De Aller-Bedste Bøger - over 12 mio. danske og engelske bøger
Levering: 1 - 2 hverdage

Bøger i Probability Theory and Stochastic Modelling serien

Filter
Filter
Sorter efterSorter Serie rækkefølge
  • af Fred Espen Benth, Ole E. Barndorff-Nielsen & Almut E. D. Veraart
    1.375,95 kr.

    Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development.Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context.Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

  • af Gilles Pages
    1.668,95 kr.

    Vector Quantization, a pioneering discretization method based on nearest neighbor search, emerged in the 1950s primarily in signal processing, electrical engineering, and information theory. Later in the 1960s, it evolved into an automatic classification technique for generating prototypes of extensive datasets. In modern terms, it can be recognized as a seminal contribution to unsupervised learning through the k-means clustering algorithm in data science.In contrast, Functional Quantization, a more recent area of study dating back to the early 2000s, focuses on the quantization of continuous-time stochastic processes viewed as random vectors in Banach function spaces. This book distinguishes itself by delving into the quantization of random vectors with values in a Banach space¿a unique feature of its content. Its main objectives are twofold: first, to offer a comprehensive and cohesive overview of the latest developments as well as several new results in optimal quantization theory, spanning both finite and infinite dimensions, building upon the advancements detailed in Graf and Luschgy's Lecture Notes volume. Secondly, it serves to demonstrate how optimal quantization can be employed as a space discretization method within probability theory and numerical probability, particularly in fields like quantitative finance. The main applications to numerical probability are the controlled approximation of regular and conditional expectations by quantization-based cubature formulas, with applications to time-space discretization of Markov processes, typically Brownian diffusions, by quantization trees.While primarily catering to mathematicians specializing in probability theory and numerical probability, this monograph also holds relevance for data scientists, electrical engineers involved in data transmission, and professionals in economics and logistics who are intrigued by optimal allocation problems.

  • - Theory and Applications
    af Umut Cetin & Albina Danilova
    1.356,95 - 1.360,95 kr.

    The construction of a Dynamic Markov Bridge, a useful extension of Markov bridge theory, addresses several important questions concerning how financial markets function, among them: how the presence of an insider trader impacts market efficiency;

  • - Linear Theory and Applications to Non-Linear Filtering
    af Boris L. Rozovsky
    1.275,95 kr.

    This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connection to random dynamical systems.

  • af Peter E. Kloeden & Xiaoying Han
    1.544,95 - 1.816,95 kr.

    This book is intended to make recent results on the derivation of higher order numerical schemes for random ordinary differential equations (RODEs) available to a broader readership, and to familiarize readers with RODEs themselves as well as the closely associated theory of random dynamical systems.

  • af Emmanuel Rio
    980,95 - 1.497,95 kr.

  • - Algebraic Methods, Boundary Value Problems, Applications to Queueing Systems and Analytic Combinatorics
    af Guy Fayolle, Roudolf Iasnogorodski & Vadim Malyshev
    1.074,95 - 1.346,95 kr.

  • - With Emphasis on the Creation-Annihilation Techniques
    af Nicolas Bouleau & Laurent Denis
    1.360,95 - 1.369,95 kr.

    A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals.

  • af Erich Hausler & Harald Luschgy
    984,95 - 1.163,95 kr.

    The authors present a concise but complete exposition of the mathematical theory of stable convergence and give various applications in different areas of probability theory and mathematical statistics to illustrate the usefulness of this concept.

  • - At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming
    af Jean-Philippe Chancelier, Michel De Lara, Pierre Carpentier & mfl.
    1.466,95 - 1.533,95 kr.

    The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues.

  • af Oleg Klesov
    939,95 - 1.542,95 kr.

    Applications of the described theory include Gibbs fields, spin glasses, polymer models, image analysis and random shapes.Limit theorems form the backbone of probability theory and statistical theory alike.

  • af David Applebaum
    842,95 - 1.025,95 kr.

    Probability theory on compact Lie groups deals with the interaction between "chance" and "symmetry," a beautiful area of mathematics of great interest in its own sake but which is now also finding increasing applications in statistics and engineering (particularly with respect to signal processing).

  • - Theory and Applications
    af Vidyadhar Mandrekar & Barbara Rüdiger
    1.052,95 - 1.212,95 kr.

    Considering Poisson random measures as the driving sources for stochastic (partial) differential equations allows us to incorporate jumps and to model sudden, unexpected phenomena.

  • af Mogens Bladt & Bo Friis Nielsen
    826,95 - 915,95 kr.

  • - From Linear to Fully Nonlinear Theory
    af Jianfeng Zhang
    498,95 - 997,95 kr.

  • - Dynamic Programming Principle
    af Makiko Nisio
    1.361,95 - 1.562,95 kr.

    This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons.

  • af Rene Carmona & Francois Delarue
    2.968,95 kr.

  • - Mean Field FBSDEs, Control, and Games
    af Rene Carmona & Francois Delarue
    1.777,95 kr.

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • - Mean Field Games with Common Noise and Master Equations
    af Rene Carmona & Francois Delarue
    1.486,95 kr.

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • af Valerii V. Buldygin, Karl-Heinz Indlekofer, Oleg I. Klesov & mfl.
    802,95 kr.

    It is aimed at researchers and students working in probability, the theory of stochastic processes, operations research, mathematical statistics, the theory of functions, analytic number theory and complex analysis, as well as economists with a mathematical background.

  • af Hiroshi Kunita
    1.277,95 kr.

    Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.

  • af Valerii V. Buldygin, Karl-Heinz Indlekofer, Oleg I. Klesov & mfl.
    1.288,95 kr.

    It is aimed at researchers and students working in probability, the theory of stochastic processes, operations research, mathematical statistics, the theory of functions, analytic number theory and complex analysis, as well as economists with a mathematical background.

  • - Dynamic Programming and HJB Equations
    af Giorgio Fabbri, Fausto Gozzi & Andrzej Swiech
    2.428,95 kr.

    With a Contribution by M. Fuhrman and G. Tessitore

  • - Probability on Graphs and Trees, Markov Chains and Random Fields, Entropy and Coding
    af Pierre Bremaud
    664,95 - 1.004,95 kr.

  • af Ilya Molchanov
    1.668,95 kr.

    It shows the various interdisciplinary relationships of random set theory within other parts of mathematics, and at the same time fixes terminology and notation that often vary in the literature, establishing it as a natural part of modern probability theory and providing a platform for future development.

  • af Albert N. Shiryaev
    1.375,95 kr.

    This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data.

  • - Mean Field Games with Common Noise and Master Equations
    af Rene Carmona & Francois Delarue
    1.477,95 kr.

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • - Mean Field FBSDEs, Control, and Games
    af Rene Carmona
    1.769,95 kr.

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • af Ioannis Karatzas & Steven Shreve
    1.564,95 kr.

    This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices.