Essentials Of Stochastic Processes

Essentials of Stochastic Processes PDF
Author: Kiyosi Itō
Publisher: American Mathematical Soc.
ISBN: 9780821838983
Size: 60.24 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 171
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This book is an English translation of Kiyosi Ito's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Levy processes), stationary processes, and Markov processes, which constitute the three most important classes of stochastic processes. Written by one of the leading experts in the field, this volume presents to the reader lucid explanations of the fundamental concepts and basic results in each of these three major areas of the theory of stochastic processes. With the requirements limited to an introductory graduate course on analysis (especially measure theory) and basic probability theory, this book is an excellent text for any graduate course on stochastic processes. Kiyosi Ito is famous throughout the world for his work on stochastic integrals (including the Ito formula), but he has made substantial contributions to other areas of probability theory as well, such as additive processes, stationary processes, and Markov processes (especially diffusion processes), which are topics covered in this book. For his contributions and achievements, he has received, among others, the Wolf Prize, the Japan Academy Prize, and the Kyoto Prize.

Stochastic Processes

Stochastic Processes PDF
Author: Narahari Umanath Prabhu
Publisher: World Scientific
ISBN: 9812706267
Size: 32.18 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 341
View: 3983

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Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory and random walks deal inadequately with their applications. Written in a simple and accessible manner, this book addresses that inadequacy and provides guidelines and tools to study the applications. The coverage includes research developments in Markov property, martingales, regenerative phenomena and Tauberian theorems, and covers measure theory at an elementary level.

Stochastic Processes And Their Applications

Stochastic Processes and Their Applications PDF
Author: Frank Beichelt
Publisher: CRC Press
ISBN: 9780415272322
Size: 16.20 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 338
View: 2953

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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

Stochastic Processes PDF
Author: Kiyosi Ito
Publisher: Springer Science & Business Media
ISBN: 9783540204824
Size: 67.51 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 234
View: 1977

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This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the Lévy-Itô decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.

Convergence Of Stochastic Processes

Convergence of Stochastic Processes PDF
Author: David Pollard
Publisher: David Pollard
ISBN: 0387909907
Size: 59.48 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 215
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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 Stochastic Processes

An Introduction to Stochastic Processes PDF
Author: M. S. Bartlett
Publisher: CUP Archive
ISBN: 9780521215855
Size: 29.48 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 388
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Random sequences; Processes in continuous time; Miscellaneous statistical applications; Limiting stochastic operations; Stationary processes; Prediction and communication theory; The statistical analysis of stochastic processes; Correlation analysis of time-series.

Adventures In Stochastic Processes

Adventures in Stochastic Processes PDF
Author: Sidney I. Resnick
Publisher: Springer Science & Business Media
ISBN: 9780817635916
Size: 55.22 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 626
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Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. This text offers easy access to this fundamental topic for many students of applied sciences at many levels. It includes examples, exercises, applications, and computational procedures. It is uniquely useful for beginners and non-beginners in the field. No knowledge of measure theory is presumed.

Introduction To Stochastic Processes Second Edition

Introduction to Stochastic Processes  Second Edition PDF
Author: Gregory F. Lawler
Publisher: CRC Press
ISBN: 9781584886518
Size: 31.82 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 248
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Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory. For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter. New to the Second Edition: Expanded chapter on stochastic integration that introduces modern mathematical finance Introduction of Girsanov transformation and the Feynman-Kac formula Expanded discussion of Itô's formula and the Black-Scholes formula for pricing options New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion Applicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.

Basic Stochastic Processes

Basic Stochastic Processes PDF
Author: Zdzislaw Brzezniak
Publisher: Springer Science & Business Media
ISBN: 9783540761754
Size: 43.30 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 226
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Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book for self-study provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes. The book centers on exercises as the main means of explanation.

Stochastic Processes For Insurance And Finance

Stochastic Processes for Insurance and Finance PDF
Author: Tomasz Rolski
Publisher: John Wiley & Sons
ISBN: 0470317884
Size: 63.46 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 680
View: 2024

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Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance questions, the authors present a coherent overview of the subject and specifically address: The principal concepts from insurance and finance Practical examples with real life data Numerical and algorithmic procedures essential for modern insurance practices Assuming competence in probability calculus, this book will provide a fairly rigorous treatment of insurance risk theory recommended for researchers and students interested in applied probability as well as practitioners of actuarial sciences. Wiley Series in Probability and Statistics

Stochastic Processes

Stochastic Processes PDF
Author: D. N. Shanbhag
Publisher: Gulf Professional Publishing
ISBN: 9780444500144
Size: 33.68 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 967
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J. Neyman, one of the pioneers in laying the foundations of modern statistical theory, stressed the importance of stochastic processes in a paper written in 1960 in the following terms: Currently in the period of dynamic indeterminism in science, there is hardly a serious piece of research, if treated realistically, does not involve operations on stochastic processes. Arising from the need to solve practical problems, several major advances have taken place in the theory of stochastic processes and their applications. Books by Doob (1953; J. Wiley and Sons), Feller (1957, 1966; J. Wiley and Sons) and Loeve (1960; D. van Nostrand and Col., Inc.) among others, have created growing awareness and interest in the use of stochastic processes in scientific and technological studies.The literature on stochastic processes is very extensive and is distributed in several books and journals.

Stochastic Processes And Their Applications

Stochastic Processes and their Applications PDF
Author: M.J. Beckmann
Publisher: Springer Science & Business Media
ISBN: 9783540546351
Size: 65.71 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 292
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This volume deals with Stochastic tools with specialreference to applications in the areas of Physics, Biologyand Operations Research. Quitea few of the papers deal withthe applications of the rich theory of point processes inPhysics and Operations Research. A few of the papers dealwith the problems of Inference and Stochastic theory. Inaddition papers of some leading specialists are included.These papers reflect the latest trends in these areas andwill, therefore, be of value and interest to researchers inthese fields.

Probability Statistics And Stochastic Processes

Probability  Statistics  and Stochastic Processes PDF
Author: Peter Olofsson
Publisher: John Wiley & Sons
ISBN: 0470889748
Size: 61.16 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 576
View: 3963

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Praise for the First Edition ". . . an excellent textbook . . . well organized and neatly written." —Mathematical Reviews ". . . amazingly interesting . . ." —Technometrics Thoroughly updated to showcase the interrelationships between probability, statistics, and stochastic processes, Probability, Statistics, and Stochastic Processes, Second Edition prepares readers to collect, analyze, and characterize data in their chosen fields. Beginning with three chapters that develop probability theory and introduce the axioms of probability, random variables, and joint distributions, the book goes on to present limit theorems and simulation. The authors combine a rigorous, calculus-based development of theory with an intuitive approach that appeals to readers' sense of reason and logic. Including more than 400 examples that help illustrate concepts and theory, the Second Edition features new material on statistical inference and a wealth of newly added topics, including: Consistency of point estimators Large sample theory Bootstrap simulation Multiple hypothesis testing Fisher's exact test and Kolmogorov-Smirnov test Martingales, renewal processes, and Brownian motion One-way analysis of variance and the general linear model Extensively class-tested to ensure an accessible presentation, Probability, Statistics, and Stochastic Processes, Second Edition is an excellent book for courses on probability and statistics at the upper-undergraduate level. The book is also an ideal resource for scientists and engineers in the fields of statistics, mathematics, industrial management, and engineering.

The Theory Of Stochastic Processes

The Theory of Stochastic Processes PDF
Author: D.R. Cox
Publisher: Routledge
ISBN: 135140895X
Size: 61.20 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 408
View: 5050

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This book should be of interest to undergraduate and postgraduate students of probability theory.