Listing 1 - 5 of 5 |
Sort by
|
Choose an application
"The name "random walk" for a problem of a displacement of a point in a sequence of independent random steps was coined by Karl Pearson in 1905 in a question posed to readers of "Nature". The same year, a similar problem was formulated by Albert Einstein in one of his Annus Mirabilis works. Even earlier such a problem was posed by Louis Bachelier in his thesis devoted to the theory of financial speculations in 1900. Nowadays the theory of random walks has proved useful in physics and chemistry (diffusion, reactions, mixing in flows), economics, biology (from animal spread to motion of subcellular structures) and in many other disciplines. The random walk approach serves not only as a model of simple diffusion but of many complex sub- and super-diffusive transport processes as well. This book discusses the main variants of random walks and gives the most important mathematical tools for their theoretical description"--
Choose an application
Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than traditional diffusion. This monograph develops the basic theory of fractional calculus and anomalous diffusion, from the point of view of probability. In this book, we will see how fractional calculus and anomalous diffusion can be understood at a deep and intuitive level, using ideas from probability. It covers basic limit theorems for random variables and random vectors with heavy tails. This includes regular variation, triangular arrays, infinitely divisible laws, random walks, and stochastic process convergence in the Skorokhod topology. The basic ideas of fractional calculus and anomalous diffusion are closely connected with heavy tail limit theorems. Heavy tails are applied in finance, insurance, physics, geophysics, cell biology, ecology, medicine, and computer engineering. The goal of this book is to prepare graduate students in probability for research in the area of fractional calculus, anomalous diffusion, and heavy tails. Many interesting problems in this area remain open. This book will guide the motivated reader to understand the essential background needed to read and unerstand current research papers, and to gain the insights and techniques needed to begin making their own contributions to this rapidly growing field.
Fractional calculus. --- Diffusion processes. --- Stochastic analysis. --- Analysis, Stochastic --- Mathematical analysis --- Stochastic processes --- Markov processes --- Derivatives and integrals, Fractional --- Differentiation of arbitrary order, Integration and --- Differintegration, Generalized --- Fractional derivatives and integrals --- Generalized calculus --- Generalized differintegration --- Integrals, Fractional derivatives and --- Integration and differentiation of arbitrary order --- Calculus --- Anomalous Diffusion. --- Fractional Calculus Model. --- Fractional Derivative. --- Fractional Diffusion Equation. --- Particle Jump. --- Probability. --- Random Walk. --- Satistical Physics. --- Tempered Fractional Derivative. --- Vector Fractional Derivative.
Choose an application
These proceedings represent the current state of research on the topics 'boundary theory' and 'spectral and probability theory' of random walks on infinite graphs. They are the result of the two workshops held in Styria (Graz and St. Kathrein am Offenegg, Austria) between June 29th and July 5th, 2009. Many of the participants joined both meetings. Even though the perspectives range from very different fields of mathematics, they all contribute with important results to the same wonderful topic from structure theory, which, by extending a quotation of Laurent Saloff-Coste, could be described by 'exploration of groups by random processes'. Contributors: M. Arnaudon A. Bendikov M. Björklund B. Bobikau D. D’Angeli A. Donno M.J. Dunwoody A. Erschler R. Froese A. Gnedin Y. Guivarc’h S. Haeseler D. Hasler P.E.T. Jorgensen M. Keller I. Krasovsky P. Müller T. Nagnibeda J. Parkinson E.P.J. Pearse C. Pittet C.R.E. Raja B. Schapira W. Spitzer P. Stollmann A. Thalmaier T.S. Turova R.K. Wojciechowski.
Boundary value problems -- Congresses. --- Combinatorial probabilities. --- Mathematics. --- Random walks (Mathematics) -- Congresses. --- Mathematics --- Physical Sciences & Mathematics --- Mathematical Statistics --- Random walks (Mathematics) --- Spectral theory (Mathematics) --- Boundary value problems. --- Additive process (Probability theory) --- Random walk process (Mathematics) --- Walks, Random (Mathematics) --- Boundary conditions (Differential equations) --- Probabilities. --- Probability Theory and Stochastic Processes. --- Differential equations --- Functions of complex variables --- Mathematical physics --- Initial value problems --- Functional analysis --- Hilbert space --- Measure theory --- Transformations (Mathematics) --- Stochastic processes --- Distribution (Probability theory. --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk
Choose an application
Most networks and databases that humans have to deal with contain large, albeit finite number of units. Their structure, for maintaining functional consistency of the components, is essentially not random and calls for a precise quantitative description of relations between nodes (or data units) and all network components. This book is an introduction, for both graduate students and newcomers to the field, to the theory of graphs and random walks on such graphs. The methods based on random walks and diffusions for exploring the structure of finite connected graphs and databases are reviewed (Markov chain analysis). This provides the necessary basis for consistently discussing a number of applications such diverse as electric resistance networks, estimation of land prices, urban planning, linguistic databases, music, and gene expression regulatory networks.
Random walks (Mathematics) --- Diffusion processes. --- Markov processes. --- Charts, diagrams, etc. --- Diagrams, charts, etc. --- Graphs --- Plots (Diagrams) --- Analysis, Markov --- Chains, Markov --- Markoff processes --- Markov analysis --- Markov chains --- Markov models --- Models, Markov --- Processes, Markov --- Stochastic processes --- Markov processes --- Additive process (Probability theory) --- Random walk process (Mathematics) --- Walks, Random (Mathematics) --- Cell aggregation --- Data structures (Computer scienc. --- Engineering. --- Applications of Graph Theory and Complex Networks. --- Manifolds and Cell Complexes (incl. Diff.Topology). --- Data Structures and Information Theory. --- Complexity. --- Mathematics. --- Construction --- Industrial arts --- Technology --- Aggregation, Cell --- Cell patterning --- Cell interaction --- Microbial aggregation --- Data structures (Computer science) --- Information structures (Computer science) --- Structures, Data (Computer science) --- Structures, Information (Computer science) --- Electronic data processing --- File organization (Computer science) --- Abstract data types (Computer science) --- Physics. --- Manifolds (Mathematics). --- Complex manifolds. --- Data structures (Computer science). --- Computational complexity. --- Complexity, Computational --- Machine theory --- Analytic spaces --- Manifolds (Mathematics) --- Geometry, Differential --- Topology --- Natural philosophy --- Philosophy, Natural --- Physical sciences --- Dynamics
Choose an application
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Stocks --- Random walks (Mathematics) --- Prices --- Mathematical models --- Financial organisation --- Additive process (Probability theory) --- Random walk process (Mathematics) --- Walks, Random (Mathematics) --- Stochastic processes --- Mathematical models. --- 305.91 --- 333.613 --- 333.645 --- 339.42 --- AA / International- internationaal --- 336.76 --- 336.76 Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- Common shares --- Common stocks --- Equities --- Equity capital --- Equity financing --- Shares of stock --- Stock issues --- Stock offerings --- Stock trading --- Trading, Stock --- Securities --- Bonds --- Corporations --- Going public (Securities) --- Stock repurchasing --- Stockholders --- Prices&delete& --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Activiteiten van de nationale en internationale markten. Beursnoteringen van aandelen en obligaties --- Speculatie op de beurs --- Financiële analyse --- Beleggen. --- Stocks - Prices - Mathematical models
Listing 1 - 5 of 5 |
Sort by
|