Автор: Gallager Название: Stochastic Processes ISBN: 1107039754 ISBN-13(EAN): 9781107039759 Издательство: Cambridge Academ Рейтинг: Цена: 74970.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This definitive textbook provides a solid introduction to stochastic processes, covering both theory and applications. It is written by one of the world`s leading information theorists, evolving over twenty years of graduate classroom teaching, and is accompanied by over 300 exercises, with online solutions for instructors.
Автор: Kyprianou, Andreas E. Название: Fluctuations of Levy Processes with Applications ISBN: 3642376312 ISBN-13(EAN): 9783642376313 Издательство: Springer Рейтинг: Цена: 60550.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book examines the theory and application of Levy processes from the perspective of their path fluctuations. It covers the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour.
Автор: Applebaum, David Название: Levy processes and stochastic calculus ISBN: 0521738652 ISBN-13(EAN): 9780521738651 Издательство: Cambridge Academ Рейтинг: Цена: 88710.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: A unique development of these two subjects contained in a single volume. New topics featured in this fully revised edition include regular variation and subexponential distributions, characterisation of Levy processes with finite variation, multiple Wiener-Levy integrals and chaos decomposition, and introductions to Malliavin calculus and stability theory for Levy-driven SDEs.
Автор: Rachev, Svetlozar T. Kim, Young Shim Bianchi, Mich Название: Financial models with levy processes and volatility clustering ISBN: 0470482354 ISBN-13(EAN): 9780470482353 Издательство: Wiley Рейтинг: Цена: 89760.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: * In this book, authors Rachev, Kim, Bianchi, and Fabozzi present readers with the notions of risk and their corresponding performance measures.
Автор: Kay Название: Intuitive Probability and Random Processes using MATLAB® ISBN: 0387241574 ISBN-13(EAN): 9780387241579 Издательство: Springer Рейтинг: Цена: 102480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Offering an introduction to probability and random processes, this book merges theory with practice. It is suitable for undergraduate and first-year graduate students in engineering, practicing engineers as well as others having appropriate mathematical background.
Автор: Liptser Robert S., Shiryaev Albert N., Aries A.B. Название: Statistics of Random Processes / II. Applications ISBN: 3540639284 ISBN-13(EAN): 9783540639282 Издательство: Springer Рейтинг: Цена: 111790.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics. In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years.
Автор: Liptser Robert S., Shiryaev Albert N., Aries B. Название: Statistics of Random Processes / I. General Theory ISBN: 3540639292 ISBN-13(EAN): 9783540639299 Издательство: Springer Рейтинг: Цена: 79190.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics. In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years.
Автор: Jacod Jean, Shiryaev Albert N. Название: Limit Theorems for Stochastic Processes ISBN: 3540439323 ISBN-13(EAN): 9783540439325 Издательство: Springer Рейтинг: Цена: 121110.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an introduction to the theory of martingales and semimartingales, random measures stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. The second edition contains some additions to the text and references. Some parts are completely rewritten.
Автор: Friz Название: Multidimensional Stochastic Processes as Rough Paths ISBN: 0521876079 ISBN-13(EAN): 9780521876070 Издательство: Cambridge Academ Рейтинг: Цена: 98210.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Rough paths may play an important role in the future analysis of stochastic partial differential equations. This up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.
Автор: Beran Jan Название: Long Memory Processes ISBN: 3642355110 ISBN-13(EAN): 9783642355110 Издательство: Springer Рейтинг: Цена: 130430.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This detailed review of long memory processes includes a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Includes proofs and data examples.
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