Utvidet returrett til 31. januar 2025

Bøker i Probability Theory and Stochastic Modelling-serien

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  • av Peter E. Kloeden & Xiaoying Han
    1 681,-

    This book is intended to make recent results on the derivation of higher order numerical schemes for random ordinary differential equations (RODEs) available to a broader readership, and to familiarize readers with RODEs themselves as well as the closely associated theory of random dynamical systems.

  • av Gilles Pages
    2 175,-

    Vector Quantization, a pioneering discretization method based on nearest neighbor search, emerged in the 1950s primarily in signal processing, electrical engineering, and information theory. Later in the 1960s, it evolved into an automatic classification technique for generating prototypes of extensive datasets. In modern terms, it can be recognized as a seminal contribution to unsupervised learning through the k-means clustering algorithm in data science.In contrast, Functional Quantization, a more recent area of study dating back to the early 2000s, focuses on the quantization of continuous-time stochastic processes viewed as random vectors in Banach function spaces. This book distinguishes itself by delving into the quantization of random vectors with values in a Banach space¿a unique feature of its content. Its main objectives are twofold: first, to offer a comprehensive and cohesive overview of the latest developments as well as several new results in optimal quantization theory, spanning both finite and infinite dimensions, building upon the advancements detailed in Graf and Luschgy's Lecture Notes volume. Secondly, it serves to demonstrate how optimal quantization can be employed as a space discretization method within probability theory and numerical probability, particularly in fields like quantitative finance. The main applications to numerical probability are the controlled approximation of regular and conditional expectations by quantization-based cubature formulas, with applications to time-space discretization of Markov processes, typically Brownian diffusions, by quantization trees.While primarily catering to mathematicians specializing in probability theory and numerical probability, this monograph also holds relevance for data scientists, electrical engineers involved in data transmission, and professionals in economics and logistics who are intrigued by optimal allocation problems.

  • av Raphael Cerf & Joseba Dalmau
    1 338 - 1 613,-

  • - A Graduate Text
    av Soren Asmussen & Mogens Steffensen
    809,-

    This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability.

  • av Christiane Cocozza-Thivent
    1 603 - 1 681,-

  • - Borel Space Models and General Control Strategies
    av Yi Zhang & Alexey Piunovskiy
    1 740 - 1 759,-

    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.

  • av Olav Kallenberg
    827,-

  • - with Robust CLT and G-Brownian Motion
    av Shige Peng
    1 434,-

    This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations.

  • av Olav Kallenberg
    1 131,-

    The first edition of this single volume on the theory of probability has become a highly-praised standard reference for many areas of probability theory. Chapters from the first edition have been revised and corrected, and this edition contains four new chapters.

  • - Representations and Weak Convergence Methods
    av Paul Dupuis & Amarjit Budhiraja
    1 454,-

    This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. By characterizing a large deviation principle in terms of Laplace asymptotics, one converts the proof of large deviation limits into the convergence of variational representations.

  • - Linear Theory and Applications to Non-Linear Filtering
    av Boris L. Rozovsky
    1 109,-

    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 connection to random dynamical systems.

  • av Fred Espen Benth, Ole E. Barndorff-Nielsen & Almut E. D. Veraart
    1 681,-

  • - Theory and Applications
    av Umut Cetin & Albina Danilova
    1 439 - 1 681,-

    The construction of a Dynamic Markov Bridge, a useful extension of Markov bridge theory, addresses several important questions concerning how financial markets function, among them: how the presence of an insider trader impacts market efficiency;

  • - Linear Theory and Applications to Non-Linear Filtering
    av Boris L. Rozovsky
    1 564,-

    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 connection to random dynamical systems.

  • - Dynamic Programming Principle
    av Makiko Nisio
    1 341 - 1 409,-

    This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons.

  • - Algebraic Methods, Boundary Value Problems, Applications to Queueing Systems and Analytic Combinatorics
    av Guy Fayolle, Roudolf Iasnogorodski & Vadim Malyshev
    1 304,-

  • - With Emphasis on the Creation-Annihilation Techniques
    av Nicolas Bouleau & Laurent Denis
    1 681,-

    A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals.

  • - From Linear to Fully Nonlinear Theory
    av Jianfeng Zhang
    736 - 969,-

  • av Fred Espen Benth, Ole E. Barndorff-Nielsen & Almut E. D. Veraart
    1 681,-

    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 Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context.Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

  • av Hiroshi Kunita
    1 434,-

    Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.

  • - Dynamic Programming and HJB Equations
    av Giorgio Fabbri, Fausto Gozzi & Andrzej Swiech
    2 546,-

    With a Contribution by M. Fuhrman and G. Tessitore

  • - Probability on Graphs and Trees, Markov Chains and Random Fields, Entropy and Coding
    av Pierre Bremaud
    896,-

  • av Albert N. Shiryaev
    1 564,-

    This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data.

  • - Mean Field Games with Common Noise and Master Equations
    av Rene Carmona & Francois Delarue
    1 710,-

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • - Mean Field FBSDEs, Control, and Games
    av Rene Carmona
    2 122,-

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • av Ioannis Karatzas & Steven Shreve
    1 681,-

    This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices.

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