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Book
Elements of Stochastic Calculus and Analysis
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ISBN: 9783319770381 9783319770376 Year: 2018 Publisher: Cham : Springer International Publishing : Imprint: Springer,

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This book gives a somewhat unconventional introduction to stochastic analysis. Although most of the material covered here has appeared in other places, this book attempts to explain the core ideas on which that material is based. As a consequence, the presentation is more an extended mathematical essay than a ``definition, lemma, theorem'' text. In addition, it includes several topics that are not usually treated elsewhere. For example, Wiener's theory of homogeneous chaos is discussed, Stratovich integration is given a novel development and applied to derive Wong and Zakai's approximation theorem, and examples are given of the application of Malliavin's calculus to partial differential equations. Each chapter concludes with several exercises, some of which are quite challenging. The book is intended for use by advanced graduate students and research mathematicians who may be familiar with many of the topics but want to broaden their understanding of them.


Book
Regularity and irregularity of superprocesses with (1 + β)-stable branching mechanism
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Year: 2016 Publisher: Cham : Springer International Publishing : Imprint: Springer,

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This is the only book discussing multifractal properties of densities of stable superprocesses, containing latest achievements while also giving the reader a comprehensive picture of the state of the art in this area. It is a self-contained presentation of regularity properties of stable superprocesses and proofs of main results and can serve as an introductory text for a graduate course. There are many heuristic explanations of technically involved results and proofs and the reader can get a clear intuitive picture behind the results and techniques. .


Book
Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein
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Year: 2016 Publisher: Cham : Springer International Publishing : Imprint: Springer,

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This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.


Book
Séminaire de Probabilités L
Authors: --- ---
ISBN: 3030285359 3030285340 Year: 2019 Publisher: Cham : Springer International Publishing : Imprint: Springer,

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This milestone 50th volume of the "Séminaire de Probabilités" pays tribute with a series of memorial texts to one of its former editors, Jacques Azéma, who passed away in January. The founders of the "Séminaire de Strasbourg", which included Jacques Azéma, probably had no idea of the possible longevity and success of the process they initiated in 1967. Continuing in this long tradition, this volume contains contributions on state-of-art research on Brownian filtrations, stochastic differential equations and their applications, regularity structures, quantum diffusion, interlacing diffusions, mod-Ø convergence, Markov soup, stochastic billiards and other current streams of research. .


Book
High Dimensional Probability VIII : The Oaxaca Volume
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ISBN: 3030263916 3030263908 Year: 2019 Publisher: Cham : Springer International Publishing : Imprint: Birkhäuser,

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This volume collects selected papers from the 8th High Dimensional Probability meeting held at Casa Matemática Oaxaca (CMO), Mexico. High Dimensional Probability (HDP) is an area of mathematics that includes the study of probability distributions and limit theorems in infinite-dimensional spaces such as Hilbert spaces and Banach spaces. The most remarkable feature of this area is that it has resulted in the creation of powerful new tools and perspectives, whose range of application has led to interactions with other subfields of mathematics, statistics, and computer science. These include random matrices, nonparametric statistics, empirical processes, statistical learning theory, concentration of measure phenomena, strong and weak approximations, functional estimation, combinatorial optimization, random graphs, information theory and convex geometry. The contributions in this volume show that HDP theory continues to thrive and develop new tools, methods, techniques and perspectives to analyze random phenomena.


Book
Probabilistic Methods in Telecommunications
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ISBN: 3030360903 303036089X Year: 2020 Publisher: Cham : Springer International Publishing : Imprint: Birkhäuser,

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Probabilistic modeling and analysis of spatial telecommunication systems have never been more important than they are today. In particular, it is an essential research area for designing and developing next-generation communication networks that are based on multihop message transmission technology. These lecture notes provide valuable insights into the underlying mathematical discipline, stochastic geometry, introducing the theory, mathematical models and basic concepts. They also discuss the latest applications of the theory to telecommunication systems. The text covers several of the most fundamental aspects of quality of service: connectivity, coverage, interference, random environments, and propagation of malware. It especially highlights two important limiting scenarios of large spatial systems: the high-density limit and the ergodic limit. The book also features an analysis of extreme events and their probabilities based on the theory of large deviations. Lastly, it includes a large number of exercises offering ample opportunities for independent self-study.


Book
XIII Symposium on probability and stochastic processes : UNAM, Mexico, December 4-8, 2017
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ISBN: 3030575136 3030575128 Year: 2020 Publisher: Springer International Publishing

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This volume features a collection of contributed articles and lecture notes from the XIII Symposium on Probability and Stochastic Processes, held at UNAM, Mexico, in December 2017. It is split into two main parts: the first one presents lecture notes of the course provided by Mauricio Duarte, followed by its second part which contains research contributions of some of the participants. .


Book
Foundations of Modern Probability
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ISBN: 3030618714 9783030618711 3030618706 Year: 2021 Publisher: Cham : Springer International Publishing : Imprint: Springer,

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This new, thoroughly revised and expanded 3rd edition of a classic gives a comprehensive coverage of modern probability in a single book. It is a truly modern text, providing not only classical results but also material that will be important for future research. Much has been added to the previous edition, including eight entirely new chapters on subjects like random measures, Malliavin calculus, multivariate arrays, and stochastic differential geometry. Apart from important improvements and revisions, some of the earlier chapters have been entirely rewritten. To help the reader, the material has been grouped together into ten major areas, each arguably indispensable to any serious graduate student and researcher, regardless of their specialization. Each chapter is largely self-contained and includes plenty of exercises, making the book ideal for self-study and for designing graduate-level courses and seminars in different areas and at different levels. Extensive notes and a detailed bibliography make it easy to go beyond the presented material if desired. From the reviews of the first edition: “…readers are likely to regard the book as an ideal reference. Indeed the monograph has the potential to become a (possibly even “the”) major reference book on large parts of probability theory for the next decade or more.” M. Scheutzow, zbMATH “…great edifice of material, clearly and ingeniously presented, without any non-mathematical distractions. Readers … are in very capable hands.” F. B. Knight, Mathemtical Reviews “… this is precisely what Professor Kallenberg has attempted … and he has accomplished it brilliantly... It is astonishing that a single volume of just over five hundred pages could contain so much material presented with complete rigor and still be at least formally self-contained..." R.K. Getoor, Metrika From the reviews of the second edition: “This … edition presents … more material in the concise and elegant style of the former edition which by now has become a highly praised standard reference book for many areas of probability theory.” M. Reiß, zbMATH “… the … monograph is a modern classic in probability theory… …every … expert in one of the various topics covered by this monograph will reconsider his own point of view and gain deeper insight into his subject.” Klaus D. Schmidt, Mathematical Reviews .


Book
Markov Decision Processes in Practice
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Year: 2017 Publisher: Cham : Springer International Publishing : Imprint: Springer,

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This book presents classical Markov Decision Processes (MDP) for real-life applications and optimization. MDP allows users to develop and formally support approximate and simple decision rules, and this book showcases state-of-the-art applications in which MDP was key to the solution approach. The book is divided into six parts. Part 1 is devoted to the state-of-the-art theoretical foundation of MDP, including approximate methods such as policy improvement, successive approximation and infinite state spaces as well as an instructive chapter on Approximate Dynamic Programming. It then continues with five parts of specific and non-exhaustive application areas. Part 2 covers MDP healthcare applications, which includes different screening procedures, appointment scheduling, ambulance scheduling and blood management. Part 3 explores MDP modeling within transportation. This ranges from public to private transportation, from airports and traffic lights to car parking or charging your electric car. Part 4 contains three chapters that illustrates the structure of approximate policies for production or manufacturing structures. In Part 5, communications is highlighted as an important application area for MDP. It includes Gittins indices, down-to-earth call centers and wireless sensor networks. Finally Part 6 is dedicated to financial modeling, offering an instructive review to account for financial portfolios and derivatives under proportional transactional costs. The MDP applications in this book illustrate a variety of both standard and non-standard aspects of MDP modeling and its practical use. This book should appeal to readers for practitioning, academic research and educational purposes, with a background in, among others, operations research, mathematics, computer science, and industrial engineering.


Book
Computational probability applications
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Year: 2017 Publisher: Cham : Springer International Publishing : Imprint: Springer,

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This focuses on the developing field of building probability models with the power of symbolic algebra systems. The book combines the uses of symbolic algebra with probabilistic/stochastic application and highlights the applications in a variety of contexts. The research explored in each chapter is unified by the use of A Probability Programming Language (APPL) to achieve the modeling objectives. APPL, as a research tool, enables a probabilist or statistician the ability to explore new ideas, methods, and models. Furthermore, as an open-source language, it sets the foundation for future algorithms to augment the original code.  Computational Probability Applications is comprised of fifteen chapters, each presenting a specific application of computational probability using the APPL modeling and computer language. The chapter topics include using inverse gamma as a survival distribution, linear approximations of probability density functions, and also moment-ratio diagrams for univariate distributions. These works highlight interesting examples, often done by undergraduate students and graduate students that can serve as templates for future work. In addition, this book should appeal to researchers and practitioners in a range of fields including probability, statistics, engineering, finance, neuroscience, and economics.

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