Stochastic variation

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  • This research monograph concerns the design and analysis of discrete-time approximations for stochastic differential equations (SDEs) driven by Wiener processes and Poisson processes or Poisson jump measures. In financial and actuarial modeling and other areas of application, such jump diffusions are often used to describe the dynamics of various state variables. In finance these may represent, for instance, asset prices, credit ratings, stock indices, interest rates, exchange rates or commodity prices.

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  • We have attempted to explain the concepts which have been used and developed to model the stochastic dynamics of natural and biological systems. While the theory of stochastic differential equations and stochastic processes provide an attractive framework with an intuitive appeal to many problems with naturally induced variations, the solutions to such models are an active area of research, which is in its infancy. Therefore, this book should provide a large number of areas to research further.

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  • Stochastic Calculus of Variations (or Malliavin Calculus) consists, in brief, in constructing and exploiting natural differentiable structures on abstract probability spaces; in other words, Stochastic Calculus of Variations proceeds from a merging of differential calculus and probability theory. As optimization under a random environment is at the heart of mathematical finance, and as differential calculus is of paramount importance for the search of extrema, it is not surprising that Stochastic Calculus of Variations appears in mathematical finance.

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  • Tham khảo sách 'recent hurricane research climate, dynamics, and societal impacts_1', khoa học tự nhiên, công nghệ môi trường phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả

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  • This book represents recent research on tropical cyclones and their impact, and a wide range of topics are covered. An updated global climatology is presented, including the global occurrence of tropical cyclones and the terrestrial factors that may contribute to the variability and long-term trends in their occurrence. Research also examines long term trends in tropical cyclone occurrences and intensity as related to solar activity, while other research discusses the impact climate change may have on these storms....

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  • CHAPTER 2 STATISTICAL CONSIDERATIONS Charles R. Mischke, Ph.D., RE. Professor Emeritus of Mechanical Engineering Iowa State University Ames, Iowa 2.1 INTRODUCTION / 2.2 2.2 HISTOGRAPHIC EVIDENCE / 2.3 2.3 USEFUL DISTRIBUTIONS / 2.9 2.4 RANDOM-VARIABLE ALGEBRA / 2.13 2.5 STOCHASTIC ENDURANCE LIMIT BY CORRELATION AND BY TEST / 2.16 2.6 INTERFERENCE / 2.19 2.7 NUMBERS / 2.25 REFERENCES / 2.

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  • Simulation of Wireless Network Systems This chapter deals with simulation of wireless network systems. We introduce the basics of discrete-event simulation as it is the simulation technique that is used for simulating wireless networks. We then review the main characteristics of the commonly used stochastic distributions used for the simulation of wireless networks. The techniques used to generate and test random number sequences are investigated. Then, we introduce the techniques used to generate random variates followed by performance metrics considerations.

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