Stochastic Processes

From Applications to Theory

Pierre Del Moral, Spiridon Penev (Autoren)

Buch | Hardcover

916 Seiten

2016
Chapman & Hall/CRC (Verlag)
978-1-4987-0183-9 (ISBN)

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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.

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

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.

Erscheinungsdatum	16.03.2017
Reihe/Serie	Chapman & Hall/CRC Texts in Statistical Science
Zusatzinfo	1 Tables, black and white; 124 Illustrations, color
Sprache	englisch
Maße	178 x 254 mm
Gewicht	1950 g
Themenwelt	Mathematik / Informatik ► Mathematik
ISBN-10	1-4987-0183-3 / 1498701833
ISBN-13	978-1-4987-0183-9 / 9781498701839
Zustand	Neuware