Author: Workshop on Numerical Methods and Stochastics T.
Publisher: American Mathematical Society
Keywords: institute, communications, fields, stochastics, methods, numerical
Number of Pages: 121
Published: 2002-10-01
List price: $54.00
ISBN-10: 0821819941
ISBN-13: 9780821819944

This volume represents the proceedings of the Workshop on Numerical Methods and Stochastics held at The Fields Institute in April 1999. The goal of the workshop was to identify emerging ideas in probability theory that influence future work in both probability and numerical computation. The book focuses on new results and gives novel approaches to computational problems based on the latest techniques from the theory of probability and stochastic processes.Three papers discuss particle system approximations to solutions of the stochastic filtering problem. Two papers treat particle system equat

Author: M. H.a. Davi
Publisher: Routledge
Keywords: monographs, stochastics, analysis, stochastic, applied
Number of Pages: 582
Published: 1991-01-01
List price: unknow
ISBN-10: 2881247164
ISBN-13: 9782881247163

This volume contains 22 articles based on papers presented at a workshop on Applied Stochastic Analysis held at Imperial College, London, in april 1989. They are concerned with applications of stochastic analysis—the theory of stochastic integration, martingales and Markov processes—to a variety of applied problems centred arount optimization of dynamical systems under uncertainty. Topics covered include characterization and approximation for stochastic system models, problems in stochastic control theory, optimization of systems modelled by piecewise deterministic Markov processes,

Author: Konrad Jacobs
Publisher: Birkhauser Verlag AG
Keywords: lehrbucher, basler, stochastics, discrete
Number of Pages: 296
Published: 1991-12
List price: unknow
ISBN-10: 3764325917
ISBN-13: 9783764325916

Author: Hui-Hsiung Kuo
Publisher: CRC-Press
Keywords: stochastics, series, probability, theory, distribution, noise
Number of Pages: 400
Published: 1996-06-30
List price: $99.95
ISBN-10: 0849380774
ISBN-13: 9780849380778

Learn the basics of white noise theory with White Noise Distribution Theory. This book covers the mathematical foundation and key applications of white noise theory without requiring advanced knowledge in this area. This instructive text specifically focuses on relevant application topics such as integral kernel operators, Fourier transforms, Laplacian operators, white noise integration, Feynman integrals, and positive generalized functions. Extremely well-written by one of the field’s leading researchers, White Noise Distribution Theory is destined to become the definitive introductory

Author: R. A. Carmona
Publisher: Routledge
Keywords: stochastics, monographs, flows, equations, stochastic, integrators, nonlinear
Number of Pages: 160
Published: 1990-01-01
List price: $162.00
ISBN-10: 2881247334
ISBN-13: 9782881247330

At the forefront of research on stochastic processes, this monograph presents and develops a general theory of stochastic integration where the integral is a nonlinear function of the integrand. A detailed discussion of the theory and corresponding stochastic calculus is given, providing a generalization of hte works if Sznitman on L2-martingales, Le Jan and Watanabe on smooth martingales, and Fujiwara and Kunita on the integral with respect to Lévy processes. Graduates and researchers working on probability theory and all types of stochastic processes will find this a stimulating and insight

Author: M.M. Rao
Publisher: CRC-Press
Keywords: probability, stochastics, series, advances, recent, stochastic, analysis, real
Number of Pages: 416
Published: 1997-05-17
List price: $84.95
ISBN-10: 0849380782
ISBN-13: 9780849380785

Real and Stochastic Analysis: Recent Advances presents a carefully edited collection of research articles highlighting advances in RSA. A balanced blend of both theory and applications, this book covers six aspects of stochastic analysis in depth and detail. Common to all the chapters, the employment of functional analytic methods creates a unified approach. Each chapter includes detailed proofs. Throughout the book, a substantial amount of new material is presented, much of it for the first time. This forward-looking work presents current accounts of important areas of research, evaluates rec

Author: Desmond Higham
Publisher: Cambridge University Press
Keywords: stochastics, computation, mathematics, valuation, financial, option, introduction
Number of Pages: 296
Published: 2004-04-19
List price: $52.00
ISBN-10: 0521547571
ISBN-13: 9780521547574

This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black-Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite