Stochastic Process Limits

Stochastic Process Limits PDF
Author: Ward Whitt
Publisher: Springer Science & Business Media
ISBN: 0387217487
Size: 65.88 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 602
View: 6066

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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

Basics Of Applied Stochastic Processes

Basics of Applied Stochastic Processes PDF
Author: Richard Serfozo
Publisher: Springer Science & Business Media
ISBN: 3540893326
Size: 53.41 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 443
View: 6367

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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.

Limit Theorems For Randomly Stopped Stochastic Processes

Limit Theorems for Randomly Stopped Stochastic Processes PDF
Author: Dmitriĭ Sergeevich Silʹvestrov
Publisher: Springer Science & Business Media
ISBN: 9781852337773
Size: 12.46 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 398
View: 7048

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This volume is the first to present a state-of-the-art overview of this field, with many results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast and technically demanding Russian literature in detail. Its coverage is thorough, streamlined and arranged according to difficulty.

Stochastic Pdes And Modelling Of Multiscale Complex System

Stochastic Pdes And Modelling Of Multiscale Complex System PDF
Author: Wang Wei
Publisher: World Scientific
ISBN: 981120036X
Size: 71.73 MB
Format: PDF, ePub, Mobi
Category : Mathematics
Languages : en
Pages : 240
View: 2023

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This volume is devoted to original research results and survey articles reviewing recent developments in reduction for stochastic PDEs with multiscale as well as application to science and technology, and to present some future research direction. This volume includes a dozen chapters by leading experts in the area, with a broad audience in mind. It should be accessible to graduate students, junior researchers and other professionals who are interested in the subject. We also take this opportunity to celebrate the contributions of Professor Anthony J Roberts, an internationally leading figure on the occasion of his 60th years birthday in 2017.

An Annotated Timeline Of Operations Research

An Annotated Timeline of Operations Research PDF
Author: Saul I. Gass
Publisher: Springer Science & Business Media
ISBN: 1402081138
Size: 54.43 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 213
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An Annotated Timeline of Operations Research: An Informal History recounts the evolution of Operations Research (OR) as a new science - the science of decision making. Arising from the urgent operational issues of World War II, the philosophy and methodology of OR has permeated the resolution of decision problems in business, industry, and government. The Timeline chronicles the history of OR in the form of self-contained, expository entries. Each entry presents a concise explanation of the events and people under discussion, and provides key sources where further relevant information can be obtained. In addition, books and papers that have influenced the development of OR or helped to educate the first generations of OR academics and practitioners are cited throughout the book. Starting in 1564 with seminal ideas that form the precursors of OR, the Timeline traces the key ideas and events of OR through 2004. The Timeline should interest anyone involved in OR - researchers, practitioners, academics, and, especially, students - who wish to learn how OR came into being. Further, the scope and expository style of the Timeline should make it of value to the general reader interested in the development of science and technology in the last half of the twentieth century.

Market Microstructure

Market Microstructure PDF
Author: Frédéric Abergel
Publisher: John Wiley & Sons
ISBN: 1119952786
Size: 79.48 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 416
View: 2931

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The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.

Convergence Of Stochastic Processes

Convergence of Stochastic Processes PDF
Author: David Pollard
Publisher: David Pollard
ISBN: 0387909907
Size: 15.46 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 215
View: 916

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Functionals on stochastic processes; Uniform convergence of empirical measures; Convergence in distribution in euclidean spaces; Convergence in distribution in metric spaces; The uniform metric on space of cadlag functions; The skorohod metric on D [0, oo); Central limit teorems; Martingales.

An Introduction To Probability And Stochastic Processes

An Introduction to Probability and Stochastic Processes PDF
Author: James L. Melsa
Publisher: Courier Corporation
ISBN: 0486315959
Size: 70.18 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 416
View: 257

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Detailed coverage of probability theory, random variables and their functions, stochastic processes, linear system response to stochastic processes, Gaussian and Markov processes, and stochastic differential equations. 1973 edition.

Or Ms Today

OR MS Today PDF
Author:
Publisher:
ISBN:
Size: 10.89 MB
Format: PDF, Kindle
Category : Management science
Languages : en
Pages :
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Stochastic Differential And Difference Equations

Stochastic Differential and Difference Equations PDF
Author: Imre Csiszár
Publisher: Springer Science & Business Media
ISBN: 9780817639716
Size: 68.26 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 353
View: 2958

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The Conference on Stochastic Differential Equations held at Gyor, Hungary in August of 1996 was organized jointly by Eotvos Lorand University, Budapest and Kossuth Lajos University Debrecen. It was a satellite event to the 4th World Congress of the Bernoulli society, sponsored by several regional and executive committees of the Society. The papers accepted for publication in the volume come from all over the world and cover almost all contemporary research areas in the field of stochastic equations with many applications to the field of control. The coverage of the book focuses mainly on stochastic partial differential equations and related random fields and on discrete and continuous time parameter ARMA processes and, as well as stochastic differential equations in general. Research workers in stochastics and control theory will find a wide variety of new and fresh ideas expounded in the chapters of this volume. Series: Progress in Systems and Control Theory, Volume 23 Contents: Preface Gyor. The Conference Venue List of Participants Periodically Correlated Solutions to a Class of Stochastic Difference Equations/G.N. Boshnakov On Nonlinear SDE's whose Densities Evolve in a Finite-Dimensional Family/D. Brigo Composition of Skeletons and Support Theorems/M.E. Caballero, B. Fernandez, D. Nualart Invariant Measure for a Wave Equation on a Riemannian Manifold/A.B.Cruzeiro and Z. Haba Ergodic Distributed Control for Parameter Dependent Stochastic Semilinear Systems/T. E. Duncan, B. Maslowski, and B. Pasik-Duncan Dirichlet Forms, Caccioppoli Sets and the Skorohod Equation/M. Fukushima Rate of Convergence of Moments of Spall's SPSA Method/L. Gerencser General Setting for Stochastic Processes Associated with Quantum Fields/S. Albeverio, R. Gielerak, F. Russo On a Class of Semilinear Stochastic Partial Differential Equations/I. Gyongy Parallel Numerical Solution of a Class of Volterra Integro-Differential Equations/G. Heber, C. Lindemann On the Laws of the Oseledets Spaces of Linear Stochastic Differential Equations/P. Imkeller On Stationarity of Additive Bilinear State-space Representation of Time Series/M. Ispany On Convergence of Approximations of Ito-Volterra Equations/A. Kolodii Non-isotropic Ornstein-Uhlenbeck Process and White Noise Analysis/I. Kubo Stochastic Processes with Independent Increments on a Lie Group and their Selfsimilar Properties/H. Kunita Optimal Damping of Forced Oscillations Discrete-time Systems by Output Feedback/A. Lindquist and V. A. Yakubovich Forecast of Levy's Brownian Motion as the Observation Domain Undergoes Deformation/L. Markus A Maximal Inequity for the Skorohod Integral/E. Alós and D. Nualart On the Kinematics of Stochastic Mechanics/M. Pavon Stochastic Equations in Formal Mappings/I. Spectorsky On Fisher's Information Matrix of an ARMA Process/A. Klein and P. Spreij Statistical Analysis of Nonlinear and NonGaussian Time Series/T.S. Rao Bilinear Stochastic Systems with Long Range Dependance in Continous Time/E. Iglói and Gy. Terdik On Support Theorems for Stochastic Nonlinear Partial Differential Equations/K. Twardowska Excitation and Performance in Continuous-time Stochastic Adaptive LQ-control/Z.S. Vagó Invariant Measures for Diffusion Processes in Conuclear Spaces/J. Xiong Degree Theory on Wiener Space and an Application to a Class of SPDEs/ A.S. UEstuenel and M. Zakai On the Interacting Measure-Valued Branching Processes/X. -L. Zhao

Stochastic Modeling Of Stock Prices Incorporating Jump Diffusion And Shot Noise Models

Stochastic Modeling of Stock Prices Incorporating Jump Diffusion and Shot Noise Models PDF
Author: Daniel Janocha
Publisher: GRIN Verlag
ISBN: 3656987599
Size: 80.87 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 97
View: 1465

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Master's Thesis from the year 2016 in the subject Mathematics - Stochastics, grade: 1,7, Technical University of Darmstadt (Forschungsgebiet Stochastik), course: Mathematik - Finanzmathematik, language: English, abstract: In this thesis, we present a stochastic model for stock prices incorporating jump diffusion and shot noise models based on the work of Altmann, Schmidt and Stute ("A Shot Noise Model For Financial Assets") and on its continuation by Schmidt and Stute ("Shot noise processes and the minimal martingale measure"). These papers differ in modeling the decay of the jump effect: Whereas it is deterministic in the first paper, it is stochastic in the last paper. In general, jump effects exist because of overreaction due to news in the press, due to illiquidity or due to incomplete information, i.e. because certain information are available only to few market participants. In financial markets, jump effects fade away as time passes: On the one hand, if the stock price falls, new investors are motivated to buy the stock. On the other hand, a rise of the stock price may lead to profit-taking, i.e. some investors sell the stock in order to lock in gains. Shot noise models are based on Merton's jump diffusion models where the decline of the jump effect after a price jump is neglected. In contrast to jump diffusion models, shot noise models respect the decay of jump effects. In complete markets, the so-called equivalent martingale measure is used to price European options and for hedging. Since stock price models incorporating jumps describe incomplete markets, the equivalent martingale measure cannot be determined uniquely. Hence, in this thesis, we deduce the so-called equivalent minimal martingale measure, both in discrete and continuous time. In contrast to Merton's jump diffusion models and to the well-known pricing model of Black and Scholes, the presented shot noise models are able to reproduce volatility smile effects which can be observed in financial markets.

Signal Processing In Radar Systems

Signal Processing in Radar Systems PDF
Author: Vyacheslav Tuzlukov
Publisher: CRC Press
ISBN: 1439826080
Size: 37.30 MB
Format: PDF, Docs
Category : Technology & Engineering
Languages : en
Pages : 632
View: 6775

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An essential task in radar systems is to find an appropriate solution to the problems related to robust signal processing and the definition of signal parameters. Signal Processing in Radar Systems addresses robust signal processing problems in complex radar systems and digital signal processing subsystems. It also tackles the important issue of defining signal parameters. The book presents problems related to traditional methods of synthesis and analysis of the main digital signal processing operations. It also examines problems related to modern methods of robust signal processing in noise, with a focus on the generalized approach to signal processing in noise under coherent filtering. In addition, the book puts forth a new problem statement and new methods to solve problems of adaptation and control by functioning processes. Taking a systems approach to designing complex radar systems, it offers readers guidance in solving optimization problems. Organized into three parts, the book first discusses the main design principles of the modern robust digital signal processing algorithms used in complex radar systems. The second part covers the main principles of computer system design for these algorithms and provides real-world examples of systems. The third part deals with experimental measurements of the main statistical parameters of stochastic processes. It also defines their estimations for robust signal processing in complex radar systems. Written by an internationally recognized professor and expert in signal processing, this book summarizes investigations carried out over the past 30 years. It supplies practitioners, researchers, and students with general principles for designing the robust digital signal processing algorithms employed by complex radar systems.

Introduction To Empirical Processes And Semiparametric Inference

Introduction to Empirical Processes and Semiparametric Inference PDF
Author: Michael R. Kosorok
Publisher: Springer Science & Business Media
ISBN: 9780387749785
Size: 62.10 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 483
View: 976

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Kosorok’s brilliant text provides a self-contained introduction to empirical processes and semiparametric inference. These powerful research techniques are surprisingly useful for developing methods of statistical inference for complex models and in understanding the properties of such methods. This is an authoritative text that covers all the bases, and also a friendly and gradual introduction to the area. The book can be used as research reference and textbook.

Probability Theory

Probability Theory PDF
Author: Heinz Bauer
Publisher: Walter de Gruyter
ISBN: 3110814668
Size: 19.79 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 538
View: 1192

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The series is devoted to the publication of monographs and high-level textbooks in mathematics, mathematical methods and their applications. Apart from covering important areas of current interest, a major aim is to make topics of an interdisciplinary nature accessible to the non-specialist. The works in this series are addressed to advanced students and researchers in mathematics and theoretical physics. In addition, it can serve as a guide for lectures and seminars on a graduate level. The series de Gruyter Studies in Mathematics was founded ca. 30 years ago by the late Professor Heinz Bauer and Professor Peter Gabriel with the aim to establish a series of monographs and textbooks of high standard, written by scholars with an international reputation presenting current fields of research in pure and applied mathematics. While the editorial board of the Studies has changed with the years, the aspirations of the Studies are unchanged. In times of rapid growth of mathematical knowledge carefully written monographs and textbooks written by experts are needed more than ever, not least to pave the way for the next generation of mathematicians. In this sense the editorial board and the publisher of the Studies are devoted to continue the Studies as a service to the mathematical community. Please submit any book proposals to Niels Jacob.