Stochastic Inequalities PDF Download
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Author: Moshe Shaked
Publisher: IMS
ISBN: 9780940600294
Category : Mathematics
Languages : en
Pages : 434
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Book Description
Author: Moshe Shaked
Publisher: IMS
ISBN: 9780940600294
Category : Mathematics
Languages : en
Pages : 434
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Book Description
Author: Evariste Giné
Publisher: Birkhäuser
ISBN: 3034880693
Category : Mathematics
Languages : en
Pages : 362
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Book Description
Concentration inequalities, which express the fact that certain complicated random variables are almost constant, have proven of utmost importance in many areas of probability and statistics. This volume contains refined versions of these inequalities, and their relationship to many applications particularly in stochastic analysis. The broad range and the high quality of the contributions make this book highly attractive for graduates, postgraduates and researchers in the above areas.
Author: Theodore Preston Hill
Publisher: American Mathematical Soc.
ISBN: 0821810863
Category : Stochastic inequalities
Languages : en
Pages : 226
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Book Description
Contains 15 articles based on invited talks given at an AMS Special Session on 'Stochastic Inequalities and Their Applications' held at Georgia Institute of Technology (Atlanta). This book includes articles that offer a comprehensive picture of this area of mathematical probability and statistics.
Author: Yung Liang Tong
Publisher: IMS
ISBN: 9780940600041
Category : Mathematics
Languages : en
Pages : 270
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Book Description
Author: Joachim Gwinner
Publisher: CRC Press
ISBN: 1351857673
Category : Mathematics
Languages : en
Pages : 404
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Book Description
Uncertainty Quantification (UQ) is an emerging and extremely active research discipline which aims to quantitatively treat any uncertainty in applied models. The primary objective of Uncertainty Quantification in Variational Inequalities: Theory, Numerics, and Applications is to present a comprehensive treatment of UQ in variational inequalities and some of its generalizations emerging from various network, economic, and engineering models. Some of the developed techniques also apply to machine learning, neural networks, and related fields. Features First book on UQ in variational inequalities emerging from various network, economic, and engineering models Completely self-contained and lucid in style Aimed for a diverse audience including applied mathematicians, engineers, economists, and professionals from academia Includes the most recent developments on the subject which so far have only been available in the research literature
Author: B.G. Pachpatte
Publisher: CRC Press
ISBN: 9780824706579
Category : Mathematics
Languages : en
Pages : 546
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Book Description
"A treatise on finite difference ineuqalities that have important applications to theories of various classes of finite difference and sum-difference equations, including several linear and nonlinear finite difference inequalities appearing for the first time in book form."
Author: Ingram Olkin
Publisher: Academic Press
ISBN: 0080959970
Category : Mathematics
Languages : en
Pages : 569
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Book Description
Although they play a fundamental role in nearly all branches of mathematics, inequalities are usually obtained by ad hoc methods rather than as consequences of some underlying "theory of inequalities." For certain kinds of inequalities, the notion of majorization leads to such a theory that is sometimes extremely useful and powerful for deriving inequalities. Moreover, the derivation of an inequality by methods of majorization is often very helpful both for providing a deeper understanding and for suggesting natural generalizations. Anyone wishing to employ majorization as a tool in applications can make use of the theorems; for the most part, their statements are easily understood.
Author: Etienne Pardoux
Publisher: Springer
ISBN: 3319057146
Category : Mathematics
Languages : en
Pages : 680
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Book Description
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter. Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, Economics and Finance, where random processes play an increasingly important role. One important aspect is the connection between diffusion processes and linear partial differential equations of second order, which is in particular the basis for Monte Carlo numerical methods for linear PDEs. Since the pioneering work of Peng and Pardoux in the early 1990s, a new type of SDEs called backward stochastic differential equations (BSDEs) has emerged. The two main reasons why this new class of equations is important are the connection between BSDEs and semilinear PDEs, and the fact that BSDEs constitute a natural generalization of the famous Black and Scholes model from Mathematical Finance, and thus offer a natural mathematical framework for the formulation of many new models in Finance.
Author: Y. L. Tong
Publisher: Academic Press
ISBN: 1483269213
Category : Mathematics
Languages : en
Pages : 255
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Book Description
Probability Inequalities in Multivariate Distributions is a comprehensive treatment of probability inequalities in multivariate distributions, balancing the treatment between theory and applications. The book is concerned only with those inequalities that are of types T1-T5. The conditions for such inequalities range from very specific to very general. Comprised of eight chapters, this volume begins by presenting a classification of probability inequalities, followed by a discussion on inequalities for multivariate normal distribution as well as their dependence on correlation coefficients. The reader is then introduced to inequalities for other well-known distributions, including the multivariate distributions of t, chi-square, and F; inequalities for a class of symmetric unimodal distributions and for a certain class of random variables that are positively dependent by association or by mixture; and inequalities obtainable through the mathematical tool of majorization and weak majorization. The book also describes some distribution-free inequalities before concluding with an overview of their applications in simultaneous confidence regions, hypothesis testing, multiple decision problems, and reliability and life testing. This monograph is intended for mathematicians, statisticians, students, and those who are primarily interested in inequalities.
Author: Evarist Giné
Publisher: Birkhauser
ISBN: 9780817621971
Category : Stochastic inequalities.
Languages : en
Pages : 365
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Book Description
The book also contains a sample of recent advances on several aspects of stochastic analysis such as diffusion processes, stochastic differential equations driven by fractional Brownian motion, Lyapunov exponents for stochastic differential equations with jumps, and Levy processes."--BOOK JACKET.
