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Stochastic Processes and Applications

2014-11-19 Mathematics
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Release : 2014-11-19
Genre : Mathematics
Kind : eBook
Book Rating : 239/5 ( reviews)

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Book Synopsis Stochastic Processes and Applications by : Grigorios A. Pavliotis

Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis. This book was released on 2014-11-19. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Stochastic Processes

2017-02-24 Mathematics
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Release : 2017-02-24
Genre : Mathematics
Kind : eBook
Book Rating : 841/5 ( reviews)

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Book Synopsis Stochastic Processes by : Pierre Del Moral

Download or read book Stochastic Processes written by Pierre Del Moral. This book was released on 2017-02-24. Available in PDF, EPUB and Kindle. Book excerpt: Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.

Stochastic Processes with Applications to Finance

2016-04-19 Business & Economics
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Release : 2016-04-19
Genre : Business & Economics
Kind : eBook
Book Rating : 846/5 ( reviews)

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Book Synopsis Stochastic Processes with Applications to Finance by : Masaaki Kijima

Download or read book Stochastic Processes with Applications to Finance written by Masaaki Kijima. This book was released on 2016-04-19. Available in PDF, EPUB and Kindle. Book excerpt: Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools

An Introduction to Stochastic Processes and Their Applications

2012-12-06 Mathematics
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Release : 2012-12-06
Genre : Mathematics
Kind : eBook
Book Rating : 421/5 ( reviews)

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Book Synopsis An Introduction to Stochastic Processes and Their Applications by : Petar Todorovic

Download or read book An Introduction to Stochastic Processes and Their Applications written by Petar Todorovic. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: This text on stochastic processes and their applications is based on a set of lectures given during the past several years at the University of California, Santa Barbara (UCSB). It is an introductory graduate course designed for classroom purposes. Its objective is to provide graduate students of statistics with an overview of some basic methods and techniques in the theory of stochastic processes. The only prerequisites are some rudiments of measure and integration theory and an intermediate course in probability theory. There are more than 50 examples and applications and 243 problems and complements which appear at the end of each chapter. The book consists of 10 chapters. Basic concepts and definitions are pro vided in Chapter 1. This chapter also contains a number of motivating ex amples and applications illustrating the practical use of the concepts. The last five sections are devoted to topics such as separability, continuity, and measurability of random processes, which are discussed in some detail. The concept of a simple point process on R+ is introduced in Chapter 2. Using the coupling inequality and Le Cam's lemma, it is shown that if its counting function is stochastically continuous and has independent increments, the point process is Poisson. When the counting function is Markovian, the sequence of arrival times is also a Markov process. Some related topics such as independent thinning and marked point processes are also discussed. In the final section, an application of these results to flood modeling is presented.

Introduction to Probability and Stochastic Processes with Applications

2014-08-21 Mathematics
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Release : 2014-08-21
Genre : Mathematics
Kind : eBook
Book Rating : 960/5 ( reviews)

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Book Synopsis Introduction to Probability and Stochastic Processes with Applications by : Liliana Blanco Castañeda

Download or read book Introduction to Probability and Stochastic Processes with Applications written by Liliana Blanco Castañeda. This book was released on 2014-08-21. Available in PDF, EPUB and Kindle. Book excerpt: An easily accessible, real-world approach to probability and stochastic processes Introduction to Probability and Stochastic Processes with Applications presents a clear, easy-to-understand treatment of probability and stochastic processes, providing readers with a solid foundation they can build upon throughout their careers. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, mathematics, and operations research, the book features numerous real-world examples that illustrate how random phenomena occur in nature and how to use probabilistic techniques to accurately model these phenomena. The authors discuss a broad range of topics, from the basic concepts of probability to advanced topics for further study, including Itô integrals, martingales, and sigma algebras. Additional topical coverage includes: Distributions of discrete and continuous random variables frequently used in applications Random vectors, conditional probability, expectation, and multivariate normal distributions The laws of large numbers, limit theorems, and convergence of sequences of random variables Stochastic processes and related applications, particularly in queueing systems Financial mathematics, including pricing methods such as risk-neutral valuation and the Black-Scholes formula Extensive appendices containing a review of the requisite mathematics and tables of standard distributions for use in applications are provided, and plentiful exercises, problems, and solutions are found throughout. Also, a related website features additional exercises with solutions and supplementary material for classroom use. Introduction to Probability and Stochastic Processes with Applications is an ideal book for probability courses at the upper-undergraduate level. The book is also a valuable reference for researchers and practitioners in the fields of engineering, operations research, and computer science who conduct data analysis to make decisions in their everyday work.

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