Stochastic Programing

A ground-breaking and practical treatment of probability and stochastic processesA Modern Theory of Random Variation is a new and radical re-formulation of the mathematical underpinnings of subjects a

Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unif

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineerin

This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directi

This book constitutes the refereed proceedings of the 19th International Conference on Analytical and Stochastic Modelling Techniques and Applications, ASMTA 2012, held in Grenoble, France, in June 20

"Risk analysis is crucial in stochastic supply chain models. Over the past few years, the pace has quickened for research attempting to explore risk analysis issues in supply chain management problem

The monograph addresses a problem of stochastic analysis based on the uncertainty assessment by simulation and application of this method in ecology and steel industry under uncertainty. The first cha

Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly help

This book addresses the stochastic modeling of telecommunication networks, introducing the main mathematical tools for that purpose, such as Markov processes, real and spatial point processes and stoc

Stochastic reachability analysis (SRA) is a method of analyzing the behavior of control systems which mix discrete and continuous dynamics. For probabilistic discrete systems it has been shown to be a

Using a simple yet rigorous approach, Algebraic and Stochastic Coding Theory makes the subject of coding theory easy to understand for readers with a thorough knowledge of digital arithmetic, Boolean

Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications the

Stochastic global optimization is a very important subject, that has applications in virtually all areas of science and technology. Therefore there is nothing more opportune than writing a book about

A comprehensive exposition of a systematic theory of Taylor expansions of evolutionary-type stochastic partial differential equations (SPDEs). Applied and pure mathematicians interested in using and f

Mathematical methods for modeling random phenomena are a natural choice in the image analysis field and stochastic models have been quickly developed to model the information content of images as well

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and ap

This unique two-volume set presents the subjects of stochastic processes, information theory, and Lie groups in a unified setting, thereby building bridges between fields that are rarely studied by th

Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineerin

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The in

This book constitutes the refereed proceedings of the 18th International Conference on Analytical and Stochastic Modeling Techniques and Applications, ASMTA 2011, held in Venice, Italyin June 2011.The

Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent

This volume presents explicit approximations of the quasi-stationary distribution and of the expected time to extinction from the state one and from quasi-stationarity for the stochastic logistic SIS

This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Ve

Non-linear stochastic systems are at the center of many engineering disciplines and progress in theoretical research had led to a better understanding of non-linear phenomena. This book provides infor

The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is

Methods of global analysis and stochastic analysis are most often applied in mathematical physics as separate entities, thus forming important directions in the field. However, while combination of th

It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published,

This new edition of Stochastic Linear Programming: Models, Theory and Computation has been brought completely up to date, either dealing with or at least referring to new material on models and method

Motivated by practical optimization problems occurring in energy systems with regenerative energy supply, Debora Mahlke formulates and analyzes multistage stochastic mixed-integer models. For their so

In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical s

This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among

The first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial c

Stochastic distribution control (SDC) systems are widely seen in practical industrial processes, the aim of the controller design being generation of output probability density functions for non-Gaus

Stochastic scheduling is in the area of production scheduling. There is a dearth of work that analyzes the variability of schedules. In a stochastic environment, in which the processing time of a job is not known with certainty, a schedule is typically analyzed based on the expected value of a performance measure. This book addresses this problem and presents algorithms to determine the variability of a schedule under various machine configurations and objective functions. It is intended for graduate and advanced undergraduate students in manufacturing, operations management, applied mathematics, and computer science, and it is also a good reference book for practitioners. Computer software containing the algorithms is provided on an accompanying website for ease of student and user implementation.

The activity of neurons in the brain is noisy in that their firing times are random when they are firing at a given rate. This introduces a random or stochastic property into brain processing which we

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping

Stochastic Geometry is a subject with roots stretching back at least 300 years, but one which has only been formed as an academic area in the last 50 years. It covers the study of random patterns, the

This is the first book to promote the use of stochastic, or random, processes to understand, model and predict our climate system. One of the most important applications of this technique is in the representation of comprehensive climate models of processes which, although crucial, are too small or fast to be explicitly modelled. The book shows how stochastic methods can lead to improvements in climate simulation and prediction, compared with more conventional bulk-formula parameterization procedures. Beginning with expositions of the relevant mathematical theory, the book moves on to describe numerous practical applications. It covers the complete range of time scales of climate variability, from seasonal to decadal, centennial, and millennial. With contributions from leading experts in climate physics, this book is invaluable to anyone working on climate models, including graduate students and researchers in the atmospheric and oceanic sciences, numerical weather forecasting, climate

Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications the

The book is a collection of problems in thetheory of stochastic processes and its application to financial mathematics and risk theory. More than 1000 problems aredivided into 23 chapters