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This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with …
This book offers a comprehensive presentation of the theory and methods of risk-averse optimization and control. Problems of this type arise in finance, energy production and …
The main subject is the probabilistic extreme value theory. The purpose is to present recent results related to limiting distributions of maxima in incomplete samples from …
This is an updated version of what is still the only text to address basic questions about how to model uncertainty in mathematical programming, including how to reformulate a …
This richly illustrated book introduces the subject of optimization to a broad audience with a balanced treatment of theory, models and algorithms. Through numerous examples from …
This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws. Because …
There has been an increase in attention toward systems involving large numbers of small players, giving rise to the theory of mean field games, mean field type control and …
This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside …
This monograph compiles the contemporary knowledge about D-norms and provides an introductory tour through the essentials of multivariate extreme value theory. Following a clear …
This work considers Kronecker-based models with finite as well as countably infinite state spaces for multidimensional Markovian systems by paying particular attention to those …