Contributions To 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.

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 Tools in Turbulence

Author : John L. Lumley
Publisher : Courier Corporation
ISBN 13 : 0486462706
Total Pages : 210 pages
Book Rating : 4.4/5 (864 download)

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Book Synopsis Stochastic Tools in Turbulence by : John L. Lumley

Download or read book Stochastic Tools in Turbulence written by John L. Lumley and published by Courier Corporation. This book was released on 2007-01-01 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: This accessible treatment offers the mathematical tools for describing and solving problems related to stochastic vector fields. Advanced undergraduates and graduate students will find its use of generalized functions a relatively simple method of resolving mathematical questions. It will prove a valuable reference for applied mathematicians and professionals in the fields of aerospace, chemical, civil, and nuclear engineering. The author, Professor Emeritus of Engineering at Cornell University, starts with a survey of probability distributions and densities and proceeds to examinations of moments, characteristic functions, and the Gaussian distribution; random functions; and random processes in more dimensions. Extensive appendixes—which include information on Fourier transforms, tensors, generalized functions, and invariant theory—contribute toward making this volume mathematically self-contained.

Introduction to Stochastic Programming

Author : John R. Birge
Publisher : Springer Science & Business Media
ISBN 13 : 0387226184
Total Pages : 427 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Introduction to Stochastic Programming by : John R. Birge

Download or read book Introduction to Stochastic Programming written by John R. Birge and published by Springer Science & Business Media. This book was released on 2006-04-06 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rapidly developing field encompasses many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors present a broad overview of the main themes and methods of the subject, thus helping students develop an intuition for how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems. The early chapters introduce some worked examples of stochastic programming, demonstrate how a stochastic model is formally built, develop the properties of stochastic programs and the basic solution techniques used to solve them. The book then goes on to cover approximation and sampling techniques and is rounded off by an in-depth case study. A well-paced and wide-ranging introduction to this subject.

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott by : Samuel N Cohen

Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Stochastic Analysis, Filtering, and Stochastic Optimization

Author : George Yin
Publisher : Springer Nature
ISBN 13 : 3030985199
Total Pages : 466 pages
Book Rating : 4.0/5 (39 download)

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Book Synopsis Stochastic Analysis, Filtering, and Stochastic Optimization by : George Yin

Download or read book Stochastic Analysis, Filtering, and Stochastic Optimization written by George Yin and published by Springer Nature. This book was released on 2022-04-22 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.

Introduction to Stochastic Models

Author : Roe Goodman
Publisher : Courier Corporation
ISBN 13 : 0486450376
Total Pages : 370 pages
Book Rating : 4.4/5 (864 download)

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Book Synopsis Introduction to Stochastic Models by : Roe Goodman

Download or read book Introduction to Stochastic Models written by Roe Goodman and published by Courier Corporation. This book was released on 2006-01-01 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Newly revised by the author, this undergraduate-level text introduces the mathematical theory of probability and stochastic processes. Using both computer simulations and mathematical models of random events, it comprises numerous applications to the physical and biological sciences, engineering, and computer science. Subjects include sample spaces, probabilities distributions and expectations of random variables, conditional expectations, Markov chains, and the Poisson process. Additional topics encompass continuous-time stochastic processes, birth and death processes, steady-state probabilities, general queuing systems, and renewal processes. Each section features worked examples, and exercises appear at the end of each chapter, with numerical solutions at the back of the book. Suggestions for further reading in stochastic processes, simulation, and various applications also appear at the end.

Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications

Author : Samuel N. Cohen
Publisher : Springer Nature
ISBN 13 : 3030222853
Total Pages : 303 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications by : Samuel N. Cohen

Download or read book Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications written by Samuel N. Cohen and published by Springer Nature. This book was released on 2019-08-31 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics. This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.

Stochastic Stability of Differential Equations

Author : Rafail Khasminskii
Publisher : Springer Science & Business Media
ISBN 13 : 3642232809
Total Pages : 353 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Stochastic Stability of Differential Equations by : Rafail Khasminskii

Download or read book Stochastic Stability of Differential Equations written by Rafail Khasminskii and published by Springer Science & Business Media. This book was released on 2011-09-20 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. To date exact formulas for the Lyapunov exponent, the criteria for the moment and almost sure stability, and for the existence of stationary and periodic solutions of stochastic differential equations have been widely used in the literature. In this updated volume readers will find important new results on the moment Lyapunov exponent, stability index and some other fields, obtained after publication of the first edition, and a significantly expanded bibliography. This volume provides a solid foundation for students in graduate courses in mathematics and its applications. It is also useful for those researchers who would like to learn more about this subject, to start their research in this area or to study the properties of concrete mechanical systems subjected to random perturbations.

Stochastics, Algebra and Analysis in Classical and Quantum Dynamics

Author : Sergio Albeverio
Publisher : Springer Science & Business Media
ISBN 13 : 940117976X
Total Pages : 254 pages
Book Rating : 4.4/5 (11 download)

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Book Synopsis Stochastics, Algebra and Analysis in Classical and Quantum Dynamics by : Sergio Albeverio

Download or read book Stochastics, Algebra and Analysis in Classical and Quantum Dynamics written by Sergio Albeverio and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Et moi, "'f si j'avait su comment en revenir, One service mathematics has rendered the je n'y serais point aile':' human race. It has put common sense back Jules Verne where it belongs, 011 the topmost shelf next to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be able to do something with it. Eric T. Bell o. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non Iinearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics . . . '; 'One service logic has rendered com puter science . . . '; 'One service category theory has rendered mathematics . . . '. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series_ This series, Mathematics and Its Applications, started in 1977. Now that over one hundred volumes have appeared it seems opportune to reexamine its scope. At the time I wrote ''Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However, the 'tree' of knowledge of mathematics and related fields does not grow only by putting forth new branches.

Algebraic Structures and Applications

Author : Sergei Silvestrov
Publisher : Springer Nature
ISBN 13 : 3030418502
Total Pages : 976 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Algebraic Structures and Applications by : Sergei Silvestrov

Download or read book Algebraic Structures and Applications written by Sergei Silvestrov and published by Springer Nature. This book was released on 2020-06-18 with total page 976 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the latest advances in algebraic structures and applications, and focuses on mathematical concepts, methods, structures, problems, algorithms and computational methods important in the natural sciences, engineering and modern technologies. In particular, it features mathematical methods and models of non-commutative and non-associative algebras, hom-algebra structures, generalizations of differential calculus, quantum deformations of algebras, Lie algebras and their generalizations, semi-groups and groups, constructive algebra, matrix analysis and its interplay with topology, knot theory, dynamical systems, functional analysis, stochastic processes, perturbation analysis of Markov chains, and applications in network analysis, financial mathematics and engineering mathematics. The book addresses both theory and applications, which are illustrated with a wealth of ideas, proofs and examples to help readers understand the material and develop new mathematical methods and concepts of their own. The high-quality chapters share a wealth of new methods and results, review cutting-edge research and discuss open problems and directions for future research. Taken together, they offer a source of inspiration for a broad range of researchers and research students whose work involves algebraic structures and their applications, probability theory and mathematical statistics, applied mathematics, engineering mathematics and related areas.

Stage-structured Demography in Stochastic Environments

Author : Raziel Joseph Davison
Publisher : Stanford University
ISBN 13 :
Total Pages : 137 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Stage-structured Demography in Stochastic Environments by : Raziel Joseph Davison

Download or read book Stage-structured Demography in Stochastic Environments written by Raziel Joseph Davison and published by Stanford University. This book was released on 2011 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Populations living in natural environments experience fluctuations in environmental conditions that drive variability in demographic rates. This dissertation develops new and existing mathematical methods for studying environmental stochasticity and uses these tools to investigate the role of environmental stochasticity in driving observed population dynamics and plant life history evolution. In the first two chapters I develop new approaches to a classic method in population biology, the life table response experiment (LTRE). Whereas existing methods used time-averaged demographic rates and deterministic sensitivities to decompose observed differences in population growth rates, this new method allows estimation of the contributions to those differences made by variances in demographic rates as well as by mean rate values. I use this stochastic LTRE to show how differential variability in the vital rates of Anthyllis vulneraria (kidney vetch) contribute to differences in the population growth rates of nine populations growing in southwest Belgium; we also show how the effects of demographic rate variability depend on soil depth, where the greater moisture retention of deeper soils buffers populations against the otherwise negative effects of demographic variability. The second chapter provides a different approach to LTRE that uses an iterated two-factor decomposition of the small noise approximation of the stochastic population growth rate to quantify contributions to that growth rate made by: (i) mean vital rates, (ii) temporal variability in vital rates, (iii) elasticities of the population growth rate to individual vital rates, and (iv) correlations between vital rates across the study period. Contributions of elasticities tell us about differences in local selection pressures acting on distinct populations and contributions of correlations tell us about differences in the phenotypic tradeoffs associated with vital rates. I use this new method to show how these differences drive dynamics in two species: Anthyllis vulneraria (the same populations studied in the first chapter) and Cypripedium calceolus (lady's slipper orchid). In Anthyllis vulneraria, variability in large adult fertility and seedling survival made the largest contributions; there were also effects of differences in elasticities of large adult fertility and survival, as well as differences in the correlations between rapid growth and survival in seedlings (a survival cost of rapid early development), between large adult fertility and survival (a survival cost of reproduction) and between large adult fertility and seedling survival. In Cypripedium calceolus, population growth rates were driven most by differences in the elasticities to the probabilities of adult stasis vs. entering dormancy, as well as by differences in the variability and tradeoffs associated with adult dormancy; correlation played a role through differences in the survival payoff of dormancy vs. the complimentary fertility cost of dormancy in terms of lost opportunity for reproduction. The third and final chapter investigates the role of fire disturbance in driving the life histories and population-level dynamics of five woody plant species growing in the Brazilian cerrado, a savannah-forest mosaic in which woody vegetation cover is primarily mediated by fire disturbance. This study presents a set of diagnostics that use demographic responses to recurring disturbance to categorize species along a continuum of adaptation: on one end we find 'resistant' species that must weather disturbance in order to attain large sizes that are buffered against fire-induced mortality; on the other end we find 'resilient' species that are relatively indifferent to disturbance and harness transient opportunities afforded by early post-fire successional habitats in order to take advantage of increased nutrient availability and reduced competition. Each of these chapters uses stochastic demographic analysis to extend theory describing the dynamics of populations in variable environments; together, these studies present a variegated perspective on the role of environmental stochasticity that provides new methods and novel perspectives that should be useful in the study of population biology and life history evolution.

Stochastic Programming

Author : Gerd Infanger
Publisher : Springer Science & Business Media
ISBN 13 : 1441916423
Total Pages : 373 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Stochastic Programming by : Gerd Infanger

Download or read book Stochastic Programming written by Gerd Infanger and published by Springer Science & Business Media. This book was released on 2010-11-10 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the Preface... The preparation of this book started in 2004, when George B. Dantzig and I, following a long-standing invitation by Fred Hillier to contribute a volume to his International Series in Operations Research and Management Science, decided finally to go ahead with editing a volume on stochastic programming. The field of stochastic programming (also referred to as optimization under uncertainty or planning under uncertainty) had advanced significantly in the last two decades, both theoretically and in practice. George Dantzig and I felt that it would be valuable to showcase some of these advances and to present what one might call the state-of- the-art of the field to a broader audience. We invited researchers whom we considered to be leading experts in various specialties of the field, including a few representatives of promising developments in the making, to write a chapter for the volume. Unfortunately, to the great loss of all of us, George Dantzig passed away on May 13, 2005. Encouraged by many colleagues, I decided to continue with the book and edit it as a volume dedicated to George Dantzig. Management Science published in 2005 a special volume featuring the “Ten most Influential Papers of the first 50 Years of Management Science.” George Dantzig’s original 1955 stochastic programming paper, “Linear Programming under Uncertainty,” was featured among these ten. Hearing about this, George Dantzig suggested that his 1955 paper be the first chapter of this book. The vision expressed in that paper gives an important scientific and historical perspective to the book. Gerd Infanger

Stochastic Processes, Finance and Control

Author : Robert J. Elliot
Publisher : World Scientific
ISBN 13 : 9814383309
Total Pages : 605 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Stochastic Processes, Finance and Control by : Robert J. Elliot

Download or read book Stochastic Processes, Finance and Control written by Robert J. Elliot and published by World Scientific. This book was released on 2012 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.

Stochastic Orders in Reliability and Risk

Author : Haijun Li
Publisher : Springer Science & Business Media
ISBN 13 : 1461468922
Total Pages : 459 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Stochastic Orders in Reliability and Risk by : Haijun Li

Download or read book Stochastic Orders in Reliability and Risk written by Haijun Li and published by Springer Science & Business Media. This book was released on 2013-06-22 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Orders in Reliability and Risk Management is composed of 19 contributions on the theory of stochastic orders, stochastic comparison of order statistics, stochastic orders in reliability and risk analysis, and applications. These review/exploratory chapters present recent and current research on stochastic orders reported at the International Workshop on Stochastic Orders in Reliability and Risk Management, or SORR2011, which took place in the City Hotel, Xiamen, China, from June 27 to June 29, 2011. The conference’s talks and invited contributions also represent the celebration of Professor Moshe Shaked, who has made comprehensive, fundamental contributions to the theory of stochastic orders and its applications in reliability, queueing modeling, operations research, economics and risk analysis. This volume is in honor of Professor Moshe Shaked. The work presented in this volume represents active research on stochastic orders and multivariate dependence, and exemplifies close collaborations between scholars working in different fields. The Xiamen Workshop and this volume seek to revive the community workshop tradition on stochastic orders and dependence and strengthen research collaboration, while honoring the work of a distinguished scholar.

Stochastic Methods for Pension Funds

Author : Pierre Devolder
Publisher : John Wiley & Sons
ISBN 13 : 1118566262
Total Pages : 331 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis Stochastic Methods for Pension Funds by : Pierre Devolder

Download or read book Stochastic Methods for Pension Funds written by Pierre Devolder and published by John Wiley & Sons. This book was released on 2013-03-04 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis. The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme. In these various problems, financial as well as demographic risks will be addressed and modelled.

The Field Theoretic Renormalization Group in Critical Behavior Theory and Stochastic Dynamics

Author : A.N. Vasil'ev
Publisher : CRC Press
ISBN 13 : 0203483561
Total Pages : 703 pages
Book Rating : 4.2/5 (34 download)

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Book Synopsis The Field Theoretic Renormalization Group in Critical Behavior Theory and Stochastic Dynamics by : A.N. Vasil'ev

Download or read book The Field Theoretic Renormalization Group in Critical Behavior Theory and Stochastic Dynamics written by A.N. Vasil'ev and published by CRC Press. This book was released on 2004-04-28 with total page 703 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides a general field-theoretical picture of critical phenomena and stochastic dynamics and helps readers develop a practical skill for calculations. This education on the practical skill sets this book apart: it is the first to give a full technical introduction to the field. Both general ideas and ...hard... calculations are presen