Matrix-analytic Methods in Stochastic Models

Non-commutative fields (also called skew fields or division rings) have not been studied as thoroughly as their commutative counterparts, and most accounts have hitherto been confined to division algebras - that is skew fields finite dimensional over their centre. Based on the author's LMS lecture note volume Skew Field Constructions, the present work offers a comprehensive account of skew fields. The axiomatic foundation, and a precise description of the embedding problem, is followed by an account of algebraic and topological construction methods, in particular, the author's general embedding theory is presented with full proofs, leading to the construction of skew fields. The powerful coproduct theorem of G. M. Bergman is proved here, as well as the properties of the matrix reduction functor, a useful but little-known construction providing a source of examples and counter-examples. The construction and basic properties of existentially closed skew fields are given, leading to an ex

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students.

This is a graduate text surveying both the theoretical and experimental aspects of chaotic behaviour. Over the course of the past two decades it has been discovered that relatively simple, deterministic, nonlinear mathematical models that describe dynamic phenomena in various physical, chemical, biological and other systems yield solutions which are aperiodic and depend very sensitively on the initial conditions. This phenomenon is known as deterministic chaos. The authors present chaos as a model of many seemingly random processes in nature. Basic notions from the theory of dynamical systems and bifurcation theory, together with the properties of chaotic solutions, are then described and are illustrated by examples. A review of the numerical methods used both in studies of mathematical models and in the interpretation of experimental data is also provided.

This is a self-contained introduction to analytic methods in number theory. It offers to students and those beginning research a systematic and consistent account of the subject but will also be a con

Stochastic partial differential equations can be used in many areas of science to model complex systems that evolve over time. Their analysis is currently an area of much research interest. This book consists of papers given at the ICMS Edinburgh meeting held in 1994 on this topic, and it brings together some of the world's best known authorities on stochastic partial differential equations. Subjects covered include the stochastic Navier–Stokes equation, critical branching systems, population models, statistical dynamics, and ergodic properties of Markov semigroups. For all workers on stochastic partial differential equations this book will have much to offer.

Observational Astrophysics provides a comprehensive and accessible introduction to the whole of modern astrophysics beyond the Solar System. It combines a critical account of observational methods (telescopes and instrumentation) with a lucid description of the Universe, including stars, galaxies and cosmology. The first half describes the techniques used by astronomers to observe the Universe: optical telescopes and instruments are discussed in detail, but observations at all wavelengths are covered, from radio to gamma-rays. After a short interlude describing the appearance of the sky at all wavelengths, the role of positional astronomy is highlighted. In the second half, a clear description is given of the contents of the Universe, including accounts of stellar evolution and cosmological models. Fully illustrated throughout, with exercises given in each chapter, this textbook provides a thorough introduction to astrophysics for all physics undergraduates, and a valuable background f

The aim of this book is to develop a unified approach to nonlinear science, which does justice to its multiple facets and to the diversity and richness of the concepts and tools developed in this field over the years. Nonlinear science emerged in its present form following a series of closely related and decisive analytic, numerical and experimental developments that took place over the past three decades. It appeals to an extremely large variety of subject areas, but, at the same time, introduces into science a new way of thinking based on a subtle interplay between qualitative and quantitative techniques, topological and metric considerations and deterministic and statistical views. Special effort has been made throughout the book to illustrate both the development of the subject and the mathematical techniques, by reference to simple models. Each chapter concludes with a set of problems. This book will be of great value to graduate students in physics, applied mathematics, chemistry

This book is a tool for the theoretical and numerical investigation of nonlinear dynamical systems modelled by means of ordinary differential and difference equations. The work is divided into two parts: a book, comprising a theoretical overview of the subject matter and a number of applications; and an integrated software program. Although the emphasis is laid on dynamical systems arising from economic motivation, and the applications are derived from these systems, both the text and the program will also be of use to researchers in other fields of study. The book first discusses the fundamental concepts and methods of chaos theory, and then applies these theoretical results and the facilities provided by the companion software program to models suggested by economic problems.

Markov chains are an important idea, related to random walks, which crops up widely in applied stochastic analysis. They are used, for example, in performance modelling and evaluation of computer networks, queuing networks, and telecommunication systems. The main point of the present book is to provide methods, based on the construction of Lyapunov functions, of determining when a Markov chain is ergodic, null recurrent, or transient. These methods can also be extended to the study of questions of stability. Of particular concern are reflected random walks and reflected Brownian motion. The authors provide not only a self-contained introduction to the theory but also details of how the required Lyapunov functions are constructed in various situations.

This book provides an account of developments and applications of social accounts. It concentrates particularly on the methods of social accounting that Richard Stone, Nobel Laureate in Economics, developed and applied during his long and distinguished career. The contributors to the volume examine applications of social accounts in economics and demography, addressing issues of new formulations and specifications at the national and regional levels. Economic structure and issues of structural change are investigated within the context of social accounts matrices, and Linear Expenditure Systems are used to model population change and household consumption. The importance of social accounts matrices (SAM) in generating Computable General Equilibrium (CGE) models and the enormous potential that both SAM and CGE models have for policy analysis are stressed.

This book analyses the crucial features of unionised labour markets. The models in the book refer to labour contracts between unions and management, but the method of analysis is also applicable to non-union labour markets where workers have some market power. In this book, Alison Booth, a researcher in the field, emphasises the connection between theoretical and empirical approaches to studying unionised labour markets. She also highlights the importance of taking into account institutional differences between countries and sectors when constructing models of the unionised labour market. While the focus of the book is on the US and British unionised labour markets, the models and analytical methods are applicable to other industrialised countries with appropriate modifications.

This book analyses the crucial features of unionised labour markets. The models in the book refer to labour contracts between unions and management, but the method of analysis is also applicable to non-union labour markets where workers have some market power. In this book, Alison Booth, a researcher in the field, emphasises the connection between theoretical and empirical approaches to studying unionised labour markets. She also highlights the importance of taking into account institutional differences between countries and sectors when constructing models of the unionised labour market. While the focus of the book is on the US and British unionised labour markets, the models and analytical methods are applicable to other industrialised countries with appropriate modifications.

This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White first explores the underlying motivation for maximum-likelihood estimation, treats the interpretation of the maximum-likelihood estimator (MLE) for misspecified probability models, and gives the conditions under which parameters of interest can be consistently estimated despite misspecification, and the consequences of misspecification, for hypothesis testing in estimating the asymptotic covariance matrix of the parameters. Although the theory presented in the book is motivated by econometric problems, its applicability is by no means restricted to economics. Subject to defined limitations, the theory applies to any scientific context in which statistical analysis is conducted using approximate models.

A graduate or undergraduate textbook for students in any field that uses computer models and simulation. Knowledge of differential equations, linear algebra, and matrix analysis, and some programming

This is a substantial revision of a much-quoted monograph, first published in 1974. The structure is unchanged, but the text has been clarified and the notation brought into line with current practice. A large number of 'Additional Results' are included at the end of each chapter, thereby covering most of the major advances in the last twenty years. Professor Biggs' basic aim remains to express properties of graphs in algebraic terms, then to deduce theorems about them. In the first part, he tackles the applications of linear algebra and matrix theory to the study of graphs; algebraic constructions such as adjacency matrix and the incidence matrix and their applications are discussed in depth. There follows an extensive account of the theory of chromatic polynomials, a subject which has strong links with the 'interaction models' studied in theoretical physics, and the theory of knots. The last part deals with symmetry and regularity properties. Here there are important connections with

Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedures, deterministic methods adapted to Mar

As the analysis of social networks, or networks of interpersonal and social relationships among social groups, has become an increasingly important method of research in several of the social and behavioural sciences, the gathering of network data has outpaced the development of new methods for its analysis. Addressing the need for analytical tools, Philippa Pattison presents a number of algebraic models for the analysis of network data, explaining in the process the rationale for an algebraic approach. Models are developed for both complete networks, meaning those representing the social ties between all pairs of members in a given group, and local networks, meaning those structured around the social ties of one particular group member. Many applications are presented and the ways that these methods can address a number of important issues confronting network analysis are explained.

In this book David Currie and Paul Levine address a broad range of issues concerning the design and conduct of macroeconomic policy in open economies. Adopting neo-Keynesian models for which monetary and fiscal policy have short-term real effects, they analyse active stabilisation policies in both a single- and multi-country context. Questions addressed include: the merits of simple policy rules, policy design in the face of uncertainty and international policy coordination. A central feature of the book is the treatment of credibility and the effect of a policy-maker's reputation for sticking to announced policies. These considerations are integrated with coordination issues to produce a unique synthesis. The volume develops optimal control methods and dynamic game theory to handle relationships between governments and a conscious rational private sector and produces a unified, coherent approach to the subject. This book will be of interest to students and teachers of open economy mac

This is a fully revised and updated version of Hans van der Doel's Democracy and Welfare Economics. It presents the economic theory of political decision-making (otherwise knownn as new political economy, or public choice), providing students with an accessible and clear introduction to this important subject. The authors identify four different methods of decision-making by which the political process transforms the demands of individual citizens into government policy and public goods and services: negotiation, majority decision, representations and bureaucratic implementation. These are analysed, in turn, as independent decision-making models whose effectiveness is examined with reference to economic theory. A final chapter draws conclusions from this analysis, arguing that the size of the public sector is a result of forces that work in different directions at different stages of the political process.

Observations of ocean circulation have increased as a result of international field programmes and of remote sensing systems on artificial earth satellites. Oceanographers are increasingly turning to inverse methods for combining these observations with numerical models of ocean circulation. Professor Bennett's work explores the potential for inverse theory, emphasizing possibilities rather than expedient or rudimentary applications. In addition to interpolating the data and adding realism to the model solutions, the methods can yield estimates for unobserved flow variables, forcing fields, and model parameters. Inverse formulations can resolve ill-posed modelling problems, lead to design criteria for oceanic observing systems, and enable the testing of models as scientific hypothesis. Exercises of varying difficulty rehearse technical skills and supplement the central theoretical development. Thus this book will be invaluable for environmental scientists and engineers, advanced underg

An introduction to analysis techniques used in the design of linear feedback control systems with an emphasis on both classical and matrix methods. After introducing general state space and input-outp

This book outlines the basic science underlying the prediction of stress and velocity distributions in granular materials. It takes the form of a textbook suitable for postgraduate courses, research workers and for use in design offices. The nature of a rigid-plastic material is discussed and a comparison is made between the Coulomb and conical (extended Von Mises) models. The methods of measuring material properties are described and an interpretation of the experimental results is considered in the context of the Critical State Theory. The book will be an invaluable text for all those working with or doing research into granular materials. Exercises and solutions are provided which will be particularly useful for the student.

This text is a beginning graduate-level introduction to neural networks, focussing on current theoretical models, examining what these models can reveal about how the brain functions, and discussing the ramifications for psychology, artificial intelligence and the construction of a new generation of intelligent computers. The book is divided into four parts. The first part gives an account of the anatomy of the central nervous system, followed by a brief introduction to neurophysiology. The second part is devoted to the dynamics of neuronal states, and demonstrates how very simple models may stimulate associative memory. The third part of the book discusses models of learning, including detailed discussions on the limits of memory storage, methods of learning and their associated models, associativity, and error correction. The final part reviews possible applications of neural networks in artificial intelligence, expert systems, optimization problems, and the construction of actual ne

This text is a beginning graduate-level introduction to neural networks, focussing on current theoretical models, examining what these models can reveal about how the brain functions, and discussing the ramifications for psychology, artificial intelligence and the construction of a new generation of intelligent computers. The book is divided into four parts. The first part gives an account of the anatomy of the central nervous system, followed by a brief introduction to neurophysiology. The second part is devoted to the dynamics of neuronal states, and demonstrates how very simple models may stimulate associative memory. The third part of the book discusses models of learning, including detailed discussions on the limits of memory storage, methods of learning and their associated models, associativity, and error correction. The final part reviews possible applications of neural networks in artificial intelligence, expert systems, optimization problems, and the construction of actual ne

Developed fifty years ago by the National Bureau of Economic Research, the analytic methods of business cycles and economic indicators enable economists to forecast economic trends by examining the repetitive sequences that occur in business cycles. The methodology has proven to be an inexpensive and useful tool that is now used extensively throughout the world. In recent years, however, significant new developments have emerged in the field of business cycles and economic indicators. This volume contains twenty-two articles by international experts who are working with new and innovative approaches to indicator research. They cover advances in three broad areas of research: the use of new developments in economic theory and time-series analysis to rationalise existing systems of indicators; more appropriate methods to evaluate the forecasting records of leading indicators, particularly of turning point probability; and the development of new indicators.

This book, the first in the Cambridge Nonlinear Science Series, presents the fundamentals of chaos theory in conservative systems, providing a systematic study of the theory of transitional states of physical systems which lie between deterministic and chaotic behaviour. The authors' treatment of transitions to chaos, the theory of stochastic layers and webs, and the numerous applications of this theory, particularly to pattern symmetry, will make the book of importance to scientists from many disciplines.The authors have been meticulous in providing a detailed presentation of the material, enabling the reader to learn the necessary computational methods and to apply them in other problems. The inclusion of a significant amount of computer graphics is also an important aid to understanding. The final section of the book contains a fascinating collection of patterns in art and living nature. The book will be of interest to graduate students and researchers in physics and mathematics who

These volumes contain a collection of essays by many of the closest co-workers of Raphael Høegh-Krohn, 1938–88, one of the outstanding mathematical physicists of our age. The contributions vary in style, purpose, and content - some are surveys where leading experts sum up and clarify a subject area, others are new and adventurous expeditions into unknown territory. The topics cover most aspects of modern mathematical physics with special emphasis on methods from operator theory and stochastic analysis. Many of the papers are based on talks given at a symposium in honor of Høegh-Krohn at the University of Oslo: however the final volumes are far more than proceedings and great care has been taken to attract contributions from the leading researchers.

These volumes contain a collection of essays by many of the closest co-workers of Raphael Høegh-Krohn, 1938–88, one of the outstanding mathematical physicists of our age. The contributions vary in style, purpose and content - some are surveys where leading experts sum up and clarify a subject area, others are new and adventurous expeditions into unknown territory. The topics cover most aspects of modern mathematical physics with special emphasis on methods from operator theory and stochastic analysis. Many of the papers are based on talks given at a symposium in honour of Høegh-Krohn at the University of Oslo; however the final volumes are far more than proceedings and great care has been taken to attract contributions from the leading researchers.

This book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data.

This book provides students and research workers in the biological, medical and social sciences with the statistical background needed to collect and analyse data in an intelligent and critical manner. Key examples and case studies are used to illustrate commonly encountered research problems and to explain how they may be solved or even avoided altogether. Professor Manly also presents a clear understanding of the opportunities and limitations of different research designs, as well as an introduction to some new methods of analysis that are proving increasingly popular. Topics covered include the differences between observational and experimental studies; the design of sample surveys; multiple regression and its generalizations to log-linear and logistic models; experimental and quasi-experimental designs; interrupted time series; computer intensive methods of statistical inference; and the ethical considerations of research. In the final chapter, there is a useful discussion of how t

The interaction between light and electrons in semiconductors forms the basis for many interesting and practically significant properties. This book examines the fundamental physics underlying this rich complexity of photoelectronic properties of semiconductors, and will familiarise the reader with the relatively simple models that are useful in describing these fundamentals. The basic physics is also illustrated with typical recent examples of experimental data and observations. Following introductory material on the basic concepts, the book moves on to consider a wide range of phenomena, including photoconductivity, recombination effects, photoelectronic methods of defect analysis, photoeffects at grain boundaries, amorphous semiconductors, photovoltaic effects and photoeffects in quantum wells and superlattices. The author is Professor of Materials Science and Electrical Engineering at Stanford University, and has taught this material for many years. He is an experienced author, his

The dynamics of physical, chemical, biological, or fluid systems generally must be described by nonlinear models, whose detailed mathematical solutions are not obtainable. To understand some aspects of such dynamics, various complementary methods and viewpoints are of crucial importance. In this book the perspectives generated by analytical, topological and computational methods, and interplays between them, are developed in a variety of contexts. This book is a comprehensive introduction to this field, suited to a broad readership, and reflecting a wide range of applications. Some of the concepts considered are: topological equivalence; embeddings; dimensions and fractals; Poincaré maps and map-dynamics; empirical computational sciences vis-á-vis mathematics; Ulam's synergetics; Turing's instability and dissipative structures; chaos; dynamic entropies; Lorenz and Rossler models; predator-prey and replicator models; FPU and KAM phenomena; solitons and nonsolitons; coupled maps and patt

The dynamics of physical, chemical, biological or fluid systems generally must be described by nonlinear models, whose detailed mathematical solutions are not obtainable. To understand some aspects of such dynamics, various complementary methods and viewpoints are of crucial importance. In this book and its companion volume, Perspectives of nonlinear dynamics, volume 1, the perspectives generated by analytical, topological and computational methods, and interplays between them, are developed in a variety of contexts. The presentation and style is intended to stimulate the reader's imagination to apply these methods to a host of problems and situations. The text is complemented by copious references, extensive historical and bibliographical notes, exercises and examples, and appendices giving more details of some mathematical ideas. Each chapter includes an extensive section commentary on the exercises and their solution. Graduate students and research workers in physics, applied mathem

Introduces matrix theory combining algebraic and analytic aspects and provides concise exposition of the basic ideas, results, and techniques in the subject. Presumes no knowledge beyond some familiar

This collection of papers delivered at the Fifth International Symposium in Economic Theory and Econometrics in 1988 is devoted to the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data. Particularly in highly non-linear models, empirical results are very sensitive to the choice of the parametric form of the distribution of the observable variables, and often nonparametric and semiparametric models are a preferable alternative. Methods and applications that do not require string parametric assumptions for their validity, that are based on kernels and on series expansions, and methods for independent and dependent observations are investigated and developed in these essays by renowned econometricians.

Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.

This collection of papers delivered at the Fifth International Symposium in Economic Theory and Econometrics in 1988 is devoted to the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data. Particularly in highly non-linear models, empirical results are very sensitive to the choice of the parametric form of the distribution of the observable variables, and often nonparametric and semiparametric models are a preferable alternative. Methods and applications that do not require string parametric assumptions for their validity, that are based on kernels and on series expansions, and methods for independent and dependent observations are investigated and developed in these essays by renowned econometricians.

The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques

This book describes the main methods of one- and two-dimensional high-resolution nuclear magnetic resonance spectroscopy in liquids within the quantum-mechanical formalism of the density matrix. In vi