Stochastics

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models.

Now available in paperback for the first time; essential reading for all students of probability theory.

Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research.

This book is mainly devoted to the dynamics of the one-dimensional nonlinear stochastic waves.

This three-chapter volume concerns the distributions of certain functionals of Levy processes.

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The book presents the methods of analysis of dynamical mechanical systems subjected to stochastic excitations in form of random trains of impulses.

This book presents a systematic treatment of Markov chains, diffusion processes and state space models, as well as alternative approaches to Markov chains through stochastic difference equations and stochastic differential equations.

Das Buch bietet eine Einführung in Wahrscheinlichkeitsmodelle und die Schätzung solcher Modelle auf der Grundlage von Beobachtungen.

This book is intended for use as the textbook in a second course in applied statistics that covers topics in multiple regression and analysis of variance at an intermediate level.

This book has two-fold aims.

The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation.

A study of large deviations for empirical measures and vector-valued additive functionals of general state space Markov chains.

This book develops robust design and assessment of product and production from viewpoint of system theory, which is quantized with the introduction of brand new concept of preferable probability and its assessment.

Unsupervised domain adaptation (UDA) is a challenging problem in machine learning where the model is trained on a source domain with labeled data and tested on a target domain with unlabeled data.

This book introduces the Learning-Augmented Network Optimization (LANO) paradigm, which interconnects network optimization with the emerging AI theory and algorithms and has been receiving a growing attention in network research.

This book was created with the goal of helping students transition from the theoretical and methodological concepts of statistical inference to their implementation on a computer.

This textbook provides an accessible approach to concepts and applications of stochastic processes ideal for a wide range of readers.

Let {Xti t ~ O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "e;excursions away from 0,"e; that is pieces of path X.

An English translation now joins the Russian and Spanish versions.

This book is dedicated to the systematization and development of models, methods, and algorithms for queuing systems with correlated arrivals.

The orthogonality of functions has been exploited in communications since its very beginning.

Mit diesem Buch gelingt dem Autor des bekannten Lehrwerkes Stochastik für Einsteiger auf geradezu spielerische Weise, den Leser mit zahlreichen überraschenden Zufallsphänomenen und Nicht-Standard-Grenzwertsätzen im Zusammenhang mit einfachen Irrfahrten und verwandten Themen zu fesseln.

This graduate-level textbook is primarily aimed at graduate students of statistics, mathematics, science, and engineering who have had an undergraduate course in statistics, an upper division course in analysis, and some acquaintance with measure theoretic probability.

This volume presents extensive research devoted to a broad spectrum of mathematics with emphasis on interdisciplinary aspects of Optimization and Probability.

The topic of Uncertainty Quantification (UQ) has witnessed massive developments in response to the promise of achieving risk mitigation through scientific prediction.

Discrete-time Stochastic Systems gives a comprehensive introduction to the estimation and control of dynamic stochastic systems and provides complete derivations of key results such as the basic relations for Wiener filtering.

Ageing and dependence are two important characteristics in reliability and survival analysis, and they affect significantly the decision people make with regard to maintenance, repair/replacement, price setting, warranties, medical studies, and other areas.

This book presents a comprehensive series of methods in nonsmooth optimization, with a particular focus on their application in stochastic programming and dedicated algorithms for decision-making under uncertainty.

This text is an introduction to the modern theory and applications of probability and stochastics.

This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance.

This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails.

Motivated by the many and long-standing contributions of H.

Fixed point theory in probabilistic metric spaces can be considered as a part of Probabilistic Analysis, which is a very dynamic area of mathematical research.

Refection Positivity is a central theme at the crossroads of Lie group representations, euclidean and abstract harmonic analysis, constructive quantum field theory, and stochastic processes.

Some of the key mathematical results are stated without proof in order to make the underlying theory accessible to a wider audience.

After the pioneering works by Robbins {1944, 1945) and Choquet (1955), the notation of a set-valued random variable (called a random closed set in literatures) was systematically introduced by Kendall {1974) and Matheron {1975).

The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications.

Based on the calculation of transition states and the identification of transition paths, this book aims to provide a comprehensive guide to understanding and simulating rare events.

This book covers a wide range of problems involving the applications of stochastic processes, stochastic calculus, large deviation theory, group representation theory and quantum statistics to diverse fields in dynamical systems, electromagnetics, statistical signal processing, quantum information theory, quantum neural network theory, quantum filtering theory, quantum electrodynamics, quantum general relativity, string theory, problems in biology and classical and quantum fluid dynamics.

This 2nd edition textbook offers a rigorous introduction to measure theoretic probability with particular attention to topics of interest to mathematical statisticians-a textbook for courses in probability for students in mathematical statistics.

These proceedings of the conference Advances in Statistical Mechanics, held in Marseille, France, August 2018, focus on fundamental issues of equilibrium and non-equilibrium dynamics for classical mechanical systems, as well as on open problems in statistical mechanics related to probability, mathematical physics, computer science, and biology.

This books reviews and brings readers up to date with the latest research knowledge on road traffic safety.

This book discusses systematic designs of stable adaptive fuzzy logic controllers employing hybridizations of Lyapunov strategy-based approaches/Hinfinity theory-based approaches and contemporary stochastic optimization techniques.