Author: R. L. StratonovichPublisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 376
Book Description
Conditional Markov Processes and Their Application to the Theory of Optimal Control
Author: R. L. StratonovichPublisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 376
Book Description
The Langevin Equation
Author: William CoffeyPublisher: World Scientific
ISBN: 9789810216511
Category : Mathematics
Languages : en
Pages : 436
Book Description
The book is suitable for a lecture course on the theory of Brownian motion, being based on final year undergraduate lectures given at Trinity College, Dublin. Topics that are discussed include: white noise; the Chapman-Kolmogorov equation ? Kramers-Moyal expansion; the Langevin equation; the Fokker-Planck equation; Brownian motion of a free particle; spectral density and the Wiener-Khintchin theorem ? Brownian motion in a potential application to the Josephson effect, ring laser gyro; Brownian motion in two dimensions; harmonic oscillators; itinerant oscillators; linear response theory; rotational Brownian motion; application to loss processes in dielectric and ferrofluids; superparamagnetism and nonlinear relaxation processes.As the first elementary book on the Langevin equation approach to Brownian motion, this volume attempts to fill in all the missing details which students find particularly hard to comprehend from the fundamental papers contained in the Dover reprint ? Selected Papers on Noise and Stochastic Processes, ed. N Wax (1954) ? together with modern applications particularly to relaxation in ferrofluids and polar dielectrics.
A Festschrift for Herman Rubin
Author: Herman RubinPublisher: IMS
ISBN: 9780940600614
Category : Bayesian statistical decision theory
Languages : en
Pages : 442
Book Description
Methods of Optimal Statistical Decisions, Optimal Control, and Stochastic Differential Equations
Author: Ellida M. KhazenPublisher: Xlibris Corporation
ISBN: 1462807178
Category : Education
Languages : en
Pages : 320
Book Description
This book provides the reader with some insight into the mathematical models of random processes with continuous time, stochastic differential equations and stochastic integrals. An advanced development of the mathematical methods of optimal statistical decisions, statistical sequential analysis, and informational estimation of risks, and new methods and solutions to the important problems of the theory of optimal control are presented. The new original results obtained by this author and published shortly in her numerous scientific-research papers are presented in a systematic way in this book. The book is intended for engineers, students, post-graduate students, and scientist researchers. The presentation of the material is accessible to engineers.
Stochastic Optimization Models in Finance
Author: W. T. ZiembaPublisher: World Scientific
ISBN: 9812773657
Category : Business & Economics
Languages : en
Pages : 756
Book Description
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s). Chapter 1: Expected Utility Theory (373 KB). Contents: Mathematical Tools: Expected Utility Theory; Convexity and the Kuhn-Tucker Conditions; Dynamic Programming; Qualitative Economic Results: Stochastic Dominance; Measures of Risk Aversion; Separation Theorems; Static Portfolio Selection Models: Mean-Variance and Safety First Approaches and Their Extensions; Existence and Diversification of Optimal Portfolio Policies: Effects of Taxes on Risk Taking; Dynamic Models Reducible to Static Models: Models That Have a Single Decision Point; Risk Aversion over Time Implies Static Risk Aversion; Myopic Portfolio Policies; Dynamic Models: Two-Period Consumption Models and Portfolio Revision; Models of Optimal Capital Accumulation and Portfolio Selection; Models of Option Strategy; The Capital Growth Criterion and Continuous-Time Models. Readership: Postdoctoral and graduate students, researchers, academics, and professionals interested in portfolio theory and stochastic optimization.
Methods of Nonlinear Analysis
Author: BellmanPublisher: Academic Press
ISBN: 0080955711
Category : Computers
Languages : en
Pages : 282
Book Description
Methods of Nonlinear Analysis
Polystochastic Models in Chemical Engineering
Author: Octavian IordachePublisher: VSP
ISBN: 9789067640633
Category : Science
Languages : en
Pages : 242
Book Description
Polystochastic models describe systems whose mode of evolution varies randomly according to the rule given by a hierarchy of conditioning processes. The author discusses the models used for random flow, the dynamics of dispersed systems, real flow and turbulent mixing. Attention is focussed on the fundamental role played by polystochastic models in chemical engineering. The author also draws attention to other areas of application such as the optimization of stochastic systems, dynamic programming and decision sciences, adaptive systems, communications and biophysics.
Random Perturbations of Dynamical Systems
Author: Mark I. FreidlinPublisher: Springer Science & Business Media
ISBN: 1461206111
Category : Mathematics
Languages : en
Pages : 442
Book Description
A treatment of various kinds of limit theorems for stochastic processes defined as a result of random perturbations of dynamical systems. Apart from the long-time behaviour of the perturbed system, exit problems, metastable states, optimal stabilisation, and asymptotics of stationary distributions are considered in detail. The authors'main tools are the large deviation theory, the central limit theorem for stochastic processes, and the averaging principle. The results allow for explicit calculations of the asymptotics of many interesting characteristics of the perturbed system, and most of these results are closely connected with PDEs. This new edition contains expansions on the averaging principle, a new chapter on random perturbations of Hamiltonian systems, along with new results on fast oscillating perturbations of systems with conservation laws. New sections on wave front propagation in semilinear PDEs and on random perturbations of certain infinite-dimensional dynamical systems have been incorporated into the chapter on sharpenings and generalisations.
Stochastic Approaches in Earthquake Engineering
Author: Y.K. LinPublisher: Springer Science & Business Media
ISBN: 3642832520
Category : Science
Languages : en
Pages : 472
Book Description
From the preface: This volume is a collection of papers presented at the U.S. - Japan Joint Seminar on Stochastic Approaches in Earthquake Engineering held on May 6 and 7, 1987. The general theme of the two-day program was the application of probability and statistics to engineering problems related to strong ground motion. Within this general theme a great variety of subject matters were covered, including earthquake cataloging, ground motion modeling, system identification, failure mechanisms, response and reliability analyses, numerical techniques, and active control. The engineering systems considered included buildings, bridges and life-line networks.
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