krainaksiazek fundamentals of probability with stochastic processes third edition 20089822

- znaleziono 7 produktów w 2 sklepach

Fundamentals of Applied Probability and Random Processes - 2854310112

381,47 zł

Fundamentals of Applied Probability and Random Processes ACADEMIC PRESS

Książki / Literatura obcojęzyczna

The long-awaited revision of Fundamentals of Applied Probability and Random Processes expands on the central components that made the first edition a classic. The title is based on the premise that engineers use probability as a modeling tool, and that probability can be applied to the solution of engineering problems. Engineers and students studying probability and random processes also need to analyze data, and thus need some knowledge of statistics. This book is designed to provide students with a thorough grounding in probability and stochastic processes, demonstrate their applicability to real-world problems, and introduce the basics of statistics. The book's clear writing style and homework problems make it ideal for the classroom or for self-study. * Demonstrates concepts with more than 100 illustrations, including 2 dozen new drawings* Expands readers' understanding of disruptive statistics in a new chapter (chapter 8) * Provides new chapter on Introduction to Random Processes with 14 new illustrations and tables explaining key concepts.* Includes two chapters devoted to the two branches of statistics, namely descriptive statistics (chapter 8) and inferential (or inductive) statistics (chapter 9).


An Introduction to Continuous-Time Stochastic Processes - 2854356846

489,12 zł

An Introduction to Continuous-Time Stochastic Processes Springer, Berlin

Książki / Literatura obcojęzyczna

This textbook, now in its third edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required.§§Key topics include:§Markov processes§Stochastic differential equations§Arbitrage-free markets and financial derivatives§Insurance risk§Population dynamics, and epidemics§Agent-based models§§New to the Third Edition:§Infinitely divisible distributions§Random measures§Levy processes§Fractional Brownian motion§Ergodic theory§Karhunen-Loeve expansion§Additional applications§Additional exercises§Smoluchowski approximation of Langevin systems§§An Introduction to Continuous-Time Stochastic Processes, Third Edition will be of interest to a broad audience of students, pure and applied mathematicians, and researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or undergraduate courses, as well as European Masters courses (according to the two-year-long second cycle of the "Bologna Scheme"), the work may also be used for self-study or as a reference. Prerequisites include knowledge of calculus and some analysis; exposure to probability would be helpful but not required since the necessary fundamentals of measure and integration are provided.§§From reviews of previous editions:§"The book is ... an account of fundamental concepts as they appear in relevant modern applications and literature. ... The book addresses three main groups: first, mathematicians working in a different field; second, other scientists and professionals from a business or academic background; third, graduate or advanced undergraduate students of a quantitative subject related to stochastic theory and/or applications." -Zentralblatt MATH


Probability and Random Processes - 2826774150

226,18 zł

Probability and Random Processes Oxford University Press

Książki / Literatura obcojęzyczna

The third edition of this successful text gives a rigorous introduction to probability theory and the discussion of the most important random processes in some depth. It includes various topics which are suitable for undergraduate courses, but are not routinely taught. It is suitable to the beginner, and provides a taste and encouragement for more advanced work. There are four main aims: 1) to provide a thorough but straightforward account of basic probability, giving the reader a natural feel for the subject unburdened by oppressive technicalities, 2) to discuss important random processes in depth with many examples. 3) to cover a range of important but less routine topics, 4) to impart to the beginner the flavour of more advanced work. The books begins with basic ideas common to many undergraduate courses in mathematics, statistics and the sciences; in concludes with topics usually found at graduate level. The ordering and numbering of material in this third edition has been mostly preserved from the second. Minor alterations and additions have been added for clearer exposition. Highlights include new sections on sampling and Markov chain Monte Carlo, geometric probability, coupling and Poisson approximation, large deviations, spatial Poisson processes, renewal-reward, queueing networks, stochastic calculus, Ito's formula and option pricing in the Black-Scholes model for financial markets. In addition there are many (nearly 400) new exercises and problems that are entertaining and instructive; their solutions can be found in the companion volume 'One Thousand Exercises in Probability', (OUP 2001).


Elements of Stochastic Modelling - 2854335400

250,91 zł

Elements of Stochastic Modelling World Scientific Publishing Co Pte Ltd

Książki / Literatura obcojęzyczna

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 for a one-semester course on the topic for third-year science and actuarial students at the University of Melbourne. It reviews the basics of probability theory, and then covers the following topics: Markov chains, Markov decision processes, jump Markov processes, elements of queueing theory, basic renewal theory, elements of time series and simulation. The present edition adds new chapters on elements of stochastic calculus and introductory mathematical finance that logically complement the topics chosen for the first edition. This makes the book suitable for a larger variety of university courses presenting the fundamentals of modern stochastic modelling. Rigorous proofs are often replaced with sketches of arguments - with indications as to why a particular result holds, and also how it is connected to other results - and illustrated by well-selected examples. Wherever possible, the book includes references to more specialised texts containing both proofs and more advanced material related to the topics covered.


Stochastic Equations in Infinite Dimensions - 2854303266

428,45 zł

Stochastic Equations in Infinite Dimensions Cambridge University Press

Książki / Literatura obcojęzyczna

Now in its second edition, this book gives a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. In the first part the authors give a self-contained exposition of the basic properties of probability measure on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes. The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof. This revised edition includes two brand new chapters surveying recent developments in the area and an even more comprehensive bibliography, making this book an essential and up-to-date resource for all those working in stochastic differential equations.


Probability. Vol.1 - 2854427320

282,23 zł

Probability. Vol.1 Springer, Berlin

Książki / Literatura obcojęzyczna

This book contains a systematic treatment of probability from the ground up, starting with intuitive ideas and gradually developing more sophisticated subjects, such as random walks, martingales, Markov chains, ergodic theory, weak convergence of probability measures, stationary stochastic processes, and the Kalman-Bucy filter. Many examples are discussed in detail, and there are a large number of exercises. The book is accessible to advanced undergraduates and can be used as a text or for self-study.The third edition contains new problems and exercises, new proofs, expanded material on financial mathematics, financial engineering, and mathematical statistics, and a final chapter on the history of probability theory.


Tools for Computational Finance 4e - 2822223689

190,42 zł

Tools for Computational Finance 4e Springer Verlag

Medycyna > English Division

Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering. "In an increasingly crowded field of financial engineering titles, Seydel's Tools for Computational Finance stands out as filling an unmet need. It is an intermediate level text with an extremely practical focus. ... This is the kind of book you can read quickly, gaining a broad understanding of practical techniques of financial engineering. On the other hand, you can go through it slowly, working through all the examples and exercises in order to gain indepth practical knowledge you can use on the job. " "Remarkably, Seydel addresses students of both mathematics and business, presumes only minimal background in either subject, yet ventures deep into the subject in little more than 200 pages. Compare the longer books Mathematics of Financial Markets, by R.J. Elliott and P.E. Kopp (1999), or Methods of Mathematical Finance, by I. Karatzas and S.E. Shreve (1998), which presume research-level preparation in probability theory, delve deeper into theoretical issues, but ignore numerics. On the mathematical side, Seydel covers stochastic processes, random number generation, stochastic differential equations, finite differences, and finite elements. On the financial side, he treats put and call options of so-called American, European, and Asian types. A Web site provides additional material, including colored figures. Summing Up: Highly recommended. " CHOICE "Seydel has sought a compromise between justifying his results and avoiding formal proofs. I think he has struck a healthy balance, and I enjoyed reading the book. ... Hull's book teaches how to write the equations and Seydel's teaches how to solve them" Physics Today "In my opinion, this book is mainly tailored to financial researchers and practitioners with an applied mathematics or engineering background. Various methods are introduced from a problem-solving point of view, been eventually formulated and summarised as algorithms which are offered for straightforward implementation in computer programmes. This expository style, which is similar to Kloeden's and Platen's 'Numerical Solutions of SDEs through computer experiments', makes the book unique among others and will definitely attract a broad range of readers coming from the financial academia or practice. Quant Notes "This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering." SIAM review (46, 2004) From the reviews of the third edition: "Tools for Computational Finance is a book on numerical methods for pricing financial derivative products. ! the author concentrates on how to provide numerical solutions to the problem of pricing. Exercises are provided at the end of each chapter and they follow and complement the text very well. In my opinion the book is more for practitioners ! . it does guide us in a right direction and I think it could be valuable even for an academic." (Ita Cirovic Doney, MathDL-online, October, 2006)


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