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  • Stochastic Simulation: Algorithms and Analysis

    Stochastic Simulation: Algorithms and Analysis
    av Soren Asmussen

    Inbunden - 2007 - Engelska - ISBN: 9780387306797

    Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of su…

  • Fundamentals of Stochastic Filtering

    Fundamentals of Stochastic Filtering
    av Alan Bain

    Inbunden - 2008 - Engelska - ISBN: 9780387768953

    This book provides 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 pa…

  • Discrete Gambling and Stochastic Games

    Discrete Gambling and Stochastic Games
    av Ashok P. Maitra

    Häftad - 2011 - Engelska - ISBN: 9781461284673

    The theory of probability began in the seventeenth century with attempts to calculate the odds of winning in certain games of chance. However, it was not until the middle of the twentieth century that mathematicians de veloped general techniques for…

  • Conjugate Direction Methods in Optimization

    Conjugate Direction Methods in Optimization
    av M.R. Hestenes

    Inbunden - 1980 - Engelska - ISBN: 9780387904559

    Shortly after the end of World War II high-speed digital computing machines were being developed. It was clear that the mathematical aspects of com putation needed to be reexamined in order to make efficient use of high-speed digital computers for m…

  • Stochastic Simulation: Algorithms and Analysis

    Stochastic Simulation: Algorithms and Analysis
    av Soren Asmussen

    Häftad - 2010 - Engelska - ISBN: 9781441921468

    Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of su…

  • Stochastic Simulation and Monte Carlo Methods

    Stochastic Simulation and Monte Carlo Methods
    av Carl Graham

    Inbunden - 2013 - Engelska - ISBN: 9783642393624

    In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners' aim to simulate more and more complex systems, and thus use random parameters as…

  • Stochastic Integration and Differential Equations

    Stochastic Integration and Differential Equations
    av Philip Protter

    Häftad - 2010 - Engelska - ISBN: 9783642055607

    It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especial…

  • Average-Cost Control of Stochastic Manufacturing Systems

    Average-Cost Control of Stochastic Manufacturing Systems
    av Suresh P. Sethi

    Häftad - 2010 - Engelska - ISBN: 9781441919540

    This book articulates a new theory that shows that hierarchical decision making can in fact lead to a near optimization of system goals. The material in the book cuts across disciplines. It will appeal to graduate students and researchers in applied…

  • Deterministic and Stochastic Optimal Control

    Deterministic and Stochastic Optimal Control
    av Wendell H. Fleming

    Häftad - 2012 - Engelska - ISBN: 9781461263821

    This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-le…

  • Numerical Solution of Stochastic Differential Equations

    Numerical Solution of Stochastic Differential Equations
    av Peter E. Kloeden

    Häftad - 2010 - Engelska - ISBN: 9783642081071

    The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solv…

  • Stochastic Filtering Theory

    Stochastic Filtering Theory
    av G. Kallianpur

    Inbunden - 1980 - Engelska - ISBN: 9780387904450

    This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written u…

  • Stochastic Calculus and Financial Applications

    Stochastic Calculus and Financial Applications
    av J. Michael Steele

    Häftad - 2010 - Engelska - ISBN: 9781441928627

    Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas.From the reviews: "As the preface says, 'This is a text with an attitude,…

  • Controlled Markov Processes and Viscosity Solutions

    Controlled Markov Processes and Viscosity Solutions
    av Wendell H. Fleming

    Inbunden - 2005 - Engelska - ISBN: 9780387260457

    This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory o…

  • Discrete-Time Markov Control Processes

    Discrete-Time Markov Control Processes
    av Onesimo Hernandez-Lerma

    Häftad - 2012 - Engelska - ISBN: 9781461268840

    This book presents the first part of a planned two-volume series devoted to a systematic exposition of some recent developments in the theory of discrete-time Markov control processes (MCPs). Interest is mainly confined to MCPs with Borel state and…

  • Wave Propagation and Time Reversal in Randomly Layered Media

    Wave Propagation and Time Reversal in Randomly Layered Media
    av Jean-Pierre Fouque

    Häftad - 2010 - Engelska - ISBN: 9781441921628

    The content of this book is multidisciplinary by nature. It uses mathematical tools from the theories of probability and stochastic processes, partial differential equations, and asymptotic analysis, combined with the physics of wave propagation and…

  • Stochastic Filtering Theory

    Stochastic Filtering Theory
    av G. Kallianpur

    Häftad - 2010 - Engelska - ISBN: 9781441928108

    This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written u…

  • Wave Propagation and Time Reversal in Randomly Layered Media

    Wave Propagation and Time Reversal in Randomly Layered Media
    av Jean-Pierre Fouque

    Inbunden - 2007 - Engelska - ISBN: 9780387308906

    The content of this book is multidisciplinary by nature. It uses mathematical tools from the theories of probability and stochastic processes, partial differential equations, and asymptotic analysis, combined with the physics of wave propagation and…

  • Stochastic Ordinary and Stochastic Partial Differential Equations

    Stochastic Ordinary and Stochastic Partial Differential Equations
    av Peter Kotelenez

    Häftad - 2014 - Engelska - ISBN: 9781489986580

    Stochastic Partial Differential Equations analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the re…

  • Stochastic Ordinary and Stochastic Partial Differential Equations

    Stochastic Ordinary and Stochastic Partial Differential Equations
    av Peter Kotelenez

    Inbunden - 2007 - Engelska - ISBN: 9780387743165

    Stochastic Partial Differential Equations analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the re…

  • Further Topics on Discrete-Time Markov Control Processes

    Further Topics on Discrete-Time Markov Control Processes
    av Onesimo Hernandez-Lerma

    Häftad - 2012 - Engelska - ISBN: 9781461268185

    Devoted to a systematic exposition of some recent developments in the theory of discrete-time Markov control processes, the text is mainly confined to MCPs with Borel state and control spaces. Although the book follows on from the author's earlier w…

  • Image Analysis, Random Fields and Dynamic Monte Carlo Methods

    Image Analysis, Random Fields and Dynamic Monte Carlo Methods
    av Gerhard Winkler

    Häftad - 2012 - Engelska - ISBN: 9783642975240

    This text is concerned with a probabilistic approach to image analysis as initiated by U. GRENANDER, D. and S. GEMAN, B.R. HUNT and many others, and developed and popularized by D. and S. GEMAN in a paper from 1984. It formally adopts the Bayesian p…

  • Stochastic Portfolio Theory

    Stochastic Portfolio Theory
    av E. Robert Fernholz

    Häftad - 2010 - Engelska - ISBN: 9781441929877

    Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theor…

  • Martingale Methods in Financial Modelling

    Martingale Methods in Financial Modelling
    av Marek Musiela

    Häftad - 2010 - Engelska - ISBN: 9783642058981

    A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modellingIncludes a new chapter devoted to volatility riskThe theme of stochastic volatility…

  • A Probabilistic Theory of Pattern Recognition

    A Probabilistic Theory of Pattern Recognition
    av Luc Devroye

    Inbunden - 1996 - Engelska - ISBN: 9780387946184

    A self-contained and coherent account of probabilistic techniques, covering: distance measures, kernel rules, nearest neighbour rules, Vapnik-Chervonenkis theory, parametric classification, and feature extraction. Each chapter concludes with problem…

  • Numerical Methods for Stochastic Control Problems in Continuous Time

    Numerical Methods for Stochastic Control Problems in Continuous Time
    av Harold Kushner

    Häftad - 2013 - Engelska - ISBN: 9781461265313

    Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in cont…

  • Optimization-Theory and Applications

    Optimization-Theory and Applications
    av L. Cesari

    Häftad - 2011 - Engelska - ISBN: 9781461381679

    This book has grown out of lectures and courses in calculus of variations and optimization taught for many years at the University of Michigan to graduate students at various stages of their careers, and always to a mixed audience of students in mat…

  • Continuous-Time Markov Chains and Applications

    Continuous-Time Markov Chains and Applications
    av G. George Yin

    Inbunden - 2012 - Engelska - ISBN: 9781461443452

    This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions o…

  • Continuous-Time Markov Chains and Applications

    Continuous-Time Markov Chains and Applications
    av G. George Yin

    Häftad - 2013 - Engelska - ISBN: 9781489991188

    This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions o…

  • Cycle Representations of Markov Processes

    Cycle Representations of Markov Processes
    av Sophia L. Kalpazidou

    Häftad - 2010 - Engelska - ISBN: 9781441921215

    The cycle representations of Markov processes have been advanced after the publication of the ?rst edition to many directions. One main purpose of these advances was the revelation of wide-ranging interpretations of the - cle decompositions of Marko…

  • Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

    Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
    av Etienne Pardoux

    Inbunden - 2014 - Engelska - ISBN: 9783319057132

    This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mat…

  • Stochastic Stability of Differential Equations

    Stochastic Stability of Differential Equations
    av Rafail Khasminskii

    Häftad - 2013 - Engelska - ISBN: 9783642270284

    Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. To date exact formulas for the Lyapunov expone…

  • Linear Multivariable Control

    Linear Multivariable Control
    av W.M. Wonham

    Häftad - 2012 - Engelska - ISBN: 9781461270058

    In wntmg this monograph my aim has been to present a "geometric" approach to the structural synthesis of multivariable control systems that are linear, time-invariant and of finite dynamic order. The book is ad dressed to graduate students specializ…

  • Stochastic Control of Hereditary Systems and Applications

    Stochastic Control of Hereditary Systems and Applications
    av Mou-Hsiung Chang

    Inbunden - 2008 - Engelska - ISBN: 9780387758053

    This monograph develops the Hamilton-Jacobi-Bellman theory via dynamic programming principle for a class of optimal control problems for stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion and with a bounded or…

  • Heavy Traffic Analysis of Controlled Queueing and Communication Networks

    Heavy Traffic Analysis of Controlled Queueing and Communication Networks
    av Harold Kushner

    Häftad - 2013 - Engelska - ISBN: 9781461265412

    One of the first books in the timely and important area of heavy traffic analysis of controlled and uncontrolled stochastics networks, by one of the leading authors in the field. The general theory is developed, with possibly state dependent paramet…

  • Discrete-Time Markov Chains

    Discrete-Time Markov Chains
    av G. George Yin

    Häftad - 2010 - Engelska - ISBN: 9781441919557

    This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems from existing and emerging applications in optimization and control of complex systems in manufacturing, wireless communication, and ?nancial engineering. Much…

  • Hybrid Switching Diffusions

    Hybrid Switching Diffusions
    av G. George Yin

    Häftad - 2012 - Engelska - ISBN: 9781461424703

    This book encompasses the study of hybrid switching di usion processes and their applications. The word \hybrid" signi es the coexistence of c- tinuous dynamics and discrete events, which is one of the distinct features of the processes under consid…

  • Stochastic Models in Reliability

    Stochastic Models in Reliability
    av Terje Aven

    Inbunden - 2013 - Engelska - ISBN: 9781461478935

    This book provides 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 analysts to formulate g…

  • Stochastic Stability of Differential Equations

    Stochastic Stability of Differential Equations
    av Rafail Khasminskii

    Inbunden - 2011 - Engelska - ISBN: 9783642232794

    Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. To date exact formulas for the Lyapunov expone…

  • Continuous-time Stochastic Control and Optimization with Financial Applications

    Continuous-time Stochastic Control and Optimization with Financial Applications
    av Huyen Pham

    Häftad - 2010 - Engelska - ISBN: 9783642100444

    Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic co…

  • Deterministic and Stochastic Optimal Control

    Deterministic and Stochastic Optimal Control
    av Wendell H. Fleming

    Inbunden - 1975 - Engelska - ISBN: 9780387901558

    This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-le…

  • Applied Probability and Queues

    Applied Probability and Queues
    av Soeren Asmussen

    Häftad - 2010 - Engelska - ISBN: 9781441918093

    "This book is a highly recommendable survey of mathematical tools and results in applied probability with special emphasis on queueing theory....The second edition at hand is a thoroughly updated and considerably expended version of the first editio…

  • Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

    Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
    av Etienne Pardoux

    Häftad - 2016 - Engelska - ISBN: 9783319347752

    This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mat…

  • Game Theory

    Game Theory

    Inbunden - 1977 - Engelska - ISBN: 9780387902388

    The basis for this book is a number of lectures given frequently by the author to third year students of the Department of Economics at Leningrad State University who specialize in economical cybernetics. The main purpose of this book is to provide…

  • Stochastic Approximation and Recursive Algorithms and Applications

    Stochastic Approximation and Recursive Algorithms and Applications
    av Harold Kushner

    Häftad - 2010 - Engelska - ISBN: 9781441918475

    This book presents a thorough development of the modern theory of stochastic approximation or recursive stochastic algorithms for both constrained and unconstrained problems. This second edition is a thorough revision, although the main features and…

  • Stochastic Storage Processes

    Stochastic Storage Processes
    av N.U. Prabhu

    Häftad - 2012 - Engelska - ISBN: 9781461272601

    A self-contained treatment of stochastic processes arising from models for queues, insurance risk, and dams and data communication, using their sample function properties. The approach is based on the fluctuation theory of random walks, L vy process…

  • A Probabilistic Theory of Pattern Recognition

    A Probabilistic Theory of Pattern Recognition
    av Luc Devroye

    Häftad - 2013 - Engelska - ISBN: 9781461268772

    A self-contained and coherent account of probabilistic techniques, covering: distance measures, kernel rules, nearest neighbour rules, Vapnik-Chervonenkis theory, parametric classification, and feature extraction. Each chapter concludes with problem…

  • Methods of Numerical Mathematics

    Methods of Numerical Mathematics

    Häftad - 2011 - Engelska - ISBN: 9781461381525

    The present volume is an adaptation of a series of lectures on numerical mathematics which the author has been giving to students of mathematics at the Novosibirsk State University during the span of several years. In dealing with problems of applie…

  • Stochastic Models in Reliability

    Stochastic Models in Reliability
    av Terje Aven

    Häftad - 2015 - Engelska - ISBN: 9781489998552

    This book provides 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 analysts to formulate g…

  • Controlled Markov Processes and Viscosity Solutions

    Controlled Markov Processes and Viscosity Solutions
    av Wendell H. Fleming

    Häftad - 2010 - Engelska - ISBN: 9781441920782

    This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory o…

  • Controlled Diffusion Processes

    Controlled Diffusion Processes
    av N. V. Krylov

    Häftad - 2008 - Engelska - ISBN: 9783540709138

    Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the qu…

  • Gaussian Random Processes

    Gaussian Random Processes

    Häftad - 2011 - Engelska - ISBN: 9781461262770

    The book deals mainly with three problems involving Gaussian stationary processes. The first problem consists of clarifying the conditions for mutual absolute continuity (equivalence) of probability distributions of a "random process segment" and of…

  • Conjugate Direction Methods in Optimization

    Conjugate Direction Methods in Optimization
    av M.R. Hestenes

    Häftad - 2013 - Engelska - ISBN: 9781461260509

    Shortly after the end of World War II high-speed digital computing machines were being developed. It was clear that the mathematical aspects of com putation needed to be reexamined in order to make efficient use of high-speed digital computers for m…