Discrete Time Approximations And Limit Theorems
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Discrete Time Approximations and Limit Theorems
Author | : Yuliya Mishura,Kostiantyn Ralchenko |
Publsiher | : Walter de Gruyter GmbH & Co KG |
Total Pages | : 222 |
Release | : 2021-10-25 |
Genre | : Mathematics |
ISBN | : 9783110652994 |
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The De Gruyter Series in Probability and Stochastics is devoted to the publication of high-level monographs and specialized graduate texts in any branch of modern probability theory and stochastics, along with their numerous applications in other parts of mathematics, physics and informatics, in economics and finance, and in the life sciences. The aim of the series is to present recent research results in the form of authoritative and comprehensive works that will serve the probability and stochastics community as basis for further research. Editorial Board Itai Benjamini, Weizmann Institute of Science, Israel Jean Bertoin, Universität Zürich, Switzerland Michel Ledoux, Université de Toulouse, France René L. Schilling, Technische Universität Dresden, Germany
Discrete Time Approximations and Limit Theorems
Author | : Yuliya S. Mishura |
Publsiher | : Unknown |
Total Pages | : 292 |
Release | : 2021-06-10 |
Genre | : Electronic Book |
ISBN | : 311065279X |
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Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most interesting applications of mathematics nowadays.
A Long Run Collaboration on Long Run Games
Author | : Drew Fudenberg |
Publsiher | : World Scientific |
Total Pages | : 417 |
Release | : 2009 |
Genre | : Mathematics |
ISBN | : 9789812818478 |
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This book brings together the joint work of Drew Fudenberg and David Levine (through 2008) on the closely connected topics of repeated games and reputation effects, along with related papers on more general issues in game theory and dynamic games. The unified presentation highlights the recurring themes of their work.
The Mathematics of Internet Congestion Control
Author | : Rayadurgam Srikant |
Publsiher | : Springer Science & Business Media |
Total Pages | : 170 |
Release | : 2012-12-06 |
Genre | : Science |
ISBN | : 9780817682163 |
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* Recommended by T.Basar, SC series ed. * This text addresses a new, active area of research and fills a gap in the literature. * Bridges mathematics, engineering, and computer science; considers stochastic and optimization aspects of congestion control in Internet data transfers. * Useful as a supplementary text & reference for grad students with some background in control theory; also suitable for researchers.
Inference for Diffusion Processes
Author | : Christiane Fuchs |
Publsiher | : Springer Science & Business Media |
Total Pages | : 430 |
Release | : 2013-01-18 |
Genre | : Mathematics |
ISBN | : 9783642259692 |
Download Inference for Diffusion Processes Book in PDF, Epub and Kindle
Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.
Measure valued Processes and Stochastic Flows
Author | : Andrey A. Dorogovtsev |
Publsiher | : Walter de Gruyter GmbH & Co KG |
Total Pages | : 228 |
Release | : 2023-11-06 |
Genre | : Mathematics |
ISBN | : 9783110986518 |
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Optimal Input Signals for Parameter Estimation
Author | : Ewaryst Rafajłowicz |
Publsiher | : Walter de Gruyter GmbH & Co KG |
Total Pages | : 202 |
Release | : 2022-03-07 |
Genre | : History |
ISBN | : 9783110351040 |
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The aim of this book is to provide methods and algorithms for the optimization of input signals so as to estimate parameters in systems described by PDE’s as accurate as possible under given constraints. The optimality conditions have their background in the optimal experiment design theory for regression functions and in simple but useful results on the dependence of eigenvalues of partial differential operators on their parameters. Examples are provided that reveal sometimes intriguing geometry of spatiotemporal input signals and responses to them. An introduction to optimal experimental design for parameter estimation of regression functions is provided. The emphasis is on functions having a tensor product (Kronecker) structure that is compatible with eigenfunctions of many partial differential operators. New optimality conditions in the time domain and computational algorithms are derived for D-optimal input signals when parameters of ordinary differential equations are estimated. They are used as building blocks for constructing D-optimal spatio-temporal inputs for systems described by linear partial differential equations of the parabolic and hyperbolic types with constant parameters. Optimality conditions for spatially distributed signals are also obtained for equations of elliptic type in those cases where their eigenfunctions do not depend on unknown constant parameters. These conditions and the resulting algorithms are interesting in their own right and, moreover, they are second building blocks for optimality of spatio-temporal signals. A discussion of the generalizability and possible applications of the results obtained is presented.
Fractional Deterministic and Stochastic Calculus
Author | : Giacomo Ascione,Yuliya Mishura,Enrica Pirozzi |
Publsiher | : Walter de Gruyter GmbH & Co KG |
Total Pages | : 462 |
Release | : 2023-12-31 |
Genre | : Mathematics |
ISBN | : 9783110780017 |
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