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3. / I. I. Gihman, A. V. Skorohod ; Transl. from the Russian by S. Kotz
| 3. / I. I. Gihman, A. V. Skorohod ; Transl. from the Russian by S. Kotz |
| Autore | Gikhman, Ĭosyp I. |
| Pubbl/distr/stampa | New York, : Springer, 1979 |
| Descrizione fisica | viii, 388 p. ; 24 cm |
| Altri autori (Persone) | Skorohod, Anatolii V. |
| Soggetto non controllato |
Diffusion Processes
Equations Markov Processes Markovian processes Martingales Statistics Stochastic Integrals Stochastic differential equations Stochastic processes |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0268298 |
Gikhman, Ĭosyp I.
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| New York, : Springer, 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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3. / I. I. Gihman, A. V. Skorohod ; Transl. from the Russian by S. Kotz
| 3. / I. I. Gihman, A. V. Skorohod ; Transl. from the Russian by S. Kotz |
| Autore | Gikhman, Ĭosyp I. |
| Pubbl/distr/stampa | New York, : Springer, 1979 |
| Descrizione fisica | viii, 388 p. ; 24 cm |
| Altri autori (Persone) | Skorohod, Anatolii V. |
| Soggetto topico |
34Fxx - Ordinary differential equations and systems with randomness [MSC 2020]
60Hxx - Stochastic analysis [MSC 2020] |
| Soggetto non controllato |
Diffusion Processes
Equations Markov Processes Markovian processes Martingales Statistics Stochastic Integrals Stochastic differential equations Stochastic processes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00268298 |
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Gikhman, Ĭosyp I.
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| New York, : Springer, 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations / Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura
| Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations / Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura |
| Autore | Kulinich, Grigorij |
| Pubbl/distr/stampa | Cham, : Springer, : Bocconi University, 2020 |
| Descrizione fisica | xv, 240 p. : ill. ; 24 cm |
| Altri autori (Persone) |
Kushnirenko, Svitlana
Mishura, Yuliya S. |
| Soggetto topico |
93Exx - Stochastic systems and control [MSC 2020]
60-XX - Probability theory and stochastic processes [MSC 2020] 60H10 - Stochastic ordinary differential equations [MSC 2020] 60H20 - Stochastic integral equations [MSC 2020] |
| Soggetto non controllato |
Asymptotic behavior of solution
Diffusion Processes Nonregular dependence on parameter Ordinary differential equations Partial differential equations Stochastic differential equations Unstable solution |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0248725 |
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Kulinich, Grigorij
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| Cham, : Springer, : Bocconi University, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations / Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura
| Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations / Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura |
| Autore | Kulinich, Grigorij |
| Pubbl/distr/stampa | Cham, : Springer, : Bocconi University, 2020 |
| Descrizione fisica | xv, 240 p. : ill. ; 24 cm |
| Altri autori (Persone) |
Kushnirenko, Svitlana
Mishura, Yuliya S. |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
60H10 - Stochastic ordinary differential equations [MSC 2020] 60H20 - Stochastic integral equations [MSC 2020] 93Exx - Stochastic systems and control [MSC 2020] |
| Soggetto non controllato |
Asymptotic Behavior of Solution
Diffusion Processes Nonregular dependence on parameter Ordinary Differential Equations Partial Differential Equations Stochastic differential equations Unstable solution |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00248725 |
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Kulinich, Grigorij
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| Cham, : Springer, : Bocconi University, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Asymptotic Optimal Inference for Non-ergodic Models / Ishwar V. Basawa, David John Scott
| Asymptotic Optimal Inference for Non-ergodic Models / Ishwar V. Basawa, David John Scott |
| Autore | Basawa, Ishwar V. |
| Pubbl/distr/stampa | New York, : Springer-Verlag, 1983 |
| Descrizione fisica | xiii, 173 p. : ill. ; 24 cm |
| Altri autori (Persone) | Scott, David John |
| Soggetto non controllato |
Branching processes
Diffusion Processes Estimator Likelihood Random variables Statistics |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0268565 |
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Basawa, Ishwar V.
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| New York, : Springer-Verlag, 1983 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Asymptotic Optimal Inference for Non-ergodic Models / Ishwar V. Basawa, David John Scott
| Asymptotic Optimal Inference for Non-ergodic Models / Ishwar V. Basawa, David John Scott |
| Autore | Basawa, Ishwar V. |
| Pubbl/distr/stampa | New York, : Springer-Verlag, 1983 |
| Descrizione fisica | xiii, 173 p. : ill. ; 24 cm |
| Altri autori (Persone) | Scott, David John |
| Soggetto topico |
62-XX - Statistics [MSC 2020]
62G05 - Nonparametric estimation [MSC 2020] 62G10 - Nonparametric hypothesis testing [MSC 2020] 62G20 - Asymptotic properties of nonparametric inference [MSC 2020] 62Gxx - Nonparametric inference [MSC 2020] |
| Soggetto non controllato |
Branching processes
Diffusion Processes Estimator Likelihood Random Variables Statistics |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | This monograph contains a comprehensive account of the recent work of the authors and other workers on large sample optimal inference for non-ergodic models. The non-ergodic family of models can be viewed as an extension of the usual Fisher-Rao model for asymptotics, referred to here as an ergodic family. The main feature of a non-ergodic model is that the sample Fisher information, appropriately normed, converges to a non-degenerate random variable rather than to a constant. Mixture experiments, growth models such as birth processes, branching processes, etc. , and non-stationary diffusion processes are typical examples of non-ergodic models for which the usual asymptotics and the efficiency criteria of the Fisher-Rao-Wald type are not directly applicable. The new model necessitates a thorough review of both technical and qualitative aspects of the asymptotic theory. The general model studied includes both ergodic and non-ergodic families even though we emphasise applications of the latter type. The plan to write the monograph originally evolved through a series of lectures given by the first author in a graduate seminar course at Cornell University during the fall of 1978, and by the second author at the University of Munich during the fall of 1979. Further work during 1979-1981 on the topic has resolved many of the outstanding conceptual and technical difficulties encountered previously. While there are still some gaps remaining, it appears that the mainstream development in the area has now taken a more definite shape. |
| Record Nr. | UNICAMPANIA-VAN00268565 |
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Basawa, Ishwar V.
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| New York, : Springer-Verlag, 1983 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Brownian Motion and Diffusion / David Freedman
| Brownian Motion and Diffusion / David Freedman |
| Autore | Freedman, David |
| Pubbl/distr/stampa | New York, : Springer-Verlag, 1983 |
| Descrizione fisica | xii, 231 p. : ill. ; 24 cm |
| Soggetto non controllato |
Brownian Motion
Diffusion Diffusion Processes Law of the iterated logarithms Local time Markov Chains Markov Processes Martingales Motion Variance |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0268568 |
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Freedman, David
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| New York, : Springer-Verlag, 1983 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Brownian Motion and Diffusion / David Freedman
| Brownian Motion and Diffusion / David Freedman |
| Autore | Freedman, David |
| Pubbl/distr/stampa | New York, : Springer-Verlag, 1983 |
| Descrizione fisica | xii, 231 p. : ill. ; 24 cm |
| Soggetto topico |
58J65 - Diffusion processes and stochastic analysis on manifolds [MSC 2020]
60J60 - Diffusion processes [MSC 2020] 60J65 - Brownian motion [MSC 2020] 60Jxx - Markov processes [MSC 2020] |
| Soggetto non controllato |
Brownian motion
Diffusion Diffusion Processes Law of the iterated logarithms Local time Markov Chains Markov Processes Martingales Motion Variance |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A long time ago I started writing a book about Markov chains, Brownian motion, and diffusion. I soon had two hundred pages of manuscript and my publisher was enthusiastic. Some years and several drafts later, I had a thot:sand pages of manuscript, and my publisher was less enthusiastic. So we made it a trilogy: Markov Chains Brownian Motion and Diffusion Approximating Countable Markov Chains familiarly - Me, B & D, and ACM. I wrote the first two books for beginning graduate students with some knowledge of probability; if you can follow Sections 3.4 to 3.9 of Brownian Motion and Diffusion you're in. The first two books are quite independent of one another, and completely independent of the third. This last book is a monograph, which explains one way to think about chains with instantaneous states. The results in it are supposed to be new, except where there are spe cific disclaimers; it's written in the framework of Markov Chains. Most of the proofs in the trilogy are new, and I tried hard to make them explicit. The old ones were often elegant, but I seldom saw what made them go. With my own, I can sometimes show you why things work. And, as I will argue in a minute, my demonstrations are easier technically. If I wrote them down well enough, you may come to agree. |
| Record Nr. | UNICAMPANIA-VAN00268568 |
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Freedman, David
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| New York, : Springer-Verlag, 1983 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Controlled Diffusion Processes / Nicolai V. Krylov ; Transl. by A. B. Aries
| Controlled Diffusion Processes / Nicolai V. Krylov ; Transl. by A. B. Aries |
| Autore | Krylov, Nikolaj Vladimirovich |
| Pubbl/distr/stampa | Berlin, : Springer, 1980 |
| Descrizione fisica | xii, 310 p. ; 24 cm |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
60J60 - Diffusion processes [MSC 2020] 35K55 - Nonlinear parabolic equations [MSC 2020] 35J60 - Nonlinear elliptic equations [MSC 2020] 93-XX - Systems theory; control [MSC 2020] |
| Soggetto non controllato |
Diffusion
Diffusion Processes Fully nonlinear equations Linear optimization Optimal Control Stochastic differential equations |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0261525 |
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Krylov, Nikolaj Vladimirovich
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| Berlin, : Springer, 1980 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Controlled Diffusion Processes / Nicolai V. Krylov ; Transl. by A. B. Aries
| Controlled Diffusion Processes / Nicolai V. Krylov ; Transl. by A. B. Aries |
| Autore | Krylov, Nikolaj V. |
| Pubbl/distr/stampa | Berlin, : Springer, 1980 |
| Descrizione fisica | xii, 310 p. ; 24 cm |
| Soggetto topico |
35J60 - Nonlinear elliptic equations [MSC 2020]
35K55 - Nonlinear parabolic equations [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 93-XX - Systems theory; control [MSC 2020] 93E20 - Optimal stochastic control [MSC 2020] |
| Soggetto non controllato |
Diffusion
Diffusion Processes Fully nonlinear equations Linear optimization Optimal Control Stochastic differential equations |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory. |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00261525 |
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Krylov, Nikolaj V.
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| Berlin, : Springer, 1980 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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