Matrix-Analytic Methods in Stochastic Models, Chakravarthy, S.

Автор: Levent Aydin, H. Sesil Artem, Selda Oter
Название: Designing engineering structures using stochastic optimization methods
ISBN: 0367510022 ISBN-13(EAN): 9780367510022
Издательство: Taylor&Francis
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Цена: 67570.00 T
Наличие на складе: Нет в наличии.
Описание: The book reviews mechanical engineering design optimization using stochastic methods. It introduces students and design engineers to practical aspects of complicated mathematical optimization procedures, and outlines steps for wide range of selected engineering design problems.

Автор: Serkan Eryilmaz
Название: Discrete Stochastic Models and Applications for Reliability Engineering and Statistical Quality Control
ISBN: 0367749831 ISBN-13(EAN): 9780367749835
Издательство: Taylor&Francis
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Цена: 148010.00 T
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Описание: This book provides real-life examples and illustrations of models in reliability engineering and statistical quality control and establishes a connection between the theoretical framework and their engineering applications.

Автор: Gulisashvili
Название: Analytically Tractable Stochastic Stock Price Models
ISBN: 3642312136 ISBN-13(EAN): 9783642312137
Издательство: Springer
Цена: 37170.00 T
Наличие на складе: Есть
Описание: For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.

Автор: Musiela Marek
Название: Martingale Methods in Financial Modelling
ISBN: 3540209662 ISBN-13(EAN): 9783540209669
Издательство: Springer
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Цена: 78250.00 T
Наличие на складе: Есть
Описание: In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

Автор: Fayolle Guy, Iasnogorodski Roudolf, Malyshev Vadim
Название: Random Walks in the Quarter Plane: Algebraic Methods, Boundary Value Problems, Applications to Queueing Systems and Analytic Combinatorics
ISBN: 331984525X ISBN-13(EAN): 9783319845258
Издательство: Springer
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Цена: 93160.00 T
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Описание: Introduction and History.- I The General Theory. - Probabilistic Background. - Foundations of the Analytic Approach. - The Case of a Finite Group.- II Applications to Queueing Systems and Analytic Combinatorics.- A Two-Coupled Processor Model. - References.

Автор: Lee
Название: Analytic Theory of It?-Stochastic Differential Equations with Non-smooth Coefficients
ISBN: 981193830X ISBN-13(EAN): 9789811938306
Издательство: Springer
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Цена: 46570.00 T
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Описание: Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory.

Автор: Chirikjian, Gregory S.
Название: Stochastic models, information theory, and lie groups, volume 1
ISBN: 081764802X ISBN-13(EAN): 9780817648022
Издательство: Springer
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Цена: 83850.00 T
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Описание: This unique two-volume set presents the subjects of stochastic processes, information theory, and Lie groups in a unified setting, thereby building bridges between fields that are rarely studied by the same people.

Автор: Guy Latouche; Vaidyanathan Ramaswami; Jay Sethuram
Название: Matrix-Analytic Methods in Stochastic Models
ISBN: 1489994246 ISBN-13(EAN): 9781489994240
Издательство: Springer
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Цена: 102480.00 T
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Описание:

Factorization properties for a MAP-modulated fluid flow model under server vacation policies.- A compressed cyclic reduction for QBDs with low rank upper and lower transitions.- Bilateral matrix-exponential distribution.- AutoCAT: Automated Product-Form Solution of Stochastic Models.- Markovian trees subject to catastrophes: Would they survive forever?.- Majorization and Extremal PH-Distributions.- Acceptance-rejection methods for generating random variates from matrix exponential distributions and rational arrival processes.- Revisit to the tail asymptotics of the double QBD process: Refinement and complete solutions for the coordinate and diagonal directions.- Two-dimensional fluid queues with temporary assistance.- A Fluid Introduction To Brownian Motion & Stochastic Integration.- The impact of dampening demand variability in a production/inventory system with multiple retailers.

Автор: G. LaTouche, V. Ramaswami
Название: Introduction to Matrix Analytic Methods in Stochastic Modeling
ISBN: 0898714257 ISBN-13(EAN): 9780898714258
Издательство: Mare Nostrum (Eurospan)
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Цена: 81090.00 T
Наличие на складе: Невозможна поставка.
Описание: The authors present the basic mathematical ideas and algorithms of the matrix analytic theory in a readable, up-to-date, and comprehensive manner. Many new proofs that emphasize the unity of the matrix analytic approach are included.

Автор: Chen
Название: Stochastic Methods for Modeling and Predicting Complex Dynamical Systems
ISBN: 3031222482 ISBN-13(EAN): 9783031222481
Издательство: Springer
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Цена: 37260.00 T
Наличие на складе: Поставка под заказ.
Описание: This book enables readers to understand, model, and predict complex dynamical systems using new methods with stochastic tools. The author presents a unique combination of qualitative and quantitative modeling skills, novel efficient computational methods, rigorous mathematical theory, as well as physical intuitions and thinking. An emphasis is placed on the balance between computational efficiency and modeling accuracy, providing readers with ideas to build useful models in practice. Successful modeling of complex systems requires a comprehensive use of qualitative and quantitative modeling approaches, novel efficient computational methods, physical intuitions and thinking, as well as rigorous mathematical theories. As such, mathematical tools for understanding, modeling, and predicting complex dynamical systems using various suitable stochastic tools are presented. Both theoretical and numerical approaches are included, allowing readers to choose suitable methods in different practical situations. The author provides practical examples and motivations when introducing various mathematical and stochastic tools and merges mathematics, statistics, information theory, computational science, and data science. In addition, the author discusses how to choose and apply suitable mathematical tools to several disciplines including pure and applied mathematics, physics, engineering, neural science, material science, climate and atmosphere, ocean science, and many others. Readers will not only learn detailed techniques for stochastic modeling and prediction, but will develop their intuition as well. Important topics in modeling and prediction including extreme events, high-dimensional systems, and multiscale features are discussed.

Автор: Guy Fayolle; Roudolf Iasnogorodski; Vadim Malyshev
Название: Random Walks in the Quarter Plane
ISBN: 3319509284 ISBN-13(EAN): 9783319509280
Издательство: Springer
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Цена: 93160.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Introduction and History.- I The General Theory. - Probabilistic Background. - Foundations of the Analytic Approach. - The Case of a Finite Group.- II Applications to Queueing Systems and Analytic Combinatorics.- A Two-Coupled Processor Model. - References.

Автор: Muller
Название: Comparison Methods for Stochastic Models & Risks
ISBN: 0471494461 ISBN-13(EAN): 9780471494461
Издательство: Wiley
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Цена: 153070.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This work covers stochastic order relations, which provide insight into the behaviour of complex stochastic (random) systems and enables the user to collect comparative data. Application areas include queuing systems, actuarial and financial risk, decision making, and stochastic simulation.