Stochastic Processes
From Applications to Theory
1st Edition
Published on 24. February 2017
916 pages
978-1-4987-0184-6 (ISBN)
Description
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.
Reviews / Votes
"The title itself suggests that the reader should expect something different, applications to theory and not theory to applications. The title is correct, and that is the main theme of the book. Start with some general applications, and then build the theory around them. The range of applications and the depth of the discussions are impressive." (Igor Cialenco, Illinois Institute of Technology)"This is a great reference... It lays out a lot of calculations in simple and direct ways. If you go through this book as a first-year grad student, you will understand lots of material and be prepared for many things." (Richard Sowers, University of Illinois at Urbana-Champaign)
"(This book makes) theoretical tools developed in the stochastic analysis/probability community available to a significant community of applied mathematicians. As such, it should be highly successful, as it is well written and clear." (John Fricks, The Pennsylvania State University)
More details
Series
Language
English
Place of publication
Philadelphia, PA
United States
Publishing group
Taylor & Francis Inc
Target group
College/higher education
This book is intended for MA and PhD students in mathematics and statistics who are studying stochastic processes.
Illustrations
124 farbige Abbildungen, 1 s/w Tabelle
1 Tables, black and white; 124 Illustrations, color
File size
23,52 MB
ISBN-13
978-1-4987-0184-6 (9781498701846)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
E-Book
10/2017
3rd Edition
Chapman & Hall/CRC
€69.99
Available for download
Additional editions
Book
12/2016
1st Edition
Chapman & Hall/CRC
€182.50
Shipment within 15-20 days
Persons
Pierre Del Moral and Spiridon Penev are professors in the School of Mathematics and Statistics at the University of New South Wales.
Content
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.
