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Applied Stochastic Analysis

2021-09-22 Education
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Release : 2021-09-22
Genre : Education
Kind : eBook
Book Rating : 698/5 ( reviews)

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Book Synopsis Applied Stochastic Analysis by : Weinan E

Download or read book Applied Stochastic Analysis written by Weinan E. This book was released on 2021-09-22. Available in PDF, EPUB and Kindle. Book excerpt: This is a textbook for advanced undergraduate students and beginning graduate students in applied mathematics. It presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events). The book strikes a nice balance between mathematical formalism and intuitive arguments, a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation. Numerous exercises nicely supplement the main exposition.

Basics of Applied Stochastic Processes

2009-01-24 Mathematics
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Release : 2009-01-24
Genre : Mathematics
Kind : eBook
Book Rating : 326/5 ( reviews)

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Book Synopsis Basics of Applied Stochastic Processes by : Richard Serfozo

Download or read book Basics of Applied Stochastic Processes written by Richard Serfozo. This book was released on 2009-01-24. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Applied Stochastic Processes

2007-12-14 Mathematics
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Release : 2007-12-14
Genre : Mathematics
Kind : eBook
Book Rating : 762/5 ( reviews)

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Book Synopsis Applied Stochastic Processes by : Mario Lefebvre

Download or read book Applied Stochastic Processes written by Mario Lefebvre. This book was released on 2007-12-14. Available in PDF, EPUB and Kindle. Book excerpt: This book uses a distinctly applied framework to present the most important topics in stochastic processes, including Gaussian and Markovian processes, Markov Chains, Poisson processes, Brownian motion and queueing theory. The book also examines in detail special diffusion processes, with implications for finance, various generalizations of Poisson processes, and renewal processes. It contains numerous examples and approximately 350 advanced problems that reinforce both concepts and applications. Entertaining mini-biographies of mathematicians give an enriching historical context. The book includes statistical tables and solutions to the even-numbered problems at the end.

Applied Stochastic Differential Equations

2019-05-02 Business & Economics
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Release : 2019-05-02
Genre : Business & Economics
Kind : eBook
Book Rating : 085/5 ( reviews)

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Book Synopsis Applied Stochastic Differential Equations by : Simo Särkkä

Download or read book Applied Stochastic Differential Equations written by Simo Särkkä. This book was released on 2019-05-02. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

A Course in Applied Stochastic Processes

2006-09-15 Mathematics
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Release : 2006-09-15
Genre : Mathematics
Kind : eBook
Book Rating : 312/5 ( reviews)

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Book Synopsis A Course in Applied Stochastic Processes by : A. Goswami

Download or read book A Course in Applied Stochastic Processes written by A. Goswami. This book was released on 2006-09-15. Available in PDF, EPUB and Kindle. Book excerpt:

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