An Introduction to Stochastic Orders PDF Download
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Author: Felix Belzunce
Publisher: Academic Press
ISBN: 0128038268
Category : Mathematics
Languages : en
Pages : 174
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Book Description
An Introduction to Stochastic Orders discusses this powerful tool that can be used in comparing probabilistic models in different areas such as reliability, survival analysis, risks, finance, and economics. The book provides a general background on this topic for students and researchers who want to use it as a tool for their research. In addition, users will find detailed proofs of the main results and applications to several probabilistic models of interest in several fields, and discussions of fundamental properties of several stochastic orders, in the univariate and multivariate cases, along with applications to probabilistic models. Introduces stochastic orders and its notation Discusses different orders of univariate stochastic orders Explains multivariate stochastic orders and their convex, likelihood ratio, and dispersive orders
Author: Felix Belzunce
Publisher: Academic Press
ISBN: 0128038268
Category : Mathematics
Languages : en
Pages : 174
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Book Description
An Introduction to Stochastic Orders discusses this powerful tool that can be used in comparing probabilistic models in different areas such as reliability, survival analysis, risks, finance, and economics. The book provides a general background on this topic for students and researchers who want to use it as a tool for their research. In addition, users will find detailed proofs of the main results and applications to several probabilistic models of interest in several fields, and discussions of fundamental properties of several stochastic orders, in the univariate and multivariate cases, along with applications to probabilistic models. Introduces stochastic orders and its notation Discusses different orders of univariate stochastic orders Explains multivariate stochastic orders and their convex, likelihood ratio, and dispersive orders
Author: Moshe Shaked
Publisher: Springer Science & Business Media
ISBN: 0387346759
Category : Mathematics
Languages : en
Pages : 473
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Book Description
This reference text presents comprehensive coverage of the various notions of stochastic orderings, their closure properties, and their applications. Some of these orderings are routinely used in many applications in economics, finance, insurance, management science, operations research, statistics, and various other fields. And the value of the other notions of stochastic orderings needs further exploration. This book is an ideal reference for those interested in decision making under uncertainty and interested in the analysis of complex stochastic systems. It is suitable as a text for advanced graduate course on stochastic ordering and applications.
Author: Karl Mosler
Publisher: Springer Science & Business Media
ISBN: 3642499724
Category : Mathematics
Languages : en
Pages : 385
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Book Description
A bibliography on stochastic orderings. Was there a real need for it? In a time of reference databases as the MathSci or the Science Citation Index or the Social Science Citation Index the answer seems to be negative. The reason we think that this bibliog raphy might be of some use stems from the frustration that we, as workers in the field, have often experienced by finding similar results being discovered and proved over and over in different journals of different disciplines with different levels of mathematical so phistication and accuracy and most of the times without cross references. Of course it would be very unfair to blame an economist, say, for not knowing a result in mathematical physics, or vice versa, especially when the problems and the languages are so far apart that it is often difficult to recognize the analogies even after further scrutiny. We hope that collecting the references on this topic, regardless of the area of application, will be of some help, at least to pinpoint the problem. We use the term stochastic ordering in a broad sense to denote any ordering relation on a space of probability measures. Questions that can be related to the idea of stochastic orderings are as old as probability itself. Think for instance of the problem of comparing two gambles in order to decide which one is more favorable.
Author: Karl C. Mosler
Publisher: IMS
ISBN: 9780940600263
Category : Education
Languages : en
Pages : 414
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Book Description
Author: Moshe Shaked
Publisher:
ISBN:
Category : Stochastic orders
Languages : en
Pages : 580
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Book Description
Stochastic orders and inequalities are being used at an accelerated rate in many diverse areas of probability and statistics. This book provides the first unified, systematic, and accessible treatment of stochasticorders, addressing the growing importance of these orders with the presentation of numerous results that illustrate their usefulness and applicability. Ten insightful chapters emphasize the applications by specialists in probability and statistics, economics, operations research, and reliability theory. Applications include multivariate variability, epidemics, comparisons of risk and risk aversion, scheduling, and systems reliability theory.
Author: Erhan Cinlar
Publisher: Courier Corporation
ISBN: 0486276325
Category : Mathematics
Languages : en
Pages : 418
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Book Description
Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.
Author: Roe Goodman
Publisher: Courier Corporation
ISBN: 0486450376
Category : Mathematics
Languages : en
Pages : 370
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Book Description
Newly revised by the author, this undergraduate-level text introduces the mathematical theory of probability and stochastic processes. Using both computer simulations and mathematical models of random events, it comprises numerous applications to the physical and biological sciences, engineering, and computer science. Subjects include sample spaces, probabilities distributions and expectations of random variables, conditional expectations, Markov chains, and the Poisson process. Additional topics encompass continuous-time stochastic processes, birth and death processes, steady-state probabilities, general queuing systems, and renewal processes. Each section features worked examples, and exercises appear at the end of each chapter, with numerical solutions at the back of the book. Suggestions for further reading in stochastic processes, simulation, and various applications also appear at the end.
Author: Lawrence C. Evans
Publisher: American Mathematical Soc.
ISBN: 1470410540
Category : Mathematics
Languages : en
Pages : 151
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Book Description
These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. --Srinivasa Varadhan, New York University This is a handy and very useful text for studying stochastic differential equations. There is enough mathematical detail so that the reader can benefit from this introduction with only a basic background in mathematical analysis and probability. --George Papanicolaou, Stanford University This book covers the most important elementary facts regarding stochastic differential equations; it also describes some of the applications to partial differential equations, optimal stopping, and options pricing. The book's style is intuitive rather than formal, and emphasis is made on clarity. This book will be very helpful to starting graduate students and strong undergraduates as well as to others who want to gain knowledge of stochastic differential equations. I recommend this book enthusiastically. --Alexander Lipton, Mathematical Finance Executive, Bank of America Merrill Lynch This short book provides a quick, but very readable introduction to stochastic differential equations, that is, to differential equations subject to additive ``white noise'' and related random disturbances. The exposition is concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).
Author: James L. Melsa
Publisher: Courier Corporation
ISBN: 0486490998
Category : Mathematics
Languages : en
Pages : 420
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Book Description
Detailed coverage of probability theory, random variables and their functions, stochastic processes, linear system response to stochastic processes, Gaussian and Markov processes, and stochastic differential equations. 1973 edition.
Author: Erhan Cinlar
Publisher: Courier Corporation
ISBN: 0486497976
Category : Mathematics
Languages : en
Pages : 418
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Book Description
This clear presentation of themost fundamental models ofrandom phenomena employsmethods that recognize computerrelatedaspects of theory. Topicsinclude probability spaces andrandom variables, expectationsand independence, Bernoulliprocesses and sums of independentrandom variables, Poisson processes, Markov chainsand processes, and renewal theory. Assuming only a backgroundin calculus, this outstanding text includes an introductionto basic stochastic processes.Reprint of the Prentice-Hall Publishers, Englewood Cliffs,New Jersey, 1975 edition.
