Pierre Del Moral, Spiridon Penev

Stochastic Processes (eBook, ePUB)

From Applications to Theory

• Format: ePub

Produktbeschreibung

Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 916
• Erscheinungstermin: 24. Februar 2017
• Englisch
• ISBN-13: 9781498701860
• Artikelnr.: 59782554

Autorenporträt

Pierre Del Moral and Spiridon Penev are professors in the School of Mathematics and Statistics at the University of New South Wales.

Inhaltsangabe

An illustrated guide. Motivating examples. Selected topics. Computational &
theoretical aspects. Stochastic simulation. Simulation toolbox. Monte Carlo
integration. Some illustrations. Discrete time processes. Markov chains.
Analysis toolbox. Computational toolbox. Continuous time processes. Poisson
processes. Markov chain embeddings. Jump processes. Piecewise deterministic
processes. Diffusion processes. Jump diffusion processes. Nonlinear jump
diffusion processes. Stochastic analysis toolbox. Path space measures.
Processes on manifolds. Stochastic differential calculus on manifolds.
Parameterizations and charts. Stochastic calculus in chart spaces. Some
analytical aspects. Some illustrations. Some application areas. Simple
random walks. Iterated random functions. Computational & Statistical
physics. Dynamic population models. Gambling, ranking and control.
Mathematical finance.