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Stochastic Inequalities and Applications

Author: Evariste Giné

Publisher: Birkhäuser

ISBN:

Category: Mathematics

Page: 367

View: 696

Concentration inequalities, which express the fact that certain complicated random variables are almost constant, have proven of utmost importance in many areas of probability and statistics. This volume contains refined versions of these inequalities, and their relationship to many applications particularly in stochastic analysis. The broad range and the high quality of the contributions make this book highly attractive for graduates, postgraduates and researchers in the above areas.

Stochastic Inequalities and Applications

Author: Evariste Giné

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 367

View: 851

Concentration inequalities, which express the fact that certain complicated random variables are almost constant, have proven of utmost importance in many areas of probability and statistics. This volume contains refined versions of these inequalities, and their relationship to many applications particularly in stochastic analysis. The broad range and the high quality of the contributions make this book highly attractive for graduates, postgraduates and researchers in the above areas.

Advances in Stochastic Inequalities

AMS Special Session on Stochastic Inequalities and Their Applications, October 17-19, 1997, Georgia Institute of Technology

Author: Theodore Preston Hill

Publisher: American Mathematical Soc.

ISBN:

Category: Mathematics

Page: 212

View: 368

Contains 15 articles based on invited talks given at an AMS Special Session on 'Stochastic Inequalities and Their Applications' held at Georgia Institute of Technology (Atlanta). This book includes articles that offer a comprehensive picture of this area of mathematical probability and statistics.

Modeling, Stochastic Control, Optimization, and Applications

Author: George Yin

Publisher: Springer

ISBN:

Category: Mathematics

Page: 599

View: 467

This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Stochastic Inequalities

Author: Moshe Shaked

Publisher: IMS

ISBN:

Category: Mathematics

Page: 411

View: 453

Stochastic Inequalities and Applications

Author: Evarist Giné

Publisher: Birkhauser

ISBN:

Category: Stochastic inequalities.

Page: 365

View: 807

The book also contains a sample of recent advances on several aspects of stochastic analysis such as diffusion processes, stochastic differential equations driven by fractional Brownian motion, Lyapunov exponents for stochastic differential equations with jumps, and Levy processes."--BOOK JACKET.

Stochastic Analysis in Discrete and Continuous Settings

With Normal Martingales

Author: Nicolas Privault

Publisher: Springer

ISBN:

Category: Mathematics

Page: 282

View: 709

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.

Deterministic and Stochastic Optimal Control and Inverse Problems

Author: Baasansuren Jadamba

Publisher: CRC Press

ISBN:

Category: Computers

Page: 394

View: 679

Inverse problems of identifying parameters and initial/boundary conditions in deterministic and stochastic partial differential equations constitute a vibrant and emerging research area that has found numerous applications. A related problem of paramount importance is the optimal control problem for stochastic differential equations. This edited volume comprises invited contributions from world-renowned researchers in the subject of control and inverse problems. There are several contributions on optimal control and inverse problems covering different aspects of the theory, numerical methods, and applications. Besides a unified presentation of the most recent and relevant developments, this volume also presents some survey articles to make the material self-contained. To maintain the highest level of scientific quality, all manuscripts have been thoroughly reviewed.

Applications of Variational Inequalities in Stochastic Control

Author: A. Bensoussan

Publisher: Elsevier

ISBN:

Category: Mathematics

Page: 563

View: 792

Applications of Variational Inequalities in Stochastic Control

Laws of Small Numbers: Extremes and Rare Events

Author: Michael Falk

Publisher: Birkhäuser

ISBN:

Category: Mathematics

Page: 378

View: 247

Since the publication of the first edition of this seminar book, the theory and applications of extremes and rare events have seen increasing interest. Laws of Small Numbers gives a mathematically oriented development of the theory of rare events underlying various applications. The new edition incorporates numerous new results on about 130 additional pages. Part II, added in the second edition, discusses recent developments in multivariate extreme value theory.

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