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Lectures on Stochastic Processes by K. Ito
 
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Ebooks May 29, 2022 2

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Author
K. Ito
Publisher
Tata Institute of Fundamental Research 1960
In this course of lectures the author discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics covered: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; Linear Diffusion.
Advanced Stochastic Processes by Jan A. Van Casteren
 
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Ebooks May 27, 2022 2

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Author
Jan A. Van Casteren
Publisher
Bookboon 2013
In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, Markov chains, renewal theory, the martingale problem, Ito calculus, cylindrical measures, ergodic theory, etc.
Probability Theory and Stochastic Processes with Applications by Oliver Knill
 
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Ebooks May 27, 2022 4

Ebook Details

Author
Oliver Knill
Publisher
Overseas Press 2009
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, Vlasov dynamics, multi-dimensional moment problems, random maps, etc.
Synchronization and Linearity: An Algebra for Discrete Event Systems by F. Baccelli, G. Cohen, G. J. Olsder, J. Quadrat
 
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Ebooks May 22, 2022 3

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Author
F. Baccelli, G. Cohen, G. J. Olsder, J. Quadrat
Publisher
John Wiley & Sons 1993
This text presents new modelling and analysis techniques for the description of discrete event dynamic systems, emphasizing timing and synchronization aspects. Created within the text is a calculus which allows the derivation of analytical tools for computing the time behavior of this type of dynamic system.
Lectures on Stochastic Flows and Applications by H. Kunita
 
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Ebooks May 19, 2022 2

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Author
H. Kunita
Publisher
Tata Institute Of Fundamental Research 1986
The author presents basic properties of stochastic flows, specially of Brownian flows. Their relations with local characteristics and with stochastic differential equations are central problems. In the second part, as an application of the first part, various limit theorems for stochastic flows are presented.
Lectures on Stochastic Differential Equations and Malliavin Calculus by S. Watanabe
 
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Ebooks May 19, 2022 2

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Author
S. Watanabe
Publisher
Tata Institute of Fundamental Research 1984
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
Stochastic Processes by Leif Mejlbro
 
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Ebooks May 18, 2022 3

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Author
Leif Mejlbro
Publisher
BookBoon 2012
In this book you will find the basic stochastic processes mathematics that is needed by engineers and university students. Topics such as elementary probability calculus, density functions and stochastic processes are illustrated.
Lectures on Topics in Stochastic Differential Equations by Daniel W. Stroock
 
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Ebooks May 18, 2022 2

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Author
Daniel W. Stroock
Publisher
Tata Institute of Fundamental Research 1982
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
Stochastic Differential Equations: Models and Numerics by Anders Szepessy, et al.
 
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Ebooks May 13, 2022 3

Ebook Details

Author
Anders Szepessy, et al.
Publisher
KTH 2010
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and mathematical finance. Typically.
Lectures on Singular Stochastic PDEs by M. Gubinelli, N. Perkowski
 
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Ebooks May 13, 2022 6

Ebook Details

Author
M. Gubinelli, N. Perkowski
Publisher
arXiv 2015
The aim of the course is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.
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