Stochastics Books

Hereditary systems (or systems with either delay or after-effects) are widely used to model processes in physics, mechanics, control, economics and biology. An important element in their study is their stability. Stability...

Corresponding to the link of Itô's stochastic differential equations (SDEs) and linear parabolic equations, distribution dependent SDEs (DDSDEs) characterize nonlinear Fokker-Planck equations. This type of SDEs is named after McKean-Vlasov due to the...

This is a development of the book entitled Multidimensional Second Order Stochastic Processes. It provides a research expository treatment of infinite-dimensional stationary and nonstationary stochastic processes or time series, based on Hilbert and...

This book explains the importance of using the probability that the hypothesis is correct (PHC), an intuitive measure that anyone can understand, as an alternative to the p-value. In order to overcome the "reproducibility crisis" caused by the...

This book is devoted to real analysis methods for the problem of constructing Markov processes with boundary conditions in probability theory. Analytically, a Markovian particle in a domain of Euclidean space is governed by an integro-differential...

This research monograph explores new frontiers in Markov chains. Although time-homogeneous Markov chains are well understood, this is not at all the case with time-inhomogeneous ones. The book, after a review on the classical theory of homogeneous...

This thesis advances our understanding of how thermal anisotropy can be exploited to extract work through a mechanism that is quite distinct from the classical Carnot heat engine. Anisotropy, the presence of thermal or chemical gradients, is ubiquitous...

A collection of 20 refereed research or review papers presented at a six-day seminar in Switzerland. The contributions focus on stochastic analysis, its applications to the engineering sciences, and stochastic methods in...

This volume contains twenty refereed papers presented at the 4th Seminar on Stochastic Processes, Random Fields and Applications, which took place in Ascona, Switzerland, from May 2002. The seminar focused mainly on stochastic...

This book characterizes the discrete event simulation and analysis using ExtendSim 10. It is a blend between theory and application leaning largely to the weight of the latter. Since the ExtendSim 8 version of the book (13 years ago) there has been...

Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than...

This book investigates statistical observables for anomalous and nonergodic dynamics, focusing on the dynamical behaviors of particles modelled by non-Brownian stochastic processes in the complex real-world environment.

This book provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, SDEs and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at...

Problems and Solutions in Stochastic Calculus with Applications exposes readers to simple ideas and proofs in stochastic calculus and its applications. It is intended as a companion to the successful original title Introduction to Stochastic...

Stochastic Processes with R: An Introduction cuts through the heavy theory that is present in most courses on random processes and serves as practical guide to simulated trajectories and real-life applications for stochastic processes. The light yet...

An easy-to-understand guide to modelling productivity and efficiency using modern statistical tools. Introduces the fundamentals of stochastic frontier analysis (SFA) and the latest concepts and methods related to the use of copulas in SFA. A useful...

Most branches of science involving random fluctuations can be approached by Stochastic Calculus. These include, but are not limited to, signal processing, noise filtering, stochastic control, optimal stopping, electrical circuits, financial markets,...

"Twenty Lectures ..." is based on a course that Professor Piterbarg, a founder of the asymptotic theory of Gaussian processes and fields, teaches to higher-level undergraduate and graduate students at the Faculty of Mechanics and Mathematics, Lomonosov...

This book provides real-life examples and illustrations of models in reliability engineering and statistical quality control and establishes a connection between the theoretical framework and their engineering applications.

This book is a collective work by many leading scientists, analysts, mathematicians, and engineers who have been working on the front end of reliability science and engineering. The book covers conventional and contemporary topics in reliability science,...

This book on stochastic analysis is a valuable guide for mathematicians, economists, and students and researchers in the field of finance. In this book, some of the most crucial aspects of stochastic analysis have been presented. Also included in this...

Diplomarbeit aus dem Jahr 2007 im Fachbereich Mathematik - Stochastik, Note: sehr gut, Philipps-Universität Marburg (Fachbereich Mathematik), Sprache: Deutsch, Abstract: Der Begriff "Fraktal" wurde in den 70er Jahren von Mandelbrot in seinem Buch "The...