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INGLÊS

Numerical Solution Of Stochastic Differential Equations With Jumps In Finance

de Eckhard Platen e Nicola Bruti-Liberati

~~115,59€~~ 80,91€ 30% IMEDIATO

portes grátis

 The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992).
INGLÊS

Stochastic Differential Equations, Backward Sdes, Partial Differential Equations

de Aurel R?Scanu e Etienne Pardoux

158,34€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics.
INGLÊS

Controlled Diffusion Processes

de N. V. Krylov

118,59€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Deals with the optimal control of solutions of fully observable Ito-type stochastic differential equations. This work proves the validity of the Bellman differential equation for payoff functions and develops the rules for optimal control strategies.
INGLÊS

Continuous-Time Stochastic Control And Optimization With Financial Applications

de Huyên Pham

87,44€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.
INGLÊS

Continuous-Time Markov Decision Processes - Theory And Applications

de Onesimo Hernandez-Lerma e Xianping Guo

131,84€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 This volume provides the first book entirely devoted to recent developments on the theory and applications of continuous-time Markov decision processes (MDPs). The MDPs presented here include most of the cases that arise in applications.
INGLÊS

Large Deviations Techniques And Applications

de Amir Dembo e Ofer Zeitouni

72,86€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 This book provides an introduction to the theory of large deviations and applications. This softcover edition is a corrected printing of the 1998 edition.
INGLÊS

Numerical Solution Of Stochastic Differential Equations With Jumps In Finance

de Eckhard Platen e Nicola Bruti-Liberati

145,09€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992).
INGLÊS

Stochastic Stability Of Differential Equations

de Rafail Khasminskii

145,09€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. This volume provides a foundation for students in graduate courses in mathematics and its applications. It offers readers important new results on the moment Lyapunov exponent, stability index and some other fields.
INGLÊS

Discretization Of Processes

de Jean Jacod e Philip Protter

171,59€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Using classic statistical tools, this book synthesizes ten years of research to establish a sohisticated theory of how to go about estimating not just scalar parameters of a proposed model, but also the underlying structure of the model itself.
INGLÊS

Modelling Extremal Events - For Insurance And Finance

de Claudia Kluppelberg, Paul Embrechts e Thomas Mikosch

145,09€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Contains graphs and diagrams, used to illustrate shapes of distributions. This book shows real data examples in various ways.
INGLÊS

Stochastic Simulation And Monte Carlo Methods - Mathematical Foundations Of Stochastic Simulation

de Carl Graham e Denis Talay

59,61€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes.
INGLÊS

Image Analysis, Random Fields And Markov Chain Monte Carlo Methods - A Mathematical Introduction

de Gerhard Winkler

118,59€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Concentrating more on general principles and models and less on details of concrete applications, this title serves as an introduction to the mathematical aspects of image analysis rather than as a survey as no prior knowledge of mathematics or statistics is required.
INGLÊS

Random Walks In The Quarter-Plane - Algebraic Methods, Boundary Value Problems And Applications

de Guy Fayolle, Roudolf Iasnogorodski e Vadim Malyshev

59,61€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Random walks are successions of movements along line segments where the direction and possibly the length of each move is randomly determined. This text aims a promoting original mathematical methods to obtain results. Current research in the area is reflected.
INGLÊS

Adaptive Algorithms And Stochastic Approximations

de Albert Benveniste, Michel Metivier e Pierre Priouret

145,09€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Adaptive systems are widely encountered in many applications ranging through adaptive filtering and more generally adaptive signal processing, systems identification and adaptive control, to pattern recognition and machine intelligence: adaptation is now recognised as keystone of "intelligence" within computerised systems.
INGLÊS

Image Analysis, Random Fields And Dynamic Monte Carlo Methods - A Mathematical Introduction

de Gerhard Winkler

59,61€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 This text is concerned with a probabilistic approach to image analysis as initiated by U. GRENANDER, D. and S. GEMAN, B.R. HUNT and many others, and developed and popularized by D. and S. GEMAN in a paper from 1984. It formally adopts the Bayesian paradigm and therefore is referred to as ''Bayesian Image Analysis''. There has been considerable and still growing interest in prior models and, in particular, in discrete Markov random field methods. Whereas image analysis is replete with ad hoc techniques, Bayesian image analysis provides a general framework encompassing various problems from imaging. Among those are such ''classical'' applications like restoration, edge detection, texture discrimination, motion analysis and tomographic reconstruction. The subject is rapidly developing and in the near future is likely to deal with high-level applications like object recognition. Fascinating experiments by Y. CHOW, U. GRENANDER and D.M. KEENAN (1987), (1990) strongly support this belief.
INGLÊS

Stochastic Integration And Differential Equations - A New Approach

de Philip Protter

95,40€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The idea of this book began with an invitation to give a course at the Third Chilean Winter School in Probability and Statistics, at Santiago de Chile, in July, 1984. Faced with the problem of teaching stochastic integration in only a few weeks, I realized that the work of C. Dellacherie [2] provided an outline for just such a pedagogic approach. I developed this into aseries of lectures (Protter [6]), using the work of K. Bichteler [2], E. Lenglart [3] and P. Protter [7], as well as that of Dellacherie. I then taught from these lecture notes, expanding and improving them, in courses at Purdue University, the University of Wisconsin at Madison, and the University of Rouen in France. I take this opportunity to thank these institut ions and Professor Rolando Rebolledo for my initial invitation to Chile. This book assumes the reader has some knowledge of the theory of stochastic processes, including elementary martingale theory. While we have recalled the few necessary martingale theorems in Chap. I, we have not provided proofs, as there are already many excellent treatments of martingale theory readily available (e. g. , Breiman [1], Dellacherie-Meyer [1,2], or Ethier Kurtz [1]). There are several other texts on stochastic integration, all of which adopt to some extent the usual approach and thus require the general theory. The books of Elliott [1], Kopp [1], Metivier [1], Rogers-Williams [1] and to a much lesser extent Letta [1] are examples.
INGLÊS

Statistics Of Random Processes Ii - Applications

de Albert N. Shiryaev e Robert S. Liptser

158,34€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The second of two volumes on non-linear filtering theory and its applications in problems of optimal estimation, control with incomplete data, information theory and sequential testing of hypotheses. This edition has a new chapter on asymptotically optimal filtering under diffusion approximation.
INGLÊS

Stochastic Integration And Differential Equations

de Philip Protter

145,09€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Includes the proof of the fundamental Doob-Meyer decomposition theorem. This book contains the more general version of the Girsanov theorem due to Lenglart and martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation.
INGLÊS

Elements Of Queueing Theory - Palm Martingale Calculus And Stochastic Recurrences

de Francois Baccelli e Pierre Bremaud

118,59€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The Palm theory and the Loynes theory of stationary systems are the two pillars of the modern approach to queuing. This book presents the mathematical foundations of the theory of stationary queuing systems, contains a treatment of both of these.
INGLÊS

Information-Spectrum Methods In Information Theory

de Te Sun Han

118,59€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Concentrates on arbitrary nonstationary and/or nonergodic sources and channels with arbitrarily large alphabets.
INGLÊS

Numerical Solution Of Stochastic Differential Equations

de Eckhard Platen e Peter E. Kloeden

145,09€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book presents an introduction to SDEs, their applications and the numerical methods to solve such equations.
INGLÊS

Random Iterative Models

de Marie Duflo

98,71€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 The recent development of computation and automation has led to quick advances in the theory and practice of recursive methods for stabilization, identification and control of stochastic models. This book analyzes a wide range of those methods.
INGLÊS

Statistics Of Random Processes - I. General Theory

de Albert N. Shiryaev e Robert S. Liptser

145,09€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Covering non-linear filtering theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis, these volumes present the theory of martingales.
INGLÊS

Stochastic Networks And Queues

de Philippe Robert

118,59€ + 10% EM CARTÃO

DISPONIBILIDADE IMEDIATA

 Analyzes queues and stochastic networks with probabilistic methods. This work aims to show that results from Markov processes, martingales or ergodic theory be used to study the corresponding stochastic processes. It aims to show that an understanding of results on stochastic processes is crucial to study the complex behavior of these networks.
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