Probability Theory and Stochastic Modelling – serie
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81 produkter
Foundations of Modern Probability
2022
906 kr
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This new, thoroughly revised and expanded 3rd edition of a classic gives a comprehensive coverage of modern probability in a single book. It is a truly modern text, providing not only classical results but also material that will be important for future research. Much has been added to the previous …
Theory of Random Sets
Inbunden, 2017
1970 kr
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This monograph, now in a thoroughly revised second edition, offers the latest research on random sets. It has been extended to include substantial developments achieved since 2005, some of them motivated by applications of random sets to econometrics and finance.The present volume builds on the …
Theory of Random Sets
Häftad, 2018
1970 kr
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This monograph, now in a thoroughly revised second edition, offers the latest research on random sets. It has been extended to include substantial developments achieved since 2005, some of them motivated by applications of random sets to econometrics and finance.The present volume builds on the …
Methods of Mathematical Finance
Av Ioannis Karatzas, Steven Shreve
Inbunden, 2016
1534 kr
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This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to the …
Matrix-Exponential Distributions in Applied Probability
Av Mogens Bladt, Bo Friis Nielsen
Inbunden, 2017
1098 kr
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This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can …
Backward Stochastic Differential Equations
From Linear to Fully Nonlinear Theory
Inbunden, 2017
1098 kr
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This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, …
Matrix-Exponential Distributions in Applied Probability
Av Mogens Bladt, Bo Friis Nielsen
Häftad, 2018
989 kr
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This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can …
Backward Stochastic Differential Equations
From Linear to Fully Nonlinear Theory
Häftad, 2018
770 kr
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This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, …
Dynamic Markov Bridges and Market Microstructure
Theory and Applications
Av Umut Çetin, Albina Danilova
Inbunden, 2018
1425 kr
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This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov …
Dynamic Markov Bridges and Market Microstructure
Theory and Applications
Av Umut Çetin, Albina Danilova
Häftad, 2019
1425 kr
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This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov …
Analysis and Approximation of Rare Events
Representations and Weak Convergence Methods
Av Amarjit Budhiraja, Paul Dupuis
Inbunden, 2019
1534 kr
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This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. A feature of the book is the systematic use of variational representations for quantities of interest such as normalized logarithms of …
Stochastic Disorder Problems
Inbunden, 2019
1425 kr
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This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data. These include quickest detection of randomly appearing targets, of spontaneously arising effects, and of arbitrage (in financial mathematics). There is …
Ambit Stochastics
Av Ole E. Barndorff-Nielsen, Fred Espen Benth m. fl.
Häftad, 2018
1425 kr
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Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development.Unique to …
Stochastic Evolution Systems
Linear Theory and Applications to Non-Linear Filtering
Av Boris L. Rozovsky, Sergey V. Lototsky
Häftad, 2018
934 kr
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This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations.The emphasis lies on second-order stochastic parabolic equations and their …
Pseudo-Regularly Varying Functions and Generalized Renewal Processes
Av Valeriĭ V. Buldygin, Karl-Heinz Indlekofer m. fl.
Häftad, 2019
934 kr
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One of the main aims of this book is to exhibit some fruitful links between renewal theory and regular variation of functions. Applications of renewal processes play a key role in actuarial and financial mathematics as well as in engineering, operations research and other fields of applied …
Probabilistic Theory of Mean Field Games with Applications II
Mean Field Games with Common Noise and Master Equations
Av René Carmona, François Delarue
Häftad, 2019
1534 kr
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This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions.Volume II …
Probabilistic Theory of Mean Field Games with Applications I
Mean Field FBSDEs, Control, and Games
Av René Carmona, François Delarue
Häftad, 2019
1752 kr
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This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions.Volume I of the …
Risk and Insurance
A Graduate Text
Av Søren Asmussen, Mogens Steffensen
Inbunden, 2020
769 kr
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This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Both non-life and life aspects are covered. The emphasis is on probability and modeling rather than statistics and practical …
Risk and Insurance
A Graduate Text
Av Søren Asmussen, Mogens Steffensen
Häftad, 2021
551 kr
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This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Both non-life and life aspects are covered. The emphasis is on probability and modeling rather than statistics and practical …
Continuous-Time Markov Decision Processes
Borel Space Models and General Control Strategies
Av Alexey Piunovskiy, Yi Zhang
Inbunden, 2020
1025 kr
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This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Unlike most books on the subject, much attention is paid to problems with functional …
Continuous-Time Markov Decision Processes
Borel Space Models and General Control Strategies
Av Alexey Piunovskiy, Yi Zhang
Häftad, 2021
1025 kr
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This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Unlike most books on the subject, much attention is paid to problems with functional …
Foundations of Modern Probability
2021
1294 kr
Lägg i varukorg
This new, thoroughly revised and expanded 3rd edition of a classic gives a comprehensive coverage of modern probability in a single book. It is a truly modern text, providing not only classical results but also material that will be important for future research. Much has been added to the previous …
Point Process Calculus in Time and Space
An Introduction with Applications
Inbunden, 2020
1534 kr
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This book provides an introduction to the theory and applications of point processes, both in time and in space. Presenting the two components of point process calculus, the martingale calculus and the Palm calculus, it aims to develop the computational skills needed for the study of stochastic …
Point Process Calculus in Time and Space
An Introduction with Applications
Häftad, 2021
1534 kr
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This book provides an introduction to the theory and applications of point processes, both in time and in space. Presenting the two components of point process calculus, the martingale calculus and the Palm calculus, it aims to develop the computational skills needed for the study of stochastic …
Markov Renewal and Piecewise Deterministic Processes
Inbunden, 2021
1425 kr
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This book is aimed at researchers, graduate students and engineers who would like to be initiated to Piecewise Deterministic Markov Processes (PDMPs). A PDMP models a deterministic mechanism modified by jumps that occur at random times. The fields of applications are numerous : insurance and risk, …
Markov Renewal and Piecewise Deterministic Processes
Häftad, 2022
1425 kr
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This book is aimed at researchers, graduate students and engineers who would like to be initiated to Piecewise Deterministic Markov Processes (PDMPs). A PDMP models a deterministic mechanism modified by jumps that occur at random times. The fields of applications are numerous : insurance and risk, …
Mathematical Control Theory for Stochastic Partial Differential Equations
Inbunden, 2021
1752 kr
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This is the first book to systematically present control theory for stochastic distributed parameter systems, a comparatively new branch of mathematical control theory. The new phenomena and difficulties arising in the study of controllability and optimal control problems for this type of system …
Mathematical Control Theory for Stochastic Partial Differential Equations
Häftad, 2022
1752 kr
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This is the first book to systematically present control theory for stochastic distributed parameter systems, a comparatively new branch of mathematical control theory. The new phenomena and difficulties arising in the study of controllability and optimal control problems for this type of system …
Quasispecies Equation and Classical Population Models
Av Raphaël Cerf, Joseba Dalmau
Inbunden, 2022
1534 kr
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This monograph studies a series of mathematical models of the evolution of a population under mutation and selection. Its starting point is the quasispecies equation, a general non-linear equation which describes the mutation-selection equilibrium in Manfred Eigen’s famous quasispecies model. A …
Quasispecies Equation and Classical Population Models
Av Raphaël Cerf, Joseba Dalmau
Häftad, 2023
1534 kr
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This monograph studies a series of mathematical models of the evolution of a population under mutation and selection. Its starting point is the quasispecies equation, a general non-linear equation which describes the mutation-selection equilibrium in Manfred Eigen’s famous quasispecies model. A …
