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Author: D. Kannan
Publisher: CRC Press
Published: 2001-10-23
Total Pages: 808
ISBN-13: 1482294702
DOWNLOAD EBOOKAn introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Author: D. Kannan
Publisher: CRC Press
Published: 2001-10-23
Total Pages: 800
ISBN-13: 9780824706609
DOWNLOAD EBOOKAn introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Author: Frank Beichelt
Publisher: CRC Press
Published: 2001-10-18
Total Pages: 342
ISBN-13: 9780415272322
DOWNLOAD EBOOKThis book introduces stochastic processes and their applications for students in engineering, industrial statistics, science, operations research, business, and finance. It provides the theoretical foundations for modeling time-dependent random phenomena encountered in these disciplines. Through numerous science and engineering-based examples and exercises, the author presents the subject in a comprehensible, practically oriented way, but he also includes some important proofs and theoretically challenging examples and exercises that will appeal to more mathematically minded readers. Solutions to most of the exercises are included either in an appendix or within the text.
Author: Weinan E
Publisher: American Mathematical Soc.
Published: 2021-09-22
Total Pages: 305
ISBN-13: 1470465698
DOWNLOAD EBOOKThis is a textbook for advanced undergraduate students and beginning graduate students in applied mathematics. It presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events). The book strikes a nice balance between mathematical formalism and intuitive arguments, a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation. Numerous exercises nicely supplement the main exposition.
Author: Crispin Gardiner
Publisher: Springer
Published: 2010-10-19
Total Pages: 0
ISBN-13: 9783642089626
DOWNLOAD EBOOKIn the third edition of this classic the chapter on quantum Marcov processes has been replaced by a chapter on numerical treatment of stochastic differential equations to make the book even more valuable for practitioners.
Author: Mark A. Pinsky
Publisher: CRC Press
Published: 2020-10-15
Total Pages: 476
ISBN-13: 1000146200
DOWNLOAD EBOOKThis volume attempts to exhibit current research in stochastic integration, stochastic differential equations, stochastic optimization and stochastic problems in physics and biology. It includes information on the theory of Dirichlet forms, Feynman integration and the Schrodinger's equation.
Author: Ana Isabel Cardoso
Publisher: Springer Science & Business Media
Published: 1994
Total Pages: 480
ISBN-13:
DOWNLOAD EBOOKThe intensive exchange between mathematicians and users has led in recent years to a rapid development of stochastic analysis. Of the users, the physicists form perhaps the most important group, giving direction to the mathematicians' research and providing a source of intuition. White noise analysis has emerged as a viable framework for stochastic and infinite dimensional analysis. Another growth area is the theory of stochastic partial differential equations. Gauge field theories are attracting increasing attention. Dirichlet forms provide a fruitful link between the mathematics of Markov processes and the physics of quantum systems. The deterministic-stochastic interface is addressed, as are Euclidean quantum mechanics, excursions of diffusions and the convergence of Markov chains to thermal states.
Author: Crispin W. Gardiner
Publisher: Springer Verlag
Published: 1985-01-01
Total Pages: 442
ISBN-13: 9783540616344
DOWNLOAD EBOOKAuthor: Grigorios A. Pavliotis
Publisher: Springer
Published: 2014-11-19
Total Pages: 345
ISBN-13: 1493913239
DOWNLOAD EBOOKThis book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Author: Sharples Norris
Publisher:
Published: 2012-09
Total Pages: 368
ISBN-13: 9781781540909
DOWNLOAD EBOOKThis book discusses issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the handbook is highly multi-disciplinary. It addresses operations research, control theory and optimization, stochastic analysis, and financial engineering and reviews and substantially updates the recent progress in these fields.
