Matrix-analytic Methods in Stochastic Models

This book covers at an advanced level mathematical methods for analysis of telecommunication networks. The book concentrates on various call models used in telecommunications such as quality of servic

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

This book discusses recent research in the theoretical foundations of several subjects of importance for the design of hardware, and for computer science in general. The physical technologies of very large scale integration (VLSI) are having major effects on the electronic industry. The potential diversity and complexity of digital systems have begun a revolution in the technologies of digital design, involving the application of concepts and methods to do with algorithms and programming. In return, the problems of VLSI design have led to new subjects becoming of importance in computer science. Topics covered in this volume include: models of VLSI complexity; complexity theory; systolic algorithm design; specification theory; verification theory; design by stepwise refinement and transformations. A thorough literature survey with an exhaustive bibliography is also included. The book has grown from a workshop held at the Centre for Theoretical Computer Science at Leeds University and or

The paradigm of deterministic chaos has influenced thinking in many fields of science. Chaotic systems show rich and surprising mathematical structures. In the applied sciences, deterministic chaos provides a striking explanation for irregular behaviour and anomalies in systems which do not seem to be inherently stochastic. The most direct link between chaos theory and the real world is the analysis of time series from real systems in terms of nonlinear dynamics. Experimental technique and data analysis have seen such dramatic progress that, by now, most fundamental properties of nonlinear dynamical systems have been observed in the laboratory. Great efforts are being made to exploit ideas from chaos theory wherever the data displays more structure than can be captured by traditional methods. Problems of this kind are typical in biology and physiology but also in geophysics, economics, and many other sciences.

Dynamic stochastic general equilibrium (DSGE) models have begun to dominate the field of macroeconomic theory and policy-making. These models describe the evolution of macroeconomic activity as a recursive sequence of outcomes based upon the optimal decision rules of rational households, firms and policy-makers. Whilst posing a micro-founded dynamic optimisation problem for agents under uncertainty, such models have been shown to be both analytically tractable and sufficiently rich for meaningful policy analysis in a wide class of macroeconomic problems, for example, monetary and fiscal policy, economic cycles and growth and capital flows. This volume collects specially commissioned papers from leading researchers, which pull together some of the key results in diverse areas. This book will promote research using optimising models and inform researchers, post-graduate students and economists in policy-oriented organisations of some of the key findings and policy implications.

Dynamic stochastic general equilibrium (DSGE) models have begun to dominate the field of macroeconomic theory and policy-making. These models describe the evolution of macroeconomic activity as a recursive sequence of outcomes based upon the optimal decision rules of rational households, firms and policy-makers. Whilst posing a micro-founded dynamic optimisation problem for agents under uncertainty, such models have been shown to be both analytically tractable and sufficiently rich for meaningful policy analysis in a wide class of macroeconomic problems, for example, monetary and fiscal policy, economic cycles and growth and capital flows. This volume collects specially commissioned papers from leading researchers, which pull together some of the key results in diverse areas. This book will promote research using optimising models and inform researchers, post-graduate students and economists in policy-oriented organisations of some of the key findings and policy implications.

The book offers categorical introductions to order, topology, algebra and sheaf theory, suitable for graduate students, teachers and researchers of pure mathematics. Readers familiar with the very basic notions of category theory will learn about the main tools that are used in modern categorical mathematics but are not readily available in the literature. Hence, in eight rather independent chapters the reader will encounter various ways of how to study 'spaces': order-theoretically via their open-set lattices, as objects of a fairly abstract category merely via their interaction with other objects, or via their topoi of set-valued sheaves. Likewise, 'algebras' are treated both as models for Lawvere's algebraic theories and as Eilenberg-Moore algebras for monads, but they appear also as the objects of an abstract category with various levels of 'exactness' conditions. The abstract methods are illustrated by applications which, in many cases, lead to results not yet found in more tradi

This book presents an approach to introductory graduate courses on atomic structure. The author's approach utilizes conceptually powerful semiclassical modeling methods, and demonstrates the degree to which the Maslov-indexed EBK quantization elucidates the quantum mechanical formulation of level energies and lifetimes. It merges this with an update and extension of semiempirical data systematizations developed by Bengt Edlén to describe complex atoms, and adapts them to include the specification of lifetimes. The text emphasizes the historical basis of the nomenclature and methodologies of spectroscopy. However, interaction mechanisms are presented deductively, based on quantum mechanical and field theoretical models, rather than tracing their indirect paths of discovery. Many worked examples provide applications to areas such as astrophysics, hyperfine structure, and coherent anisotropic excitation. The book presents a firm foundation for specialists in atomic physics, as well as a c

This book presents the current state of the art in computational models for turbulent reacting flows, and analyzes carefully the strengths and weaknesses of the various techniques described. The focus is on formulation of practical models as opposed to numerical issues arising from their solution. A theoretical framework based on the one-point, one-time joint probability density function (PDF) is developed. It is shown that all commonly employed models for turbulent reacting flows can be formulated in terms of the joint PDF of the chemical species and enthalpy. Models based on direct closures for the chemical source term as well as transported PDF methods are covered in detail. An introduction to the theory of turbulent and turbulent scalar transport is provided for completeness. The book is aimed at chemical, mechanical, and aerospace engineers in academia and industry, as well as developers of computational fluid dynamics codes for reacting flows.

This book presents an approach to introductory graduate courses on atomic structure. The author's approach utilizes conceptually powerful semiclassical modeling methods, and demonstrates the degree to which the Maslov-indexed EBK quantization elucidates the quantum mechanical formulation of level energies and lifetimes. It merges this with an update and extension of semiempirical data systematizations developed by Bengt Edlén to describe complex atoms, and adapts them to include the specification of lifetimes. The text emphasizes the historical basis of the nomenclature and methodologies of spectroscopy. However, interaction mechanisms are presented deductively, based on quantum mechanical and field theoretical models, rather than tracing their indirect paths of discovery. Many worked examples provide applications to areas such as astrophysics, hyperfine structure, and coherent anisotropic excitation. The book presents a firm foundation for specialists in atomic physics, as well as a c

This book discusses in detail all the relevant numerical methods for the classical N-body problem. It demonstrates how to develop clear and elegant algorithms for models of gravitational systems, and explains the fundamental mathematical tools needed to describe the dynamics of a large number of mutually attractive particles. Particular attention is given to the techniques needed to model astrophysical phenomena such as close encounters and the dynamics of black hole binaries. The author reviews relevant work in the field and covers applications to the problems of planetary formation and star cluster dynamics, both of Pleiades type and globular clusters. Self-contained and pedagogical, this book is suitable for graduate students and researchers in theoretical physics, astronomy and cosmology.

This introductory textbook on mathematical biology focuses on discrete models across a variety of biological subdisciplines. Biological topics treated include linear and non-linear models of populations, Markov models of molecular evolution, phylogenetic tree construction, genetics, and infectious disease models. The coverage of models of molecular evolution and phylogenetic tree construction from DNA sequence data is unique among books at this level. Computer investigations with MATLAB are incorporated throughout, in both exercises and more extensive projects, to give readers hands-on experience with the mathematical models developed. MATLAB programs accompany the text. Mathematical tools, such as matrix algebra, eigenvector analysis, and basic probability, are motivated by biological models and given self-contained developments, so that mathematical prerequisites are minimal.

This introductory textbook on mathematical biology focuses on discrete models across a variety of biological subdisciplines. Biological topics treated include linear and non-linear models of populations, Markov models of molecular evolution, phylogenetic tree construction, genetics, and infectious disease models. The coverage of models of molecular evolution and phylogenetic tree construction from DNA sequence data is unique among books at this level. Computer investigations with MATLAB are incorporated throughout, in both exercises and more extensive projects, to give readers hands-on experience with the mathematical models developed. MATLAB programs accompany the text. Mathematical tools, such as matrix algebra, eigenvector analysis, and basic probability, are motivated by biological models and given self-contained developments, so that mathematical prerequisites are minimal.

This book develops the use of Monte Carlo methods in finance, and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts.

The first edition of this book was the indispensable reference for researchers in the theory of pro-p groups. In this second edition the presentation has been improved and important new material has been added. The first part of the book is group-theoretic. It develops the theory of pro-p groups of finite rank, starting from first principles and using elementary methods. Part II introduces p-adic analytic groups: by taking advantage of the theory developed in Part I, it is possible to define these, and derive all the main results of p-adic Lie theory, without having to develop any sophisticated analytic machinery. Part III, consisting of new material, takes the theory further. Among those topics discussed are the theory of pro-p groups of finite coclass, the dimension subgroup series, and its associated graded Lie algebra. The final chapter sketches a theory of analytic groups over pro-p rings other than the p-adic integers.

Lande (biology, U. of California, San Diego) introduces biological concepts and mathematical methods that have proven useful in analyzing stochastic population dynamics, using field data from bird, ma

Complex variables provide powerful methods for attacking problems that can be very difficult to solve in any other way, and it is the aim of this book to provide a thorough grounding in these methods and their application. Part I of this text provides an introduction to the subject, including analytic functions, integration, series, and residue calculus and also includes transform methods, ODEs in the complex plane, and numerical methods. Part II contains conformal mappings, asymptotic expansions, and the study of Riemann–Hilbert problems. The authors provide an extensive array of applications, illustrative examples and homework exercises. This 2003 edition was improved throughout and is ideal for use in undergraduate and introductory graduate level courses in complex variables.

Introduction to sequential decision processes covers use of dynamic programming in studying models of resource allocation, methods for approximating solutions of control problems in continuous time, p

* Presents theoretical models for interpreting and predicting solubilities in solutions.* Evaluates the collection techniques used to obtain solubility data and presents the most appropriate methods.*

Dynamics of the Atmosphere consists of two parts: the first presenting the mathematical tools needed for a thorough understanding of the topics covered in the second part of the book. The second part begins with the derivation of the equation describing the atmospheric motion on the rotating earth. Subjects tackled in subsequent chapters include kinematics of the atmosphere (including vorticity and circulation theorems), wave motion in the atmosphere, inertial and dynamic stability, and turbulent systems in the atmosphere. Finally, newer methods of weather prediction, such as the spectral technique and the stochastic dynamic method, are introduced in order to demonstrate their potential for extending the forecasting range. Complete with numerous exercise sets and solutions, this textbook has been written for advanced undergraduate and graduate students of meteorology and other related sciences. It may also be used as a reference source by professional meteorologists and researchers in

This book discusses how citizens can participate more effectively in sustainability science and environmental policy debates. It discusses designs for participatory procedures, and experiences of their application to issues of global change. While the focus is on citizen participation, the involvement of specific stakeholders - including water managers and venture capitalists - is also addressed. The book describes how focus group methods were combined with the interactive use of computer models into new forms of participation, tested with six hundred citizens. The results are discussed in relation to other important topics, including greenhouse gas and water management. By combining this with an examination of issues of interactive governance and developing country participation, the book provides state-of-the-art, practical insights for students, researchers and policy makers alike.

This book discusses how citizens can participate more effectively in sustainability science and environmental policy debates. It discusses designs for participatory procedures, and experiences of their application to issues of global change. While the focus is on citizen participation, the involvement of specific stakeholders - including water managers and venture capitalists - is also addressed. The book describes how focus group methods were combined with the interactive use of computer models into new forms of participation, tested with six hundred citizens. The results are discussed in relation to other important topics, including greenhouse gas and water management. By combining this with an examination of issues of interactive governance and developing country participation, the book provides state-of-the-art, practical insights for students, researchers and policy makers alike.

Dynamics of the Atmosphere consists of two parts: the first presenting the mathematical tools needed for a thorough understanding of the topics covered in the second part of the book. The second part begins with the derivation of the equation describing the atmospheric motion on the rotating earth. Subjects tackled in subsequent chapters include kinematics of the atmosphere (including vorticity and circulation theorems), wave motion in the atmosphere, inertial and dynamic stability, and turbulent systems in the atmosphere. Finally, newer methods of weather prediction, such as the spectral technique and the stochastic dynamic method, are introduced in order to demonstrate their potential for extending the forecasting range. Complete with numerous exercise sets and solutions, this textbook has been written for advanced undergraduate and graduate students of meteorology and other related sciences. It may also be used as a reference source by professional meteorologists and researchers in

The globular star clusters of the Milky Way contain hundreds of thousands of stars held together by gravitational interactions, and date from the time when the Milky Way was forming. This 2003 text describes the theory astronomers need for studying globular star clusters. The gravitational million-body problem is an idealised model for understanding the dynamics of a cluster with a million stars. After introducing the million-body problem from various view-points, the book systematically develops the tools needed for studying the million-body problems in nature, and introduces the most important theoretical models. Including a comprehensive treatment of few-body interactions, and developing an intuitive but quantitative understanding of the three-body problem, the book introduces numerical methods, relevant software, and current problems. Suitable for graduate students and researchers in astrophysics and astronomy, this text also has important applications in the fields of theoretica

The globular star clusters of the Milky Way contain hundreds of thousands of stars held together by gravitational interactions, and date from the time when the Milky Way was forming. This 2003 text describes the theory astronomers need for studying globular star clusters. The gravitational million-body problem is an idealised model for understanding the dynamics of a cluster with a million stars. After introducing the million-body problem from various view-points, the book systematically develops the tools needed for studying the million-body problems in nature, and introduces the most important theoretical models. Including a comprehensive treatment of few-body interactions, and developing an intuitive but quantitative understanding of the three-body problem, the book introduces numerical methods, relevant software, and current problems. Suitable for graduate students and researchers in astrophysics and astronomy, this text also has important applications in the fields of theoretica

Offers a current analysis of mathematical methods used in the identification of models for hydrologic forecasting, design, and water resources management. The volume's 24 contributions address calibra

Facility in the targeted manipulation of the genetic and metabolic composition of organisms, combined with unprecedented computational power, is forging a niche for a new subspecialty of biotechnology called metabolic engineering. First published in 2002, this book introduces researchers and advanced students in biology and engineering to methods of optimizing biochemical systems of biotechnological relevance. It examines the development of strategies for manipulating metabolic pathways, demonstrates the need for effective systems models, and discusses their design and analysis, while placing special emphasis on optimization. The authors propose power-law models and methods of biochemical systems theory toward these ends. All concepts are derived from first principles, and the text is richly illustrated with numerous graphs and examples throughout. Special features include: nontechnical and technical introductions to models of biochemical systems; a review of basic methods of model des

In this short and very practical 2002 introduction to econometrics Philip Hans Franses guides the reader through the essential concepts of econometrics. Central to the book are practical questions in various economic disciplines, which can be answered using econometric methods and models. The book focuses on a limited number of the essential, most widely used methods, before going on to review the basics of econometrics. The book ends with a number of case studies drawn from recent empirical work to provide an intuitive illustration of what econometricians do when faced with practical questions. Throughout the book Franses emphasises the importance of specification, evaluation and implementation of models appropriate to the data. Assuming basic familiarity only with matrix algebra and calculus the book is designed to appeal as either a short stand-alone introduction for students embarking on an empirical research project or as a supplement to any standard introductory textbook.

In an age where companies and financial institutions are keenly focused on managing the financial risk of their operations, the implementation of quantitative methods and models has been of tremendous

This volume collects seven of Marc Nerlove's previously published, classic essays on panel data econometrics written over the past thirty-five years, together with a cogent essay on the history of the subject, which began with George Biddell Airey's monograph published in 1861. Since Professor Nerlove's 1966 Econometrica paper with Pietro Balestra, panel data and methods of econometric analysis appropriate to such data have become increasingly important in the discipline. The principal factors in the research environment affecting the future course of panel data econometrics are the phenomenal growth in the computational power available to the individual researcher at his or her desktop and the ready availability of data sets, both large and small, via the Internet. The best way to formulate statistical models for inference is motivated and shaped by substantive problems and understanding of the processes generating the data at hand to resolve them. The essays illustrate both the role

Emphasizing the foundations of dynamic optimization models, this book presents foundational results, concepts, methods, and tools useful in building and analyzing stochastic inventory models. Topics

This 2002 book introduces the quantum theory of gauge fields. Emphasis is placed on four non-perturbative methods: path integrals, lattice gauge theories, the 1/N expansion, and reduced matrix models, all of which have important contemporary applications. Written as a textbook, it assumes a knowledge of quantum mechanics and elements of perturbation theory, while many relevant concepts are pedagogically introduced at a basic level in the first half of the book. The second half comprehensively covers large-N Yang-Mills theory. The book uses an approach to gauge theories based on path-dependent phase factors known as the Wilson loops, and contains problems with detailed solutions to aid understanding. Suitable for advanced graduate courses in quantum field theory, the book will also be of interest to researchers in high energy theory and condensed matter physics as a survey of recent developments in gauge theory.

Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be app

Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be app

The second edition of this book is unique in that it focuses on methods for making formal statistical inference from all the models in an a priori set (Multi-Model Inference). A philosophy is presente

Covering sex allocation, sex determination and operational sex ratios, this multi-author volume provides both a conceptual context and an instruction in methods for many aspects of sex ratio research. Theory, statistical analysis and genetics are each explained and discussed in the first three sections. The remaining chapters each focus on research in one of a wide spectrum of animal, plant and microbial taxa, including sex ratio distorting bacteria in invertebrates, malarial parasites, birds, human and other mammals, giving critical appraisals of such research. Sex Ratios: Concepts and Research Methods is primarily intended for graduate and professional behavioural and evolutionary ecologists in this field, but it will also be useful to biologists building evolutionary models, and researchers analysing data involving proportions or comparisons across phylogenetically related species.

Covering sex allocation, sex determination and operational sex ratios, this multi-author volume provides both a conceptual context and an instruction in methods for many aspects of sex ratio research. Theory, statistical analysis and genetics are each explained and discussed in the first three sections. The remaining chapters each focus on research in one of a wide spectrum of animal, plant and microbial taxa, including sex ratio distorting bacteria in invertebrates, malarial parasites, birds, human and other mammals, giving critical appraisals of such research. Sex Ratios: Concepts and Research Methods is primarily intended for graduate and professional behavioural and evolutionary ecologists in this field, but it will also be useful to biologists building evolutionary models, and researchers analysing data involving proportions or comparisons across phylogenetically related species.

Certain interactions, such as nuclear forces and the forces of 'high-energy' physics, which arise in the theory of elementary particles, cannot be described successfully by quantum field theory. Considerable interest has therefore centred on attempts to formulate interactions between elementary particles in terms of the S-Matrix, an operator introduced by Heisenberg which connects the input and output of a scattering experiment without seeking to give a localized description of the intervening events. In this book four authors, who are together responsible for many of these developments, set out a theory of the S-Matrix starting, as far as possible, from physically plausible assumptions and investigate the mathematical consequences. The least understood of these assumptions is the vital postulate of analyticity; much insight can however be gained into its working by a study of the Feyman integrals and the book describes what is known about their analytic and high energy properties. Ori

This second volume includes research contributions on the use of dynamical systems and stochastic models in disease dynamics. Graduate students in applied mathematics, scientists in the natural, soci

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Prici