Author: Peter Kotelenez
Publisher: Springer
Keywords: stochastic, equations, modelling, applied, probability, macroscopic, transition, ordinary, partial, differential, microscopic
Number of Pages: 460
Published: 2007-12-17
List price: $69.95
ISBN-10: 0387743162
ISBN-13: 9780387743165

This book provides the first rigorous derivation of mesoscopic and macroscopic equations from a deterministic system of microscopic equations. The microscopic equations are cast in the form of a deterministic (Newtonian) system of coupled nonlinear oscillators for N large particles and infinitely many small particles. The mesoscopic equations are stochastic ordinary differential equations (SODEs) and stochastic partial differential equatuions (SPDEs), and the macroscopic limit is described by a parabolic partial differential equation.   A detailed analysis of the SODEs and (quasi-li

Author: m Symposium on Probability and Stochastic Processe
Publisher: American Mathematical Society
Keywords: mexico, stochastic, city, contemporary, mathematics, june, processes, models, seventh, symposium, probability
Number of Pages: 272
Published: 2004-01
List price: $72.00
ISBN-10: 0821834665
ISBN-13: 9780821834664

The volume includes lecture notes and research papers by participants of the Seventh Symposium on Probability and Stochastic Processes held in Mexico City. The lecture notes introduce recent advances in stochastic calculus with respect to fractional Brownian motion, principles of large deviations and of minimum entropy concerning equilibrium prices in random economic systems, and give a complete and thorough survey of credit risk theory. The research papers cover areas such as financial markets, Gaussian processes, stochastic differential equations, stochastic integration, quantum dynamical se

Author: Richard Serfozo
Publisher: Springer
Keywords: stochastic, probability, applied, networks, introduction, modelling
Number of Pages: 300
Published: 1999-07-30
List price: $134.00
ISBN-10: 0387987738
ISBN-13: 9780387987736

In a stochastic network, such as those in computer/telecommunications and manufacturing, discrete units move among a network of stations where they are processed or served. Randomness may occur in the servicing and routing of units, and there may be queueing for services. This book describes several basic stochastic network processes, beginning with Jackson networks and ending with spatial queueing systems in which units, such as cellular phones, move in a space or region where they are served. The focus is on network processes that have tractable (closed-form) expressions for the equilibrium

Authors:W. H. Fleming, R. W. Rishel,
Publisher: Springer
Keywords: stochastic, applied, probability, modelling, control, optimal, deterministic
Number of Pages: 236
Published: 1982-10-18
List price: $115.00
ISBN-10: 0387901558
ISBN-13: 9780387901558

The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also inlcudes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

Authors:Alan Bain, Dan O. Crisan,
Publisher: Springer
Keywords: stochastic, probability, applied, filtering, fundamentals, modelling
Number of Pages: 390
Published: 2008-10-23
List price: $59.95
ISBN-10: 0387768955
ISBN-13: 9780387768953

The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. The purpose of this book is to provide a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficie

Authors:Daniel P. Heyman, Matthew J. Sobel,
Publisher: Dover Publications
Keywords: stochastic, optimization, vol, operations, models, research
Number of Pages: 576
Published: 2003-12-19
List price: $29.95
ISBN-10: 0486432602
ISBN-13: 9780486432601

This 2nd volume of a 2-volume set explores the central facts and ideas of stochastic processes, illustrating their use in models based on applied and theoretical investigations. It introduces myopic optimal policies, Markov decision processes, generalizations of MDPs and related computational considerations, monotone optimal policies, and sequential games. 1984 edition. Includes 43 figures and 50 tables.

Authors:Terje Aven, Uwe Jensen,
Publisher: Springer
Keywords: stochastic, probability, applied, reliability, models, modelling
Number of Pages: 270
Published: 1999-03-04
List price: $134.00
ISBN-10: 0387986332
ISBN-13: 9780387986333

The aim of the present book is to give a comprehensive up-to-date presentation of some of the classical areas of reliability, based on a more advanced probabilistic framework using the modern theory of stochastic processes. This framework allows the analyst to formulate general failure models, establish formulae for computing various performance measures, as well as to determine how to identify optimal replacement policies in complex situations.