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Serie: Probability theory and stochastic modelling
gebondenEngels9781447173472
29-12-2017
This monograph, now in a thoroughly revised second edition, offers the latest research on random sets. It has been extended to include substantial developments achieved since 2005, some of them motivated by applications of random sets to econometrics and finance. Meer
paperbackEngels9781447174073
9-9-2018
This monograph, now in a thoroughly revised second edition, offers the latest research on random sets. It has been extended to include substantial developments achieved since 2005, some of them motivated by applications of random sets to econometrics and finance. Meer
gebondenEngels9781493972548
22-8-2017
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Meer
paperbackEngels9781493984329
3-8-2018
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Meer
gebondenEngels9781493995776
11-8-2019
This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. Meer
gebondenEngels9781493968145
30-12-2016
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. Meer
gebondenEngels9781493970476
19-5-2017
This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. Meer
paperbackEngels9781493983773
27-7-2018
This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. Meer
paperbackEngels9781493993994
10-12-2019
This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. Meer
gebondenEngels9783031086625
31-7-2022
This monograph studies a series of mathematical models of the evolution of a population under mutation and selection. Its starting point is the quasispecies equation, a general non-linear equation which describes the mutation-selection equilibrium in Manfred Eigen’s famous quasispecies model. Meer
gebondenEngels9783030549862
10-11-2020
This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Meer
paperbackEngels9783030549893
11-11-2021
This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Meer
paperbackEngels9783031579257
3-7-2025
This book presents fundamental relations between random walks on graphs and field theories of mathematical physics. Such relations have been explored for several decades and remain a rapidly developing research area in probability theory. Meer
gebondenEngels9783030015251
20-3-2019
This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data. These include quickest detection of randomly appearing targets, of spontaneously arising effects, and of arbitrage (in financial mathematics). Meer
paperbackEngels9783030351786
18-4-2021
This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Meer
gebondenEngels9783030618704
8-2-2021
This new, thoroughly revised and expanded 3rd edition of a classic gives a comprehensive coverage of modern probability in a single book. It is a truly modern text, providing not only classical results but also material that will be important for future research. Meer
paperbackEngels9783030618735
8-2-2022
The first edition of this single volume on the theory of probability has become a highly-praised standard reference for many areas of probability theory. Meer
paperbackEngels9783030068028
20-12-2018
Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Meer
paperbackEngels9783030132590
29-10-2019
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Meer
paperbackEngels9783030132606
1-11-2019
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Meer