Stochastic Modelling and Applied Probability – serie
Visar alla böcker i serien Stochastic Modelling and Applied Probability. Handla med fri frakt och snabb leverans.
117 produkter
Numerical Solution of Stochastic Differential Equations
Av Peter E. Kloeden, Eckhard Platen
Inbunden, 1992
1425 kr
Lägg i varukorg
The aim of this book is to provide an accessible introduction to stochastic differ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de velopment …
Applied Probability and Queues
Inbunden, 2003
1527 kr
Lägg i varukorg
This book is an introduction to queueing theory. It provides a thorough treatment of Markov processes, renewal theory, regenerative processes, and random walks and discusses in some detail basic models including G1/G/I queue, risk processes, and dams. Particular attention has been given to modern …
Monte Carlo Methods in Financial Engineering
Inbunden, 2003
875 kr
Lägg i varukorg
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques.This book develops the use of Monte Carlo methods in …
Stochastic Approximation and Recursive Algorithms and Applications
Av Harold Kushner, G. George Yin
Inbunden, 2003
2188 kr
Lägg i varukorg
The basic stochastic approximation algorithms introduced by Robbins and MonroandbyKieferandWolfowitzintheearly1950shavebeenthesubject of an enormous literature, both theoretical and applied. This is due to the large number of applications and the interesting theoretical issues in the analysis of …
Average-Cost Control of Stochastic Manufacturing Systems
Av Suresh P. Sethi, Han-Qin Zhang m. fl.
Inbunden, 2005
1130 kr
Lägg i varukorg
Most manufacturing systems are large, complex, and operate in an environment of uncertainty. It is common practice to manage such systems in a hierarchical fashion. This book articulates a new theory that shows that hierarchical decision making can in fact lead to a near optimization of system …
Controlled Markov Processes and Viscosity Solutions
Av Wendell H. Fleming, Halil Mete Soner
Inbunden, 2005
1861 kr
Lägg i varukorg
This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text covers dynamic programming for deterministic optimal control …
Cycle Representations of Markov Processes
Inbunden, 2006
1098 kr
Lägg i varukorg
This book provides new insight into Markovian dependence via the cycle decompositions. It presents a systematic account of a class of stochastic processes known as cycle (or circuit) processes - so-called because they may be defined by directed cycles. An important application of this approach is …
Stochastic Simulation: Algorithms and Analysis
Av Søren Asmussen, Peter W. Glynn
Inbunden, 2007
661 kr
Lägg i varukorg
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 such sampling-based methods, as well as accompanying …
Wave Propagation and Time Reversal in Randomly Layered Media
Av Jean-Pierre Fouque, Josselin Garnier m. fl.
Inbunden, 2007
934 kr
Lägg i varukorg
Our motivation for writing this book is twofold: First, the theory of waves propagating in randomly layered media has been studied extensively during the last thirty years but the results are scattered in many di?erent papers. This theory is now in a mature state, especially in the very interesting …
Stochastic Ordinary and Stochastic Partial Differential Equations
Transition from Microscopic to Macroscopic Equations
Inbunden, 2007
1098 kr
Lägg i varukorg
The present volume analyzes mathematical models of time-dependent physical p- nomena on three levels: microscopic, mesoscopic, and macroscopic. We provide a rigorous derivation of each level from the preceding level and the resulting me- scopic equations are analyzed in detail. Following Haken …
Stochastic Control of Hereditary Systems and Applications
Inbunden, 2008
1098 kr
Lägg i varukorg
ThisresearchmonographdevelopstheHamilton-Jacobi-Bellman(HJB)theory viathedynamicprogrammingprincipleforaclassofoptimalcontrolproblems for stochastic hereditary di?erential equations (SHDEs) driven by a standard Brownian motion and with a bounded or an unbounded but fading m- ory. These equations …
Fundamentals of Stochastic Filtering
Av Alan Bain, Dan Crisan
Inbunden, 2008
1752 kr
Lägg i varukorg
Many aspects of phenomena critical to our lives can not be measured directly. Fortunately models of these phenomena, together with more limited obs- vations frequently allow us to make reasonable inferences about the state of the systems that a?ect us. The process of using partial observations and …
Deterministic and Stochastic Optimal Control
Av Wendell H. Fleming, Raymond W. Rishel
Inbunden, 1975
1861 kr
Lägg i varukorg
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-level courses at Brown University and the …
Game Theory
Lectures for Economists and Systems Scientists
Av Nikolai N. Vorob'ev, S. Kotz
Inbunden, 1977
1098 kr
Lägg i varukorg
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 the student with a relatively simple and …
Gaussian Random Processes
Av I.A. Ibragimov, Y.A. Rozanov
Inbunden, 1978
1316 kr
Lägg i varukorg
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 finding effective formulas for densities of the …
Stochastic Filtering Theory
Inbunden, 1980
1098 kr
Lägg i varukorg
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 up for publication in the Lecture Notes series. …
Conjugate Direction Methods in Optimization
Inbunden, 1980
1643 kr
Lägg i varukorg
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 mathematical computations. Accordingly, under the …
Controlled Diffusion Processes
Av N.V. Krylov
Inbunden, 1980
1643 kr
Lägg i varukorg
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W …
Hidden Markov Models
Estimation and Control
Av Robert J Elliott, Lakhdar Aggoun m. fl.
Inbunden, 1994
1643 kr
Lägg i varukorg
As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including …
Discrete-Time Markov Control Processes
Basic Optimality Criteria
Av Onesimo Hernandez-Lerma, Jean B. Lasserre
Inbunden, 1995
1643 kr
Lägg i varukorg
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 control (or action) spaces, and possibly unbounded …
Probabilistic Theory of Pattern Recognition
Av Luc Devroye, Laszlo Györfi m. fl.
Inbunden, 1996
1534 kr
Lägg i varukorg
Pattern recognition presents one of the most significant challenges for scientists and engineers, and many different approaches have been proposed. The aim of this book is to provide a self-contained account of probabilistic analysis of these approaches. The book includes a discussion of distance …
Discrete Gambling and Stochastic Games
Av Ashok P. Maitra, William D. Sudderth
Inbunden, 1996
1098 kr
Lägg i varukorg
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 maximizing the chances of beating a casino or …
Numerical Methods for Stochastic Control Problems in Continuous Time
Av Harold Kushner, Paul G. Dupuis
Inbunden, 2000
1534 kr
Lägg i varukorg
Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, …
Fundamentals of Queueing Networks
Performance, Asymptotics, and Optimization
Inbunden, 2001
934 kr
Lägg i varukorg
The objective of this book is to collect in a single volume the essentials of stochastic networks, from the classical product-form theory to the more re cent developments such as diffusion and fluid limits, stochastic comparisons, stability, control (dynamic scheduling) and optimization. The …
Heavy Traffic Analysis of Controlled Queueing and Communication Networks
Inbunden, 2001
552 kr
Lägg i varukorg
The aim of this book is the development of the heavy traffic approach to the modeling and analysis of queueing networks, both controlled and uncontrolled, and many applications to computer, communications, and manufacturing systems. The methods exploit the multiscale structure of the physical …
Stochastic Portfolio Theory
Inbunden, 2002
989 kr
Lägg i varukorg
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 theory has both theoretical and practical applications: …
Linear Multivariable Control
A Geometric Approach
Av W.M. Wonham
Inbunden, 1985
1861 kr
Lägg i varukorg
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 specializing in control, to engineering scientists …
Stabilization of Control Systems
Av O. Hijab
Inbunden, 1986
1098 kr
Lägg i varukorg
The problem of controlling or stabilizing a system of differential equa tions in the presence of random disturbances is intuitively appealing and has been a motivating force behind a wide variety of results grouped loosely together under the heading of "Stochastic Control." This book is concerned …
Stochastic Storage Processes
Queues, Insurance Risk, Dams, and Data Communication
Av N.U. Prabhu
Inbunden, 1997
1098 kr
Lägg i varukorg
This is a revised and expanded version of the earlier edition. The new material is on Markov-modulated storage processes arising from queueing and data commu nication models. The analysis of these models is based on the fluctuation theory of Markov-additive processes and their discrete time …
Further Topics on Discrete-Time Markov Control Processes
Av Onesimo Hernandez-Lerma, Jean B. Lasserre
Inbunden, 1999
1534 kr
Lägg i varukorg
This book presents the second part of a two-volume series devoted to a sys tematic exposition of some recent developments in the theory of discrete time Markov control processes (MCPs). As in the first part, hereafter re ferred to as "Volume I" (see Hernandez-Lerma and Lasserre [1]), interest is …
