Stochastic Processes General Theory
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Author | : Malempati M. Rao |
Publisher | : Springer Science & Business Media |
Total Pages | : 629 |
Release | : 2013-03-14 |
Genre | : Mathematics |
ISBN | : 1475765983 |
Download Stochastic Processes: General Theory Book in PDF, Epub and Kindle
Stochastic Processes: General Theory starts with the fundamental existence theorem of Kolmogorov, together with several of its extensions to stochastic processes. It treats the function theoretical aspects of processes and includes an extended account of martingales and their generalizations. Various compositions of (quasi- or semi-)martingales and their integrals are given. Here the Bochner boundedness principle plays a unifying role: a unique feature of the book. Applications to higher order stochastic differential equations and their special features are presented in detail. Stochastic processes in a manifold and multiparameter stochastic analysis are also discussed. Each of the seven chapters includes complements, exercises and extensive references: many avenues of research are suggested. The book is a completely revised and enlarged version of the author's Stochastic Processes and Integration (Noordhoff, 1979). The new title reflects the content and generality of the extensive amount of new material. Audience: Suitable as a text/reference for second year graduate classes and seminars. A knowledge of real analysis, including Lebesgue integration, is a prerequisite.
Author | : Robert Shevilevich Lipt︠s︡er |
Publisher | : Springer Science & Business Media |
Total Pages | : 428 |
Release | : 2001 |
Genre | : Mathematics |
ISBN | : 9783540639282 |
Download Statistics of Random Processes II Book in PDF, Epub and Kindle
"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Author | : Jean Jacod |
Publisher | : Springer Science & Business Media |
Total Pages | : 620 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 3662025140 |
Download Limit Theorems for Stochastic Processes Book in PDF, Epub and Kindle
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 elementary introduction to the main topics: theory of martingales and 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. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students.
Author | : Pierre Brémaud |
Publisher | : Springer Nature |
Total Pages | : 713 |
Release | : 2020-04-07 |
Genre | : Mathematics |
ISBN | : 3030401839 |
Download Probability Theory and Stochastic Processes Book in PDF, Epub and Kindle
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 | : Pierre Del Moral |
Publisher | : CRC Press |
Total Pages | : 866 |
Release | : 2017-02-24 |
Genre | : Mathematics |
ISBN | : 1498701841 |
Download Stochastic Processes Book in PDF, Epub and Kindle
Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
Author | : D.J. Daley |
Publisher | : Springer Science & Business Media |
Total Pages | : 487 |
Release | : 2006-04-10 |
Genre | : Mathematics |
ISBN | : 0387215646 |
Download An Introduction to the Theory of Point Processes Book in PDF, Epub and Kindle
Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereology, to name but a few areas. The authors have made a major reshaping of their work in their first edition of 1988 and now present their Introduction to the Theory of Point Processes in two volumes with sub-titles Elementary Theory and Models and General Theory and Structure. Volume One contains the introductory chapters from the first edition, together with an informal treatment of some of the later material intended to make it more accessible to readers primarily interested in models and applications. The main new material in this volume relates to marked point processes and to processes evolving in time, where the conditional intensity methodology provides a basis for model building, inference, and prediction. There are abundant examples whose purpose is both didactic and to illustrate further applications of the ideas and models that are the main substance of the text.
Author | : Sidney I. Resnick |
Publisher | : Springer Science & Business Media |
Total Pages | : 640 |
Release | : 2013-12-11 |
Genre | : Mathematics |
ISBN | : 1461203872 |
Download Adventures in Stochastic Processes Book in PDF, Epub and Kindle
Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. This text offers easy access to this fundamental topic for many students of applied sciences at many levels. It includes examples, exercises, applications, and computational procedures. It is uniquely useful for beginners and non-beginners in the field. No knowledge of measure theory is presumed.
Author | : Harald Cramér |
Publisher | : Courier Corporation |
Total Pages | : 368 |
Release | : 2013-01-15 |
Genre | : Mathematics |
ISBN | : 0486153355 |
Download Stationary and Related Stochastic Processes Book in PDF, Epub and Kindle
This graduate-level text offers a comprehensive account of the general theory of stationary processes and develops the foundations of the general theory of stochastic processes, examines processes with a continuous-time parameter, more. 1967 edition.
Author | : Gennady Samorodnitsky |
Publisher | : Springer |
Total Pages | : 419 |
Release | : 2016-11-09 |
Genre | : Mathematics |
ISBN | : 3319455753 |
Download Stochastic Processes and Long Range Dependence Book in PDF, Epub and Kindle
This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or absence of long memory. The first few chapters serve as an overview of the general theory of stochastic processes which gives the reader sufficient background, language, and models for the subsequent discussion of long memory. The later chapters devoted to long memory begin with an introduction to the subject along with a brief history of its development, followed by a presentation of what is currently the best known approach, applicable to stationary processes with a finite second moment. The book concludes with a chapter devoted to the author’s own, less standard, point of view of long memory as a phase transition, and even includes some novel results. Most of the material in the book has not previously been published in a single self-contained volume, and can be used for a one- or two-semester graduate topics course. It is complete with helpful exercises and an appendix which describes a number of notions and results belonging to the topics used frequently throughout the book, such as topological groups and an overview of the Karamata theorems on regularly varying functions.
Author | : Sergio Fajardo |
Publisher | : Cambridge University Press |
Total Pages | : 136 |
Release | : 2017-03-30 |
Genre | : Mathematics |
ISBN | : 1108619266 |
Download Model Theory of Stochastic Processes Book in PDF, Epub and Kindle
Since their inception, the Perspectives in Logic and Lecture Notes in Logic series have published seminal works by leading logicians. Many of the original books in the series have been unavailable for years, but they are now in print once again. In this volume, the fourteenth publication in the Lecture Notes in Logic series, Fajardo and Keisler present new research combining probability theory and mathematical logic. It is a general study of stochastic processes using ideas from model theory, a key central theme being the question, 'When are two stochastic processes alike?' The authors assume some background in nonstandard analysis, but prior knowledge of model theory and advanced logic is not necessary. This volume will appeal to mathematicians willing to explore new developments with an open mind.