Hasil Pencarian  ::  Simpan CSV :: Kembali

Hasil Pencarian

Ditemukan 162 dokumen yang sesuai dengan query
cover
Chen, Jie
Abstrak :
This book offers in-depth study of the change point problem, and an examination of change point analysis of common statistical models. Change point problems are encountered in economics, finance, medicine, signal processing, and geology, to mention a few
New York: [, Springer], 2012
e20418952
eBooks  Universitas Indonesia Library
cover
Abstrak :
Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility. One of the author's main goals is to provide sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions, and implied volatilities in various stochastic volatility models. The author also establishes sharp asymptotic formulas for the implied volatility at extreme strikes in general stochastic stock price models.
Berlin: [Springer-Verlag, ], 2012
e20419048
eBooks  Universitas Indonesia Library
cover
Abstrak :
This monograph focuses on the construction of regression models with linear and non-linear constrain inequalities from the theoretical point of view. This volume analyses the properties of regression with inequality constrains, investigating the flexibility of inequality constrains and their ability to adapt in the presence of additional a priori information The implementation of inequality constrains improves the accuracy of models, and decreases the likelihood of errors. Based on the obtained theoretical results, a computational technique for estimation and prognostication problems is suggested.
New York: [Springer, ], 2012
e20419174
eBooks  Universitas Indonesia Library
cover
Schuss, Zeev
Abstrak :
This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiener's associated path integral representation of the transition probability density. Furthermore, it presents analytical methods for constructing asymptotic approximations to their solution and for synthesizing asymptotically optimal filters. It also offers a new approach to the phase tracking problem, based on optimizing the mean time to loss of lock. The book contains exercises and worked-out examples aimed at illustrating the methods of mathematical modeling and performance analysis of phase trackers.
New York: [Springer, ], 2012
e20419201
eBooks  Universitas Indonesia Library
cover
Paulo Eduardo, Oliveira
Abstrak :
The book concerns the notion of association in probability and statistics. Association and some other positive dependence notions were introduced in 1966 and 1967 but received little attention from the probabilistic and statistics community. The interest in these dependence notions increased in the last 15 to 20 years, and many asymptotic results were proved and improved. The goal of this book is to bring together the bulk of these results, presenting the theory in a unified way, explaining relations and implications of the results. It will present basic definitions and characterizations, followed by a collection of relevant inequalities. These are then applied to characterize almost sure and weak convergence of sequences of associated variables. It will also cover applications of positive dependence to the characterization of asymptotic results in nonparametric statistics.
Berlin: [Springer-Verlag, ], 2012
e20419281
eBooks  Universitas Indonesia Library
cover
Abstrak :
Based on presentations given at the workshop Numerical methods in finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Berlin: Springer, 2012
e20419967
eBooks  Universitas Indonesia Library
cover
Khasminskii, Rafail
Abstrak :
The stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. In this updated volume readers will find important new results on the moment Lyapunov exponent, stability index and some other fields, and a significantly expanded bibliography. This volume provides a solid foundation for to start their research or to study the properties of concrete mechanical systems subjected to random perturbations.
Berlin: Springer, 2012
e20420567
eBooks  Universitas Indonesia Library
cover
Abstrak :
This volume sharpens our picture of the applications of conformal invariance, introducing non-local observables such as loops and interfaces before explaining how they arise in specific physical contexts. It then shows how to use conformal invariance to determine their properties. Moving on to cover key conceptual developments in conformal invariance, the book devotes much of its space to stochastic Loewner evolution (SLE), detailing SLE’s conceptual foundations as well as extensive numerical tests. The chapters then elucidate SLE’s use in geometric phase transitions such as percolation or polymer systems, paying particular attention to surface effects.
Berlin: Springer, 2012
e20425391
eBooks  Universitas Indonesia Library
cover
Jinqiao, Duan
Abstrak :
Effective dynamics of stochastic partial differential equations focuses on stochastic partial differential equations with slow and fast time scales, or large and small spatial scales. The authors have developed basic techniques, such as averaging, slow manifolds, and homogenization, to extract effective dynamics from these stochastic partial differential equations. The authors’ experience both as researchers and teachers enable them to convert current research on extracting effective dynamics of stochastic partial differential equations into concise and comprehensive chapters. The book helps readers by providing an accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations. Each chapter also includes exercises and problems to enhance comprehension.
London: Elsevier, 2014
e20426970
eBooks  Universitas Indonesia Library
cover
Tuckwell, Henry C.
Abstrak :
This monograph is centered on quantitative analysis of nerve-cell behavior. The work is foundational, with many higher order problems still remaining, especially in connection with neural networks. Thoroughly addressed topics include stochastic problems in neurobiology, and the treatment of the theory of related Markov processes.
Philadelphia: Society for Industrial and Applied Mathematics, 1989
e20448593
eBooks  Universitas Indonesia Library