Author : Elart von Collani
Publisher :
Page : 272 pages
File Size : 21,56 MB
Release : 2004
Category : Stochastic processes
ISBN :
The contributions to this volume are revised and updated versions of lectures delivered at the Symposium "Defining the Science of Stochastics", which took place at Schloss Zeilitzheim, Germany, in October 2000. The authors reflect on the history and nature of statistical science and propose to establish "Stochastics" as an independent, mathematically based science, the subject of which is uncertainty generated by ignorance and randomness.
Author : Mircea Grigoriu
Publisher : Springer Science & Business Media
Page : 784 pages
File Size : 22,96 MB
Release : 2013-12-11
Category : Mathematics
ISBN : 0817682287
Algebraic, differential, and integral equations are used in the applied sciences, en gineering, economics, and the social sciences to characterize the current state of a physical, economic, or social system and forecast its evolution in time. Generally, the coefficients of and/or the input to these equations are not precisely known be cause of insufficient information, limited understanding of some underlying phe nomena, and inherent randonmess. For example, the orientation of the atomic lattice in the grains of a polycrystal varies randomly from grain to grain, the spa tial distribution of a phase of a composite material is not known precisely for a particular specimen, bone properties needed to develop reliable artificial joints vary significantly with individual and age, forces acting on a plane from takeoff to landing depend in a complex manner on the environmental conditions and flight pattern, and stock prices and their evolution in time depend on a large number of factors that cannot be described by deterministic models. Problems that can be defined by algebraic, differential, and integral equations with random coefficients and/or input are referred to as stochastic problems. The main objective of this book is the solution of stochastic problems, that is, the determination of the probability law, moments, and/or other probabilistic properties of the state of a physical, economic, or social system. It is assumed that the operators and inputs defining a stochastic problem are specified.
Author : Howard M. Taylor
Publisher : Academic Press
Page : 410 pages
File Size : 14,63 MB
Release : 2014-05-10
Category : Mathematics
ISBN : 1483269272
An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Author : Felix Belzunce
Publisher : Academic Press
Page : 175 pages
File Size : 43,25 MB
Release : 2015-09-29
Category : Mathematics
ISBN : 0128038268
An Introduction to Stochastic Orders discusses this powerful tool that can be used in comparing probabilistic models in different areas such as reliability, survival analysis, risks, finance, and economics. The book provides a general background on this topic for students and researchers who want to use it as a tool for their research. In addition, users will find detailed proofs of the main results and applications to several probabilistic models of interest in several fields, and discussions of fundamental properties of several stochastic orders, in the univariate and multivariate cases, along with applications to probabilistic models. - Introduces stochastic orders and its notation - Discusses different orders of univariate stochastic orders - Explains multivariate stochastic orders and their convex, likelihood ratio, and dispersive orders
Author : Alexandre J. Chorin
Publisher : Springer Science & Business Media
Page : 169 pages
File Size : 35,65 MB
Release : 2009-07-24
Category : Mathematics
ISBN : 1441910026
This introduction to probability-based modeling covers basic stochastic tools used in physics, chemistry, engineering and the life sciences. Topics covered include conditional expectations, stochastic processes, Langevin equations, and Markov chain Monte Carlo algorithms. The applications include data assimilation, prediction from partial data, spectral analysis and turbulence. A special feature is the systematic analysis of memory effects.
Author : Douglas Henderson
Publisher : World Scientific
Page : 240 pages
File Size : 48,54 MB
Release : 2006-08-01
Category : Science
ISBN : 9814480533
Traditionally, non-quantum physics has been concerned with deterministic equations where the dynamics of the system are completely determined by initial conditions. A century ago the discovery of Brownian motion showed that nature need not be deterministic. However, it is only recently that there has been broad interest in nondeterministic and even chaotic systems, not only in physics but in ecology and economics. On a short term basis, the stock market is nondeterministic and often chaotic. Despite its significance, there are few books available that introduce the reader to modern ideas in stochastic systems. This book provides an introduction to this increasingly important field and includes a number of interesting applications.
Author : Grigorios A. Pavliotis
Publisher : Springer
Page : 345 pages
File Size : 31,84 MB
Release : 2014-11-19
Category : Mathematics
ISBN : 1493913239
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Author : Michael J. Dinneen
Publisher : Springer
Page : 436 pages
File Size : 10,38 MB
Release : 2012-02-15
Category : Computers
ISBN : 3642276547
This Festschrift volume has been published in honor of Cristian Calude on the occasion of his 60th birthday and contains contributions from invited speakers and regular papers presented at the International Workshop on Theoretical Computer Science, WTCS 2012, held in Auckland, New Zealand, in February 2012. Cristian Calude has made a significant contribution to research in computer science theory. Along with early work by Chaitin, Kučera, Kurtz, Solovay, and Terwijn his papers published in the mid-1990s jointly with Khoussainov, Hertling, and Wang laid the foundation for the development of modern theory of algorithmic randomness. His work was essential for establishing the leading role of New Zealand in this area. The research interests of Cristian Calude are reflected in the topics covered by the 32 papers included in this book, namely: algorithmic information theory, algorithms, automata and formal languages, computing and natural sciences, computability and applications, logic and applications, philosophy of computation, physics and computation, and unconventional models of computation. They have been organized into four parts. The first part consists of papers discussing his life achievements. This is followed by papers in the three general areas of complexity, computability, and randomness; physics, philosophy (and logic), and computation; and algorithms, automata, and formal models (including unconventional computing).
Author : Alexandre J. Chorin
Publisher : Springer Science & Business Media
Page : 193 pages
File Size : 45,74 MB
Release : 2014-01-21
Category : Mathematics
ISBN : 1461469805
"Stochastic Tools in Mathematics and Science" covers basic stochastic tools used in physics, chemistry, engineering and the life sciences. The topics covered include conditional expectations, stochastic processes, Brownian motion and its relation to partial differential equations, Langevin equations, the Liouville and Fokker-Planck equations, as well as Markov chain Monte Carlo algorithms, renormalization, basic statistical mechanics, and generalized Langevin equations and the Mori-Zwanzig formalism. The applications include sampling algorithms, data assimilation, prediction from partial data, spectral analysis, and turbulence. The book is based on lecture notes from a class that has attracted graduate and advanced undergraduate students from mathematics and from many other science departments at the University of California, Berkeley. Each chapter is followed by exercises. The book will be useful for scientists and engineers working in a wide range of fields and applications. For this new edition the material has been thoroughly reorganized and updated, and new sections on scaling, sampling, filtering and data assimilation, based on recent research, have been added. There are additional figures and exercises. Review of earlier edition: "This is an excellent concise textbook which can be used for self-study by graduate and advanced undergraduate students and as a recommended textbook for an introductory course on probabilistic tools in science." Mathematical Reviews, 2006
Author : George Pruitt
Publisher : John Wiley & Sons
Page : 374 pages
File Size : 21,25 MB
Release : 2016-06-20
Category : Business & Economics
ISBN : 111909657X
The accessible, beneficial guide to developing algorithmic trading solutions The Ultimate Algorithmic Trading System Toolbox is the complete package savvy investors have been looking for. An integration of explanation and tutorial, this guide takes you from utter novice to out-the-door trading solution as you learn the tools and techniques of the trade. You'll explore the broad spectrum of today's technological offerings, and use several to develop trading ideas using the provided source code and the author's own library, and get practical advice on popular software packages including TradeStation, TradersStudio, MultiCharts, Excel, and more. You'll stop making repetitive mistakes as you learn to recognize which paths you should not go down, and you'll discover that you don't need to be a programmer to take advantage of the latest technology. The companion website provides up-to-date TradeStation code, Excel spreadsheets, and instructional video, and gives you access to the author himself to help you interpret and implement the included algorithms. Algorithmic system trading isn't really all that new, but the technology that lets you program, evaluate, and implement trading ideas is rapidly evolving. This book helps you take advantage of these new capabilities to develop the trading solution you've been looking for. Exploit trading technology without a computer science degree Evaluate different trading systems' strengths and weaknesses Stop making the same trading mistakes over and over again Develop a complete trading solution using provided source code and libraries New technology has enabled the average trader to easily implement their ideas at very low cost, breathing new life into systems that were once not viable. If you're ready to take advantage of the new trading environment but don't know where to start, The Ultimate Algorithmic Trading System Toolbox will help you get on board quickly and easily.
