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Stochastic processes : from applications to theory /

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"Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the...

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Bibliographic Details
Main Authors: Del Moral, Pierre (Author), Penev, Spiridon, 1955- (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton ; London ; New York : CRC Press : Taylor and Francis Group, [2017]
Series:Texts in statistical science.
Subjects:
Stochastic processes.
Processus stochastiques.
Stochastic processes
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • I. An illustrated guide : 1. Motivating examples ; 2. Selected topics ; 3. Computational and theoretical aspects
  • II. Stochastic simulation : 4. Simulation toolbox ; 5. Monte Carlo integration ; 6. Some illustrations
  • III. Discrete time processes : 7. Markov chains ; 8. Analysis toolbox ; 9. Computational toolbox
  • IV. Continuous time processes : 10. Poisson processes ; 11. Markov chain embeddings ; 12. Jump processes ; 13. Piecewise deterministic processes ; 14. Diffusion processes ; 15. Jump diffusion processes ; 16. Nonlinear jump diffusion processes ; 17. Stochastic analysis toolbox ; 18. Path space measures
  • V. Processes on manifolds : 19. A review of differential geometry ; 20. Stochastic differential calculus on manifolds ; 21. Parameterizations and charts ; 22. Stochastic calculus in chart spaces ; 23. Some analytical aspects ; 24. Some illustrations
  • VI. Some application areas : 25. Simple random walks ; 26. Iterated random functions ; 27. Computational and Statistical physics ; 28. Dynamic population models ; 29. Gambling, ranking and control ; 30. Mathematical finance.