Asymptotic Methods in the Theory of Gaussian Processes and Fields, Vladimir I. Piterbarg
Автор: Kabanov Yuri, Pergamenshchikov Sergei Название: Two-Scale Stochastic Systems / Asymptotic Analysis and Control ISBN: 3540653325 ISBN-13(EAN): 9783540653325 Издательство: Springer Рейтинг: Цена: 93160.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation.
Автор: Reinhard Hopfner Название: Asymptotic Statistics: With a View to Stochastic Processes ISBN: 3110250241 ISBN-13(EAN): 9783110250244 Издательство: Walter de Gruyter Цена: 49530.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This textbook is devoted to the general asymptotic theory of statistical experiments. Local asymptotics for statistical models in the sense of local asymptotic (mixed) normality or local asymptotic quadraticity make up the core of the book. Numerous examples deal with classical independent and identically distributed models and with stochastic processes. The book can be read in different ways, according to possibly different mathematical preferences of the reader. One reader may focus on the statistical theory, and thus on the chapters about Gaussian shift models, mixed normal and quadratic models, and on local asymptotics where the limit model is a Gaussian shift or a mixed normal or a quadratic experiment (LAN, LAMN, LAQ). Another reader may prefer an introduction to stochastic process models where given statistical results apply, and thus concentrate on subsections or chapters on likelihood ratio processes and some diffusion type models where LAN, LAMN or LAQ occurs. Finally, readers might put together both aspects. The book is suitable for graduate students starting to work in statistics of stochastic processes, as well as for researchers interested in a precise introduction to this area.
Автор: Dasgupta, Anirban Название: Asymptotic theory of statistics and probability ISBN: 0387759700 ISBN-13(EAN): 9780387759708 Издательство: Springer Рейтинг: Цена: 93160.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This unique book delivers an encyclopedic treatment of classic as well as contemporary large sample theory, dealing with both statistical problems and probabilistic issues and tools.
Автор: Emmanuel Rio Название: Asymptotic Theory of Weakly Dependent Random Processes ISBN: 3662543222 ISBN-13(EAN): 9783662543221 Издательство: Springer Рейтинг: Цена: 102480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Ces notes sont consacr es aux in galit s et aux th or mes limites classiques pour les suites de variables al atoires absolument r guli res ou fortement m langeantes au sens de Rosenblatt. Le but poursuivi est de donner des outils techniques pour l' tude des processus faiblement d pendants aux statisticiens ou aux probabilistes travaillant sur ces processus.
Автор: N. Balakrishnan; I.A.V.B. Ibragimov; V.B. Nevzorov Название: Asymptotic Methods in Probability and Statistics with Applications ISBN: 0817642145 ISBN-13(EAN): 9780817642143 Издательство: Springer Рейтинг: Цена: 121110.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The conference was organized jointly by St. Petersburg State University, St. Petersburg branch of Mathematical Institute, and the Euler Institute, and was partially sponsored by the Russian Foundation of Basic Researches.
Автор: Lucien Le Cam Название: Asymptotic Methods in Statistical Decision Theory ISBN: 1461293693 ISBN-13(EAN): 9781461293699 Издательство: Springer Рейтинг: Цена: 222670.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Otherwise the reader is expected to possess some mathematical maturity, but not really a great deal of detailed mathematical knowledge. An "experiment" is a mathe- matical abstraction intended to describe the basic features of an observational process if that process is contemplated in advance of its implementation.
Название: Large deviations and asymptotic methods in finance ISBN: 3319116045 ISBN-13(EAN): 9783319116044 Издательство: Springer Рейтинг: Цена: 149060.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility.- Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model.- Henry-Labordere: Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry.- Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility.- Osajima: General Asymptotics of Wiener Functionals and Application to Implied Volatilities.- Bayer, Laurence: Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model.- Keller-Ressel, Teichmann: A Remark on Gatheral's 'Most-likely Path Approximation' of Implied Volatility.- Gatheral, Wang: Implied volatility from local volatility: a path integral approach.- Gerhold, Friz: Don't Stay Local - Extrapolation Analytics for Dupire's Local Volatility.- Gulisashvili, Teichmann: Laplace Principle Expansions and Short Time Asymptotics for Affine Processes.- Lorig, Pascucci, Pagliarani: Asymptotics for d-dimensional Levy-type Processes.- Takahashi: An Asymptotic Expansion Approach in Finance.- Baudoin, Ouyang: On small time asymptotics for rough differential equations driven by fractional Brownian motions.- Lucic: On singularities in the Heston model.- Bayer, Friz, Laurence: On the probability density function of baskets.- Conforti, De Marco, Deuschel: On small-noise equations with degenerate limiting system arising from volatility models.- Pham: Long time asymptotic problems for optimal investment.- Spiliopoulos: Systemic Risk and Default Clustering for Large Financial Systems.- Jacod, Rosenbaum: Asymptotic Properties of a Volatility Estimator.
Автор: Peter K. Friz; Jim Gatheral; Archil Gulisashvili; Название: Large Deviations and Asymptotic Methods in Finance ISBN: 3319385127 ISBN-13(EAN): 9783319385129 Издательство: Springer Рейтинг: Цена: 111790.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility.- Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model.- Henry-Labordere: Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry.- Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility.- Osajima: General Asymptotics of Wiener Functionals and Application to Implied Volatilities.- Bayer, Laurence: Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model.- Keller-Ressel, Teichmann: A Remark on Gatheral's 'Most-likely Path Approximation' of Implied Volatility.- Gatheral, Wang: Implied volatility from local volatility: a path integral approach.- Gerhold, Friz: Don't Stay Local - Extrapolation Analytics for Dupire's Local Volatility.- Gulisashvili, Teichmann: Laplace Principle Expansions and Short Time Asymptotics for Affine Processes.- Lorig, Pascucci, Pagliarani: Asymptotics for d-dimensional Levy-type Processes.- Takahashi: An Asymptotic Expansion Approach in Finance.- Baudoin, Ouyang: On small time asymptotics for rough differential equations driven by fractional Brownian motions.- Lucic: On singularities in the Heston model.- Bayer, Friz, Laurence: On the probability density function of baskets.- Conforti, De Marco, Deuschel: On small-noise equations with degenerate limiting system arising from volatility models.- Pham: Long time asymptotic problems for optimal investment.- Spiliopoulos: Systemic Risk and Default Clustering for Large Financial Systems.- Jacod, Rosenbaum: Asymptotic Properties of a Volatility Estimator.
Автор: Donald Dawson; Rafal Kulik; Mohamedou Ould Haye; B Название: Asymptotic Laws and Methods in Stochastics ISBN: 1493950118 ISBN-13(EAN): 9781493950119 Издательство: Springer Рейтинг: Цена: 88500.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Preface.- Weak Convergence of Self-normalized Sums Processes (M. Csцrgő, Z. Hu).- Precise Asymptotics in Strong Limit Theorems for Self-normalized Sums of Multidimensionally Indexed Random Variables (D. Deng, Z. Hu).- The Self-normalized Asymptotic Results for Linear Processes (M. Peligrad, H. Sang).- Some results and problems for anisotropic random walk on the plane (E. Csбki, A. Fцldes, P. Rйvйsz).- On the Area of the Largest Square Covered by a Comb-Random-Walk (P. Rйvйsz).- A Compensator Characterization of Planar Point Processes (G. Ivanoff).- Central Limit Theorem Related to MDR-method (A. Bulinski).- An Extension of a Theorem of Hechner and Heinkel (D. Li, Y. Qi, A. Rosalsky).- Quenched Invariance Principles via Martingale Approximation (M. Peligrad).- An Extended Martingale Limit Theorem with Application to Specification Test for Nonlinear Co-integrating Regression Model (Q. Wang).- Change Point Detection with Stable AR(1) Errors (A. Bazarova, I. Berkes, L. Horvath).- Change-point Detection Under Dependence Based on Two-sample U-statistics (H. Dehling, R. Fried, I. Garcia, M. Wendler).- Time Series Models in Change Point Detection Tests (E. Gombay).- Diagnostic Test for Innovations of ARMA Musing Empirical processes of Residuals (K. Ghoudi, B. Remillard).- Short Range and Long Range Dependence (M. Rosenblatt).- Kernel Method for Stationary Tails: from Discrete to Continuous (H. Dai, D. Dawson, Y. Zhao).- Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes (P. Glynn, R. Wang).- Kellerer's Theorem Revisited (F. Hirsch, B. Roynette, M. Yor).- Likelihood and Ranking Methods (M. Alvo).- Asymptotic and Finite-sample Properties in Statistical Estimation (J. Jurečkovб).- Publications of Miklόs Csцrgő.
Автор: N. Balakrishnan; I.A.V.B. Ibragimov; V.B. Nevzorov Название: Asymptotic Methods in Probability and Statistics with Applications ISBN: 1461266637 ISBN-13(EAN): 9781461266631 Издательство: Springer Рейтинг: Цена: 46570.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The conference was organized jointly by St. Petersburg State University, St. Petersburg branch of Mathematical Institute, and the Euler Institute, and was partially sponsored by the Russian Foundation of Basic Researches.
Автор: Donald Dawson; Rafal Kulik; Mohamedou Ould Haye; B Название: Asymptotic Laws and Methods in Stochastics ISBN: 1493930753 ISBN-13(EAN): 9781493930753 Издательство: Springer Рейтинг: Цена: 88500.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: "This book contains articles arising from a conference in honour of mathematician-statistician Miklaos Cseorgio on the occasion of his 80th birthday, held in Ottawa in July 2012"--Page 4 of cover.
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