Ditemukan 44 dokumen yang sesuai dengan query
Stein, Jerome L.
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[Stochastic Optimal Control (SOC), a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing ...
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New York: [Springer, ], 2012
e20397304
eBooks Universitas Indonesia Library
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This book constitutes the refereed proceedings of the 19th International Conference on Analytical and Stochastic Modelling Techniques and Applications, ASMTA 2012, held in Grenoble, France, in June 2012. The 20 revised full papers presented were carefully reviewed and selected from numerous submissions. The papers are organized in topical sections on queueing systems; networking applications, Markov chains, stochastic modelling ...
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Berlin : Springer-Verlag, 2012
e20410486
eBooks Universitas Indonesia Library
Shu-Jun, Liu
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This book treats methods inspired by attempts to understand the seemingly non-mathematical question of bacterial chemotaxis and their application in other environments. The text presents significant generalizations on existing stochastic averaging theory developed from scratch and necessitated by the need to avoid violation of previous theoretical assumptions by algorithms which are otherwise effective in treating these systems. Coverage is given to four main topics.
Stochastic averaging theorems are developed for the analysis of continuous-time nonlinear ...
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London: Springer-Verlag, 2012
e20418747
eBooks Universitas Indonesia Library
King, Alan J.
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While there are several texts on how to solve and analyze stochastic programs, this is the first text to address basic questions about how to model uncertainty, and how to reformulate a deterministic model so that it can be analyzed in a stochastic setting. This text would be suitable as a stand-alone or supplement for a second course in OR/MS or in optimization-oriented engineering disciplines where the instructor wants to explain where models come from ...
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New York: [, Springer], 2012
e20418916
eBooks Universitas Indonesia Library
Chen, Jie
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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 fe ...
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New York: [, Springer], 2012
e20418952
eBooks Universitas Indonesia Library
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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 ...
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Berlin: [Springer-Verlag, ], 2012
e20419048
eBooks Universitas Indonesia Library
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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 ...
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New York: [Springer, ], 2012
e20419174
eBooks Universitas Indonesia Library
Schuss, Zeev
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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 ...
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New York: [Springer, ], 2012
e20419201
eBooks Universitas Indonesia Library
Paulo Eduardo, Oliveira
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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 ...
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Berlin: [Springer-Verlag, ], 2012
e20419281
eBooks Universitas Indonesia Library
Zili, Mounir, editor
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Selected papers submitted by participants of the international Conference “Stochastic Analysis and Applied Probability 2010” ( www.saap2010.org ) make up the basis of this volume. The SAAP 2010 was held in Tunisia, from 7-9 October, 2010, and was organized by the “Applied Mathematics & Mathematical Physics” research unit of the preparatory institute to the military academies of Sousse (Tunisia), chaired by Mounir Zili. The papers cover theoretical, numerical and applied aspects of stochastic processes and ...
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Berlin: [Springer-Verlag, ], 2012
e20419577
eBooks Universitas Indonesia Library
