Tag: Stochastic

Free Download Real and Stochastic Analysis: New Perspectives by M. M. Rao
English | PDF | 2004 | 411 Pages | ISBN : 081764332X | 45.9 MB
As in the case of the two previous volumes published in 1986 and 1997, the purpose of this monograph is to focus the interplay between real (functional) analysis and stochastic analysis show their mutual benefits and advance the subjects. The presentation of each article, given as a chapter, is in a research-expository style covering the respective topics in depth. In fact, most of the details are included so that each work is essentially self contained and thus will be of use both for advanced graduate students and other researchers interested in the areas considered. Moreover, numerous new problems for future research are suggested in each chapter. The presented articles contain a substantial number of new results as well as unified and simplified accounts of previously known ones. A large part of the material cov ered is on stochastic differential equations on various structures, together with some applications. Although Brownian motion plays a key role, (semi-) martingale theory is important for a considerable extent. Moreover, noncommutative analysis and probabil ity have a prominent role in some chapters, with new ideas and results. A more detailed outline of each of the articles appears in the introduction and outline to assist readers in selecting and starting their work. All chapters have been reviewed.

Free Download Dynamic Stochastic Optimization by Kurt Marti, Yuri Ermoliev, Georg Pflug
English | PDF | 2004 | 336 Pages | ISBN : 3540405062 | 48.8 MB

Free Download Variational Convergence and Stochastic Homogenization of Nonlinear Reaction-Diffusion Problems by Omar Anza Hafsa, Jean-Philippe Mandallena, Gerard Michaille
English | July 20, 2022 | ISBN: 9811258481 | 320 pages | MOBI | 16 Mb
A substantial number of problems in physics, chemical physics, and biology, are modeled through reaction-diffusion equations to describe temperature distribution or chemical substance concentration. For problems arising from ecology, sociology, or population dynamics, they describe the density of some populations or species. In this book the state variable is a concentration, or a density according to the cases. The reaction function may be complex and include time delays terms that model various situations involving maturation periods, resource regeneration times, or incubation periods. The dynamics may occur in heterogeneous media and may depend upon a small or large parameter, as well as the reaction term. From a purely formal perspective, these parameters are indexed by n. Therefore, reaction-diffusion equations give rise to sequences of Cauchy problems.The first part of the book is devoted to the convergence of these sequences in a sense made precise in the book. The second part is dedicated to the specific case when the reaction-diffusion problems depend on a small parameter ∊ₙ intended to tend towards 0. This parameter accounts for the size of small spatial and randomly distributed heterogeneities. The convergence results obtained in the first part, with additionally some probabilistic tools, are applied to this specific situation. The limit problems are illustrated through biological invasion, food-limited or prey-predator models where the interplay between environment heterogeneities in the individual evolution of propagation species plays an essential role. They provide a description in terms of deterministic and homogeneous reaction-diffusion equations, for which numerical schemes are possible.

Free Download Stochastic Partial Differential Equations with Additive Gaussian Noise: Analysis and Inference (205 Pages)
by Ciprian A Tudor
English | 2022 | ISBN: 9811264457 | 205 pages | True PDF EPUB | 45.82 MB

Free Download Markov Decision Processes and Stochastic Positional Games: Optimal Control on Complex Networks
English | 2024 | ISBN: 3031401794 | 396 Pages | PDF EPUB (True) | 35 MB
This book presents recent findings and results concerning the solutions of especially finite state-space Markov decision problems and determining Nash equilibria for related stochastic games with average and total expected discounted reward payoffs. In addition, it focuses on a new class of stochastic games: stochastic positional games that extend and generalize the classic deterministic positional games. It presents new algorithmic results on the suitable implementation of quasi-monotonic programming techniques. Moreover, the book presents applications of positional games within a class of multi-objective discrete control problems and hierarchical control problems on networks.

Free Download Stochastic Petri Nets: Modelling, Stability, Simulation by Peter J. Haas
English | PDF | 2002 | 523 Pages | ISBN : 0387954457 | 24.3 MB
Written by a leading researcher this book presents an introduction to Stochastic Petri Nets covering the modeling power of the proposed SPN model, the stability conditions and the simulation methods. Its unique and well-written approach provides a timely and important addition to the literature. Appeals to a wide range of researchers in engineering, computer science, mathematics and OR.

Free Download Quantum Theory and Its Stochastic Limit by Luigi Accardi , Igor Volovich , Yun Gang Lu
English | PDF | 2002 | 485 Pages | ISBN : 3540419284 | 33.6 MB
Nowadays it is becoming clearer and clearer that, in the description of natural phenomena, the triadic scheme – microseopie, mesoscopic, macroscopic – is only a rough approximation and that there are many levels of description, probably an infinite hierarchy, in which the specific properties of a given level express some kind of cumulative or collective behaviour of properties or sys tems corresponding to the lower levels. One of the most interesting challenges for contemporary natural sciences is the comprehension of the connections among these different levels of description of reality and the deduction of the laws of higher levels in this hierarchy from basic laws corresponding to lower levels. Since these cumulative or collective phenomena are, typically, nonlin ear effects, the transition from this general program to concrete scientific achievements requires the developement of techniques which allow physical information to be extracted from nonlinear quantum systems. Explicitly in tegrable examples of such systems are rare, and the most interesting physical phenomena are not captured by them. Even in the case of linear systems the fact that an explicit solution is formally available is often useless, since it is impossible to interpret interesting physical phenomena from it.

Free Download Limit Theorems for Stochastic Processes by Jean Jacod , Albert N. Shiryaev
English | PDF | 2003 | 682 Pages | ISBN : 3540439323 | 54.8 MB
Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an introduction to the theory of martingales and semimartingales, random measures stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. The second edition contains some additions to the text and references. Some parts are completely rewritten.

Free Download Modeling Market Prices Using Stochastic Processes with Wolfram Language
Released 1/2024
MP4 | Video: h264, 1280×720 | Audio: AAC, 44.1 KHz, 2 Ch
Skill Level: Advanced | Genre: eLearning | Language: English + srt | Duration: 57m | Size: 157 MB
The Wolfram Language contains a complete collection of stochastic processes and statistical distributions that can be fitted to a wide array of market phenomena. This course illustrates this by explaining the modeling of stock prices, portfolios, index returns, bonds, option prices, exchange rates, and conditional risk using stochastic processes such as the ARCH process, vector-valued time series, the ARMA model, Chen’s model, the Ito process, and Merton jump diffusion. Learn how to access financial data from the Wolfram Knowledge base, smooth and transform data, build models for examining stock prices and returns, test different types of models, examine distribution patterns of prices and returns, and more.

Free Download Stochastic Calculus via Regularizations by Francesco Russo, Pierre Vallois
English | November 16, 2022 | ISBN: 303109445X | 669 pages | MOBI | 98 Mb
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregular integrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.