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Stochastics

See below for a selection of the latest books from Stochastics category. Presented with a red border are the Stochastics books that have been lovingly read and reviewed by the experts at Lovereading. With expert reading recommendations made by people with a passion for books and some unique features Lovereading will help you find great Stochastics books and those from many more genres to read that will keep you inspired and entertained. And it's all free!

Conceptual Econometrics Using R

Conceptual Econometrics Using R

Author: C.R. (The Pennsylvania State University, University Park, PA, USA) Rao Format: Hardback Release Date: 01/09/2019

Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. The book's eighteen chapters are divided into five parts, all providing not only theory, but free R software code to implement the new ideas.

Institute of Mathematical Statistics Textbooks Stochastic Networks

Institute of Mathematical Statistics Textbooks Stochastic Networks

Author: Frank Kelly, Elena Yudovina Format: Hardback Release Date: 01/07/2019

Communication networks underpin our modern world, and provide fascinating and challenging examples of large-scale stochastic systems. Randomness arises in communication systems at many levels: for example, the initiation and termination times of calls in a telephone network, or the statistical structure of the arrival streams of packets at routers in the Internet. How can routing, flow control and connection acceptance algorithms be designed to work well in uncertain and random environments? This compact introduction illustrates how stochastic models can be used to shed light on important issues in the design and control of communication networks. It will appeal to readers with a mathematical background wishing to understand this important area of application, and to those with an engineering background who want to grasp the underlying mathematical theory. Each chapter ends with exercises and suggestions for further reading.

Institute of Mathematical Statistics Textbooks Introduction to Malliavin Calculus

Institute of Mathematical Statistics Textbooks Introduction to Malliavin Calculus

This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.

A Course on Malliavin-Skorohod Calculus for Additive Processes with Applications to Finance

A Course on Malliavin-Skorohod Calculus for Additive Processes with Applications to Finance

The purpose of the book is to present the Malliavin-Skorohod calculus for additive processes, that is, processes with independent increments; in other words, Levy processes without the hypothesis of stationarity of increments. This will be the addition of Malliavin calculus for Gaussian processes and Malliavin calculus for Poisson random measures. The second is the application of the previous theory to finance, concretely, to stochastic volatility jump diffusion models, in order to solve problems related with pricing and hedging via Clark-Ocone formula, computation of sensitivities, obtaining useful price decompositions (Hull and White type formulas) and local risk minimizing strategies.

Stochastic Analysis

Stochastic Analysis

Author: Ichiro Shigekawa Format: Paperback / softback Release Date: 21/06/2019

Stochastic analysis is often understood as the analysis of functionals defined on the Wiener space, i.e., the space on which the Wiener process is realized. Since the Wiener space is infinite-dimensional, it requires a special calculus, the so-called Malliavin calculus. This book provides readers with a concise introduction to stochastic analysis, in particular, to the Malliavin calculus. It contains a detailed description of all the technical tools necessary to describe the theory, such as the Wiener process, the Ornstein-Uhlenbeck process, and Sobolev spaces. It also presents applications of stochastic calculus to the study of stochastic differential equations. The volume is suitable for graduate students and research mathematicians interested in probability and random processes.

Stochastic Integrals

Stochastic Integrals

Author: Henry P. Format: Hardback Release Date: 17/06/2019

The AMS is excited to bring this volume, originally published in 1969, back into print. This well-written book has been used for many years to learn about stochastic integrals. The author starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Ito lemma. The rest of the book is devoted to various topics of stochastic integral equations and stochastic integral equations on smooth manifolds. E. B. Dynkin wrote about the original edition in Mathematical Reviews: 'This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations'. These words continue to ring true today. This classic book is ideal for supplementary reading or independent study. It is suitable for graduate students and researchers interested in probability, stochastic processes, and their applications.

Applied Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions

Author: Bernt Oksendal, Agnes Sulem Format: Paperback / softback Release Date: 02/05/2019

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Levy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Stochastic Disorder Problems

Stochastic Disorder Problems

Author: Albert N. Shiryaev, H. Vincent Poor Format: Hardback Release Date: 20/03/2019

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 also currently great interest in quickest detection methods for randomly occurring intrusions in information systems and in the design of defense methods against cyber-attacks. The author shows that the majority of quickest detection problems can be reformulated as optimal stopping problems where the stopping time is the moment the occurrence of disorder is signaled. Thus, considerable attention is devoted to the general theory of optimal stopping rules, and to its concrete problem-solving methods. The exposition covers both the discrete time case, which is in principle relatively simple and allows step-by-step considerations, and the continuous-time case, which often requires more technical machinery such as martingales, supermartingales, and stochastic integrals. There is a focus on the well-developed apparatus of Brownian motion, which enables the exact solution of many problems. The last chapter presents applications to financial markets. Researchers and graduate students interested in probability, decision theory and statistical sequential analysis will find this book useful.

An Accelerated Solution Method for Two-Stage Stochastic Models in Disaster Management

An Accelerated Solution Method for Two-Stage Stochastic Models in Disaster Management

Author: Emilia Grass Format: Paperback / softback Release Date: 13/11/2018

Emilia Grass develops a solution method which can provide fast and near-optimal solutions to realistic large-scale two-stage stochastic problems in disaster management. The author proposes a specialized interior-point method to accelerate the standard L-shaped algorithm. She shows that the newly developed solution method solves two realistic large-scale case studies for the hurricane prone Gulf and Atlantic coast faster than the standard L-shaped method and a commercial solver. The accelerated solution method enables relief organizations to employ appropriate preparation measures even in the case of short-term disaster warnings.About the Author Emilia Grass holds a PhD from the Hamburg University of Technology, Germany. She is currently working as guest researcher on the project cyber security in healthcare at the Centre for Health Policy, Imperial College London, UK. Her scientific focus is on stochastic programming, solution methods, disaster management and healthcare.

Institute of Mathematical Statistics Textbooks Introduction to Malliavin Calculus

Institute of Mathematical Statistics Textbooks Introduction to Malliavin Calculus

Author: David (University of Kansas) Nualart, Eulalia (Universitat Pompeu Fabra, Barcelona) Nualart Format: Paperback / softback Release Date: 27/09/2018

This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.

Random Processes: First-passage And Escape

Random Processes: First-passage And Escape

Author: Jaume (Univ Of Barcelona, Spain) Masoliver Format: Hardback Release Date: 23/08/2018

Random processes are one of the most powerful tools in the study and understanding of countless phenomena in natural and social sciences.The book is a complete medium-level introduction to the subject. The book is written in a clear and pedagogical manner but with enough rigor and scope that can appeal to both students and researchers.This book is addressed to advanced students and professional researchers in many branches of science where level crossings and extremes appear but with some particular emphasis on some applications in socio-economic systems.

Introduction to Stochastic Processes

Introduction to Stochastic Processes

Author: Tapas Kumar Chandra, Sreela Gangopadhyay Format: Hardback Release Date: 05/07/2018

This is a text comprising the major theorems of Martingales and Stochastic Processes. The main topics covered are stopping times. Martingales, stochastic calculus. A unique feature of the book is the combined presentation of measure, probability and stochastic processes. Special features include: Poisson Processes, Brownian Motion, Markov Processes, Continuous Time Markov Chains, Stochastic Integration, Ergodic Theorems.