in such areas as physics, engineering, biochemistry, and information science. Among the topics covered here are: stochastic analysis, stochastic differential equations, Dirichlet forms, Brownian motion and diffusion, potential theory, geometry of manifolds, semi-martingales, jump Markov processes, interacting particle systems, entropy production of Markov processes, renewal sequences and $p$-functions, multi-parameter stochastic processes, stationary random fields, limit theorems, strong approximations, large deviations, stochastic control systems, and probability problems in information theory.

Set-Indexed Martingales

Author : B.G. Ivanoff
Publisher : CRC Press
ISBN 13 : 9781584880820
Total Pages : 228 pages
Book Rating : 4.8/5 (88 download)

DOWNLOAD NOW!

Book Synopsis Set-Indexed Martingales by : B.G. Ivanoff

Download or read book Set-Indexed Martingales written by B.G. Ivanoff and published by CRC Press. This book was released on 1999-10-27 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Set-Indexed Martingales offers a unique, comprehensive development of a general theory of Martingales indexed by a family of sets. The authors establish-for the first time-an appropriate framework that provides a suitable structure for a theory of Martingales with enough generality to include many interesting examples. Developed from first principles, the theory brings together the theories of Martingales with a directed index set and set-indexed stochastic processes. Part One presents several classical concepts extended to this setting, including: stopping, predictability, Doob-Meyer decompositions, martingale characterizations of the set-indexed Poisson process, and Brownian motion. Part Two addresses convergence of sequences of set-indexed processes and introduces functional convergence for processes whose sample paths live in a Skorokhod-type space and semi-functional convergence for processes whose sample paths may be badly behaved. Completely self-contained, the theoretical aspects of this work are rich and promising. With its many important applications-especially in the theory of spatial statistics and in stochastic geometry- Set Indexed Martingales will undoubtedly generate great interest and inspire further research and development of the theory and applications.

Martingale Hardy Spaces and their Applications in Fourier Analysis

Author : Ferenc Weisz
Publisher : Springer
ISBN 13 : 3540482954
Total Pages : 228 pages
Book Rating : 4.5/5 (44 download)

DOWNLOAD NOW!

Book Synopsis Martingale Hardy Spaces and their Applications in Fourier Analysis by : Ferenc Weisz

Download or read book Martingale Hardy Spaces and their Applications in Fourier Analysis written by Ferenc Weisz and published by Springer. This book was released on 2006-11-15 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the theory of one- and two-parameter martingale Hardy spaces and their use in Fourier analysis, and gives a summary of the latest results in this field. A method that can be applied for both one- and two-parameter cases, the so-called atomic decomposition method, is improved and provides a new and common construction of the theory of one- and two-parameter martingale Hardy spaces. A new proof of Carleson's convergence result using martingale methods for Fourier series is given with martingale methods. The book is accessible to readers familiar with the fundamentals of probability theory and analysis. It is intended for researchers and graduate students interested in martingale theory, Fourier analysis and in the relation between them.

Topics in Spatial Stochastic Processes

Author : Vincenzo Capasso
Publisher : Springer Science & Business Media
ISBN 13 : 9783540002956
Total Pages : 268 pages
Book Rating : 4.0/5 (29 download)

DOWNLOAD NOW!

Book Synopsis Topics in Spatial Stochastic Processes by : Vincenzo Capasso

Download or read book Topics in Spatial Stochastic Processes written by Vincenzo Capasso and published by Springer Science & Business Media. This book was released on 2003-01-21 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of stochastic processes indexed by a partially ordered set has been the subject of much research over the past twenty years. The objective of this CIME International Summer School was to bring to a large audience of young probabilists the general theory of spatial processes, including the theory of set-indexed martingales and to present the different branches of applications of this theory, including stochastic geometry, spatial statistics, empirical processes, spatial estimators and survival analysis. This theory has a broad variety of applications in environmental sciences, social sciences, structure of material and image analysis. In this volume, the reader will find different approaches which foster the development of tools to modelling the spatial aspects of stochastic problems.

Continuous Martingales and Brownian Motion

Author : Daniel Revuz
Publisher : Springer Science & Business Media
ISBN 13 : 3662064006
Total Pages : 608 pages
Book Rating : 4.6/5 (62 download)

DOWNLOAD NOW!

Book Synopsis Continuous Martingales and Brownian Motion by : Daniel Revuz

Download or read book Continuous Martingales and Brownian Motion written by Daniel Revuz and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." –BULLETIN OF THE L.M.S.

Discrete-parameter Martingales

Author : Jacques Neveu
Publisher : Elsevier Science & Technology
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.3/5 (91 download)

DOWNLOAD NOW!

Book Synopsis Discrete-parameter Martingales by : Jacques Neveu

Download or read book Discrete-parameter Martingales written by Jacques Neveu and published by Elsevier Science & Technology. This book was released on 1975 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Summability of Multi-Dimensional Fourier Series and Hardy Spaces

Author : Ferenc Weisz
Publisher : Springer Science & Business Media
ISBN 13 : 9401731837
Total Pages : 340 pages
Book Rating : 4.4/5 (17 download)

DOWNLOAD NOW!

Book Synopsis Summability of Multi-Dimensional Fourier Series and Hardy Spaces by : Ferenc Weisz

Download or read book Summability of Multi-Dimensional Fourier Series and Hardy Spaces written by Ferenc Weisz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: The history of martingale theory goes back to the early fifties when Doob [57] pointed out the connection between martingales and analytic functions. On the basis of Burkholder's scientific achievements the mar tingale theory can perfectly well be applied in complex analysis and in the theory of classical Hardy spaces. This connection is the main point of Durrett's book [60]. The martingale theory can also be well applied in stochastics and mathematical finance. The theories of the one-parameter martingale and the classical Hardy spaces are discussed exhaustively in the literature (see Garsia [83], Neveu [138], Dellacherie and Meyer [54, 55], Long [124], Weisz [216] and Duren [59], Stein [193, 194], Stein and Weiss [192], Lu [125], Uchiyama [205]). The theory of more-parameter martingales and martingale Hardy spaces is investigated in Imkeller [107] and Weisz [216]. This is the first mono graph which considers the theory of more-parameter classical Hardy spaces. The methods of proofs for one and several parameters are en tirely different; in most cases the theorems stated for several parameters are much more difficult to verify. The so-called atomic decomposition method that can be applied both in the one-and more-parameter cases, was considered for martingales by the author in [216].

Survival Analysis: State of the Art

Author : John P. Klein
Publisher : Springer Science & Business Media
ISBN 13 : 9401579830
Total Pages : 446 pages
Book Rating : 4.4/5 (15 download)

DOWNLOAD NOW!

Book Synopsis Survival Analysis: State of the Art by : John P. Klein

Download or read book Survival Analysis: State of the Art written by John P. Klein and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: Survival analysis is a highly active area of research with applications spanning the physical, engineering, biological, and social sciences. In addition to statisticians and biostatisticians, researchers in this area include epidemiologists, reliability engineers, demographers and economists. The economists survival analysis by the name of duration analysis and the analysis of transition data. We attempted to bring together leading researchers, with a common interest in developing methodology in survival analysis, at the NATO Advanced Research Workshop. The research works collected in this volume are based on the presentations at the Workshop. Analysis of survival experiments is complicated by issues of censoring, where only partial observation of an individual's life length is available and left truncation, where individuals enter the study group if their life lengths exceed a given threshold time. Application of the theory of counting processes to survival analysis, as developed by the Scandinavian School, has allowed for substantial advances in the procedures for analyzing such experiments. The increased use of computer intensive solutions to inference problems in survival analysis~ in both the classical and Bayesian settings, is also evident throughout the volume. Several areas of research have received special attention in the volume.

Probability Theory and Mathematical Statistics. Vol. 2

Author : B. Grigelionis
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3112319028
Total Pages : 624 pages
Book Rating : 4.1/5 (123 download)

DOWNLOAD NOW!

Book Synopsis Probability Theory and Mathematical Statistics. Vol. 2 by : B. Grigelionis

Download or read book Probability Theory and Mathematical Statistics. Vol. 2 written by B. Grigelionis and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-18 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "PROB. TH. MATH. ST. ( GRIGELIONIS) VOL. 2 PROC.5/1989 E-BOOK".

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)

DOWNLOAD NOW!

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.

Statistical Inference for Fractional Diffusion Processes

Author : B. L. S. Prakasa Rao
Publisher : John Wiley & Sons
ISBN 13 : 0470975768
Total Pages : 213 pages
Book Rating : 4.4/5 (79 download)

DOWNLOAD NOW!

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.

Proceedings of the Seventh Conference on Probability Theory

Author : Marius Iosifescu
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3112314034
Total Pages : 676 pages
Book Rating : 4.1/5 (123 download)

DOWNLOAD NOW!

Book Synopsis Proceedings of the Seventh Conference on Probability Theory by : Marius Iosifescu

Download or read book Proceedings of the Seventh Conference on Probability Theory written by Marius Iosifescu and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-18 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Proceedings of the Seventh Conference on Probability Theory".

Martingales and Stochastic Integrals I

Author : Paul-Andre Meyer
Publisher : Springer
ISBN 13 : 3540379681
Total Pages : 96 pages
Book Rating : 4.5/5 (43 download)

DOWNLOAD NOW!

Book Synopsis Martingales and Stochastic Integrals I by : Paul-Andre Meyer

Download or read book Martingales and Stochastic Integrals I written by Paul-Andre Meyer and published by Springer. This book was released on 2006-11-15 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Martingale Approximation

Author : Yu. V. Borovskikh
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110944685
Total Pages : 336 pages
Book Rating : 4.1/5 (19 download)

DOWNLOAD NOW!

Book Synopsis Martingale Approximation by : Yu. V. Borovskikh

Download or read book Martingale Approximation written by Yu. V. Borovskikh and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-01-14 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Martingale Approximation".

Brownian Motion, Martingales, and Stochastic Calculus

Author : Jean-François Le Gall
Publisher : Springer
ISBN 13 : 3319310895
Total Pages : 273 pages
Book Rating : 4.3/5 (193 download)

DOWNLOAD NOW!

Book Synopsis Brownian Motion, Martingales, and Stochastic Calculus by : Jean-François Le Gall

Download or read book Brownian Motion, Martingales, and Stochastic Calculus written by Jean-François Le Gall and published by Springer. This book was released on 2016-04-28 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.

Stochastic-Process Limits

Author : Ward Whitt
Publisher : Springer Science & Business Media
ISBN 13 : 0387217487
Total Pages : 616 pages
Book Rating : 4.3/5 (872 download)

DOWNLOAD NOW!

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