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In many complex systems one can distinguish "fast" and "slow" processes with radically di?erent velocities. In mathematical models based on di?er- …
Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains …
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and …
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to …
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance …
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in …
This book encompasses the study of hybrid switching di usion processes and their applications. The word \hybrid" signi es the coexistence of c- tinuous dynamics and discrete …
The cycle representations of Markov processes have been advanced after the publication of the ?rst edition to many directions. One main purpose of these advances was the revelation …
Most manufacturing systems are large, complex, and operate in an environment of uncertainty. It is common practice to manage such systems in a hierarchical fashion. This book …
This is a revised and expanded version of the earlier edition. The new material is on Markov-modulated storage processes arising from queueing and data commu nication models. The …