This book shows the breath and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncert
An intuitive, yet precise introduction to probability theory, stochastic processes, statistical inference, and probabilistic models used in science, engineering, economics, and related fields. This is
This book presents the current status and research trends in Stochastic Analysis. Several new and emerging research areas are described in detail, highlighting the present outlook in Stochastic Analys
A mathematical and intuitive approach to probability, statistics, and stochastic processesThis textbook provides a unique, balanced approach to probability, statistics, and stochastic processes. Reade
Stochastic Drawdowns consists of some recent advances on Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In particular, the author provide
This is the expanded second edition of a successful textbook that provides a broad introduction to the important area of stochastic modelling. The original text had been developed from lecture notes f
This is the expanded second edition of a successful textbook that provides a broad introduction to the important area of stochastic modelling. The original text had been developed from lecture notes f
For more than half a century, stochastic calculus and stochastic differential equations have played a major role in analyzing the dynamic phenomena in the biological and physical sciences, as well as
For more than half a century, stochastic calculus and stochastic differential equations have played a major role in analyzing the dynamic phenomena in the biological and physical sciences, as well as
This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to p
This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to p
The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profound
This book introduces some advanced topics in probability theories - both pure and applied. It is divided into two parts: the first part deals with the analysis of stochastic dynamical systems, in term
With the advance of new computing technology, simulation is becoming very popular for designing large, complex and stochastic engineering systems, since closed-form analytical solutions generally do n
Stochastic dynamics has been a subject of interest since the early 20th Century. Since then, much progress has been made in this field of study, and many modern applications for it have been found in
The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary det
This textbook on elementary stochastic calculus is designed for senior undergraduate students in math, economics, and business. Although the material is presented at an introductory level, students sh
This volume contains pedagogical, review and research level papers on fractional stochastic and quantum processes which have been the focus of intensive mathematical, experimental, and computational s
This book presents a systematic treatment of Markov chains, diffusion processes and state space models, as well as alternative approaches to Markov chains through stochastic difference equations and s
The study of measure-valued processes in random environments has seen some intensive research activities in recent years whereby interesting nonlinear stochastic partial differential equations (SPDEs)
Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, co
This book provides an introductory albeit solid presentation of path integration techniques as applied to the field of stochastic processes. The subject began with the work of Wiener during the 1920's
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 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 book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker–Planck–Kolmogorov
In methodology, a two-equation generalized stochastic frontier model is used to study the dynamic and stochastic behavior of productive efficiency through time. The model represents an important exten
The book features new directions in analysis, with an emphasis on Hilbert space, mathematical physics, and stochastic processes. We interpret "non-commutative analysis" broadly to include re
The book features new directions in analysis, with an emphasis on Hilbert space, mathematical physics, and stochastic processes. We interpret "non-commutative analysis" broadly to include re
This book contains original research papers by leading experts in the fields of probability theory, stochastic analysis, potential theory and mathematical physics. There is also a historical account o
Stochastic descriptions of a harmonic oscillator can be obtained by adding additive noise, or/and three types of multiplicative noise: random frequency, random damping and random mass. The first three
This volume first introduces the mathematical tools necessary for understanding and working with a broad class of applied stochastic models. The toolbox includes Gaussian processes, independently scat
Weak convergence of stochastic processes is one of most important theories in probability theory. Not only probability experts but also more and more statisticians are interested in it. In the study o
Stochastic analysis on Riemannian manifolds without boundary has been well established. However, the analysis for reflecting diffusion processes and sub-elliptic diffusion processes is far from comple
Artificial neural networks are most suitable for solving problems that are complex, ill-defined, highly nonlinear, of many and different variables, and/or stochastic. Such problems are abundant in med
A discrete-time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag, i.e. like a power of the lag, as the lag
This book concerns continuous-time controlled Markov chains and Markov games. The former, which are also known as continuous-time Markov decision processes, form a class of stochastic control problems
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
Introduction to Computational Earthquake Engineering covers solid continuum mechanics, finite element method and stochastic modeling comprehensively, with the second and third chapters explaining the
This volume contains current work at the frontiers of research in quantum probability, infinite dimensional stochastic analysis, quantum information and statistics. It presents a carefully chosen coll
