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Author : Alexander D. Wentzell
Publisher : McGraw-Hill International Book Company
Page : 326 pages
File Size : 19,1 MB
Release : 1981
Category : Mathematics
ISBN :
Author : Anatolij V. Skorochod
Publisher : Walter de Gruyter GmbH & Co KG
Page : 192 pages
File Size : 45,71 MB
Release : 2019-01-14
Category : Mathematics
ISBN : 3110618168
No detailed description available for "Lectures on the Theory of Stochastic Processes".
Author : Samuel Karlin
Publisher : Academic Press
Page : 577 pages
File Size : 25,34 MB
Release : 2012-12-02
Category : Mathematics
ISBN : 0080570410
The purpose, level, and style of this new edition conform to the tenets set forth in the original preface. The authors continue with their tack of developing simultaneously theory and applications, intertwined so that they refurbish and elucidate each other. The authors have made three main kinds of changes. First, they have enlarged on the topics treated in the first edition. Second, they have added many exercises and problems at the end of each chapter. Third, and most important, they have supplied, in new chapters, broad introductory discussions of several classes of stochastic processes not dealt with in the first edition, notably martingales, renewal and fluctuation phenomena associated with random sums, stationary stochastic processes, and diffusion theory.
Author : Pierre Brémaud
Publisher : Springer Nature
Page : 713 pages
File Size : 46,24 MB
Release : 2020-04-07
Category : Mathematics
ISBN : 3030401839
The ultimate objective of this book is to present a panoramic view of the main stochastic processes which have an impact on applications, with complete proofs and exercises. Random processes play a central role in the applied sciences, including operations research, insurance, finance, biology, physics, computer and communications networks, and signal processing. In order to help the reader to reach a level of technical autonomy sufficient to understand the presented models, this book includes a reasonable dose of probability theory. On the other hand, the study of stochastic processes gives an opportunity to apply the main theoretical results of probability theory beyond classroom examples and in a non-trivial manner that makes this discipline look more attractive to the applications-oriented student. One can distinguish three parts of this book. The first four chapters are about probability theory, Chapters 5 to 8 concern random sequences, or discrete-time stochastic processes, and the rest of the book focuses on stochastic processes and point processes. There is sufficient modularity for the instructor or the self-teaching reader to design a course or a study program adapted to her/his specific needs. This book is in a large measure self-contained.
Author : Zdzislaw Brzezniak
Publisher : Springer Science & Business Media
Page : 244 pages
File Size : 45,72 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 1447105338
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.
Author : James L. Melsa
Publisher : Courier Corporation
Page : 420 pages
File Size : 21,33 MB
Release : 2013-01-01
Category : Mathematics
ISBN : 0486490998
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.
Author : Samuel Karlin
Publisher : Elsevier
Page : 561 pages
File Size : 39,33 MB
Release : 1981-06-29
Category : Mathematics
ISBN : 008057050X
This Second Course continues the development of the theory and applications of stochastic processes as promised in the preface of A First Course. We emphasize a careful treatment of basic structures in stochastic processes in symbiosis with the analysis of natural classes of stochastic processes arising from the biological, physical, and social sciences.
Author : A. V. Skorokhod
Publisher : Courier Corporation
Page : 209 pages
File Size : 24,57 MB
Release : 2014-07-28
Category : Mathematics
ISBN : 0486781461
Three-part treatment introduces basics plus theory of stochastic differential equations and various limit theorems connected with convergence of sequence of Markov chains to Markov process with continuous time. 1965 edition.
Author : Kiyosi Itō
Publisher : American Mathematical Soc.
Page : 192 pages
File Size : 22,75 MB
Release : 2006
Category : Mathematics
ISBN : 9780821838983
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 areasof 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 forhis 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.
Author : K. L. Chung
Publisher : Springer Science & Business Media
Page : 332 pages
File Size : 20,3 MB
Release : 2013-03-09
Category : Mathematics
ISBN : 1475739737
This book provides an elementary introduction to probability theory and its applications. The emphasis is on essential probabilistic reasoning, amply motivated, explained and illustrated with a large number of carefully selected samples. The fourth edition adds material related to mathematical finance, as well as expansions on stable laws and martingales.