Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes

AvAleksand Janicki,A. Weron

Inbunden, Engelska, 1993

Del i serien Chapman & Hall/CRC Pure and Applied Mathematics

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Beskrivning

Presents new computer methods in approximation, simulation, and visualization for a host of alpha-stable stochastic processes.

Produktinformation

Utgivningsdatum:1993-11-16
Mått:156 x 234 x 25 mm
Vikt:635 g
Format:Inbunden
Språk:Engelska
Serie:Chapman & Hall/CRC Pure and Applied Mathematics
Antal sidor:376
Förlag:Taylor & Francis Inc
ISBN:9780824788827

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Mer om författaren

Janicki\, Aleksand; Weron\, A.

Recensioner i media

". . .it is remarkably complete and includes full references to recent literature. "---The Royal Statistical Society"Throughout the book there are many references to the literature and a wealth of useful and interesting examples exhibiting various types of behavior. A C program presented in an appendix was used to carry out the simulations."---Zentralblatt fur Mathematik, 2000

Innehållsförteckning

Preliminary remarks; Brownian motion, poisson process, alpha-stable Levy motion; computer simulation of alpha-stable random variables; stochastic integration; spectral representations of stationary processes; computer approximations of continuous time processes; examples of alpha-stable stochastic modelling; convergence of approximate methods; chaotic behaviour of stationary processes; hierarchy of chaos for stable and ID stationary processes. Appendix - a guide to simulation.