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Books in Stochastic models

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    • Markov Processes for Stochastic Modeling

      • 2nd Edition
      • May 22, 2013
      • Oliver Ibe
      • English
      • Hardback
        9 7 8 0 1 2 4 0 7 7 9 5 9
      • Paperback
        9 7 8 0 3 2 3 2 8 2 9 5 6
      • eBook
        9 7 8 0 1 2 4 0 7 8 3 9 0
      Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriente... book that also includes enough theory to provide a solid ground in the subject for the reader.

    • Stochastic Methods in Economics and Finance

      • 1st Edition
      • Volume 17
      • December 1, 1981
      • A.G. Malliaris + 1 more
      • English
      • Hardback
        9 7 8 0 4 4 4 8 6 2 0 1 3
      • eBook
        9 7 8 0 0 8 0 5 1 7 7 8 0
      Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Itô's Lemma as a tool of stochastic calculus, and basic facts about stochastic differential equations. The notion of stochastic ability and the methods of stochastic control are discussed, and their use in economic theory and finance is illustrated with numerous applications. The applications covered include: futures, pricing, job search, stochastic capital theory, stochastic economic growth, the rational expectations hypothesis, a stochastic macroeconomic model, competitive firm under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio rules, demand for index bonds, term structure of interest rates, the market risk adjustment in project valuation, demand for cash balances and an asset pricing model.