Probability and Stochastics
From MaRDI portal
Publication:3075314
DOI10.1007/978-0-387-87859-1zbMath1226.60001OpenAlexW615510159WikidataQ29014316 ScholiaQ29014316MaRDI QIDQ3075314
Publication date: 14 February 2011
Published in: Graduate Texts in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-0-387-87859-1
Lévy processesBrownian motionmartingalestextbookMarkov processesreferencelimit theoremsmeasure theoryprobability theoryintroductionPoisson random measures
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic processes (60Gxx) Foundations of probability theory (60Axx)
Related Items (only showing first 100 items - show all)
Some results on convergence and distributions of fuzzy random variables ⋮ The existence of an optimal deterministic contract in moral hazard problems ⋮ Markov additive processes for degradation with jumps under dynamic environments ⋮ Deep learning approximation of diffeomorphisms via linear-control systems ⋮ Analysis of kinetic models for label switching and stochastic gradient descent ⋮ SOCKS: A Stochastic Optimal Control and Reachability Toolbox Using Kernel Methods ⋮ On approximation of solutions of stochastic delay differential equations via randomized Euler scheme ⋮ Series acceleration via negative binomial probabilities ⋮ On the complexity of a stochastic Levenberg-Marquardt method ⋮ Quantum encoding of dynamic directed graphs ⋮ Distribution-free algorithms for predictive stochastic programming in the presence of streaming data ⋮ Mini-Batch Risk Forms ⋮ Random sets and Choquet-type representations ⋮ Functional central limit theorems for epidemic models with varying infectivity ⋮ A countable-type branching process model for the tug-of-war cancer cell dynamics ⋮ Semimartingale representation of a class of semi-Markov dynamics ⋮ Modelling Credit Risk in the Jump Threshold Framework ⋮ Common Information, Noise Stability, and Their Extensions ⋮ State-based confidence bounds for data-driven stochastic reachability using Hilbert space embeddings ⋮ Random weighted shifts on Hilbert spaces of analytic functions ⋮ Random intertemporal choice ⋮ A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching ⋮ Jeffrey meets Kolmogorov. A general theory of conditioning ⋮ A random shock model with mixed effect, including competing soft and sudden failures, and dependence ⋮ A bivariate failure time model with random shocks and mixed effects ⋮ A probabilistic approach to mean field games with major and minor players ⋮ An approximate policy for a dual-sourcing inventory model with positive lead times and binomial yield ⋮ Characterization of the inverse stable subordinator ⋮ Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion ⋮ A Stochastic Levenberg--Marquardt Method Using Random Models with Complexity Results ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Monotone and fast computation of Euler's constant ⋮ Another characterization of homogeneous Poisson processes ⋮ Reinsurance of multiple risks with generic dependence structures ⋮ Maximum loss and maximum gain of spectrally negative Lévy processes ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Logarithmic Lévy process directed by Poisson subordinator ⋮ A direct solution method for pricing options involving the maximum process ⋮ Fractional white-noise limit and paraxial approximation for waves in random media ⋮ An improved averaged two-replication procedure with Latin hypercube sampling ⋮ KOLMOGOROV CONDITIONALIZERS CAN BE DUTCH BOOKED (IF AND ONLY IF THEY ARE EVIDENTIALLY UNCERTAIN) ⋮ Non-binary branching process and non-Markovian exploration process ⋮ Approximate Bayesian inference for simulation and optimization ⋮ Optimization formulation and monotonic solution method for the Witsenhausen problem ⋮ A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process ⋮ Law of large numbers and central limit theorem for a class of pure jump Markov process ⋮ Propagation of chaos for aggregation equations with no-flux boundary conditions and sharp sensing zones ⋮ Deterministic Bayesian information fusion and the analysis of its performance ⋮ Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions ⋮ Functional law of large numbers and PDEs for epidemic models with infection-age dependent infectivity ⋮ Lower Cone Distribution Functions and Set-Valued Quantiles Form Galois Connections ⋮ Markov risk mappings and risk-sensitive optimal prediction ⋮ Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks ⋮ Stable control of firing rate mean and variance by dual homeostatic mechanisms ⋮ Distribution of maximum loss of fractional Brownian motion with drift ⋮ Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control ⋮ Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process ⋮ A unified framework for stochastic optimization ⋮ MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS ⋮ On intensities of perturbed random measures on Hausdorff spaces ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ Stochastic input-to-state stability of random impulsive nonlinear systems ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ A note on marked point processes and multivariate subordination ⋮ Multilevel hybrid split-step implicit tau-leap ⋮ A continuous-time model of centrally coordinated motion with random switching ⋮ Synchronization in Stochastic Biochemical Oscillators Subject to Common Multiplicative Extrinsic Noise ⋮ Transversal fluctuations of the ASEP, stochastic six vertex model, and Hall-Littlewood Gibbsian line ensembles ⋮ An exact static solution approach for the service parts end-of-life inventory problem ⋮ John ellipsoid and the center of mass of a convex body ⋮ Approximate simulation techniques and distribution of an extended gamma process ⋮ Sparse exchangeable graphs and their limits via graphon processes ⋮ Lewis model revisited: option pricing with Lévy processes ⋮ On time-discretized versions of the stochastic SIS epidemic model: a comparative analysis ⋮ Taylor's law, via ratios, for some distributions with infinite mean ⋮ An optimal stopping approach for the end-of-life inventory problem ⋮ Order and exit decisions under non-increasing price curves for products with short life cycles ⋮ Generalized variance functions for infinitely divisible mixture distributions ⋮ Correlated Random Measures ⋮ Infinite-server systems with Coxian arrivals ⋮ Intersection and proximity of processes of flats ⋮ Lévy-Ito models in finance ⋮ Epidemic Models with Varying Infectivity ⋮ The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes. ⋮ Further stability results for random nonlinear systems with stochastic impulses ⋮ Dirichlet's eta and beta functions: concavity and fast computation of their derivatives ⋮ Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes ⋮ Optimal learning with non-Gaussian rewards ⋮ A sufficient condition for random zero sets of Fock spaces ⋮ Transport plans with domain constraints ⋮ A new random perturbation interval of symmetric eigenvalue problem ⋮ Efficient probabilistic reconciliation of forecasts for real-valued and count time series ⋮ Infinite server queues in a random fast oscillatory environment ⋮ The Local Time Method for Targeting and Selection ⋮ Fractional Keller-Segel equations ⋮ Deviations from Gaussianity in deterministic discrete time dynamical systems ⋮ Edgeworth expansions for slow–fast systems with finite time-scale separation
This page was built for publication: Probability and Stochastics
