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Título : Basics of Applied Stochastic Processes Tipo de documento: documento electrónico Autores: Serfozo, Richard ; SpringerLink (Online service) Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2009 Otro editor: Imprint: Springer Colección: Probability and Its Applications, ISSN 1431-7028 Número de páginas: XIV, 443 p Il.: online resource ISBN/ISSN/DL: 978-3-540-89332-5 Idioma : Inglés (eng) Palabras clave: Mathematics Mathematical models Probabilities Probability Theory and Stochastic Processes Modeling Industrial Clasificación: 51 Matemáticas Resumen: Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes. Intended readers are researchers and graduate students in mathematics, statistics, operations research, computer science, engineering, and business Nota de contenido: Markov Chains -- Renewal and Regenerative Processes -- Poisson Processes -- Continuous-Time Markov Chains -- Brownian Motion En línea: http://dx.doi.org/10.1007/978-3-540-89332-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34048 Basics of Applied Stochastic Processes [documento electrónico] / Serfozo, Richard ; SpringerLink (Online service) . - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2009 . - XIV, 443 p : online resource. - (Probability and Its Applications, ISSN 1431-7028) .
ISBN : 978-3-540-89332-5
Idioma : Inglés (eng)
Palabras clave: Mathematics Mathematical models Probabilities Probability Theory and Stochastic Processes Modeling Industrial Clasificación: 51 Matemáticas Resumen: Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes. Intended readers are researchers and graduate students in mathematics, statistics, operations research, computer science, engineering, and business Nota de contenido: Markov Chains -- Renewal and Regenerative Processes -- Poisson Processes -- Continuous-Time Markov Chains -- Brownian Motion En línea: http://dx.doi.org/10.1007/978-3-540-89332-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34048 Ejemplares
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Título : Continuous-Time Markov Jump Linear Systems Tipo de documento: documento electrónico Autores: Oswaldo Luiz do Valle Costa ; SpringerLink (Online service) ; Marcelo Dutra Fragoso ; Todorov, Marcos G Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: Probability and Its Applications, ISSN 1431-7028 Número de páginas: XII, 288 p Il.: online resource ISBN/ISSN/DL: 978-3-642-34100-7 Idioma : Inglés (eng) Palabras clave: Mathematics Dynamics Ergodic theory Operator System Probabilities Probability Theory and Stochastic Processes Systems Theory, Control Dynamical Clasificación: 51 Matemáticas Resumen: It has been widely recognized nowadays the importance of introducing mathematical models that take into account possible sudden changes in the dynamical behavior of high-integrity systems or a safety-critical system. Such systems can be found in aircraft control, nuclear power stations, robotic manipulator systems, integrated communication networks and large-scale flexible structures for space stations, and are inherently vulnerable to abrupt changes in their structures caused by component or interconnection failures. In this regard, a particularly interesting class of models is the so-called Markov jump linear systems (MJLS), which have been used in numerous applications including robotics, economics and wireless communication. Combining probability and operator theory, the present volume provides a unified and rigorous treatment of recent results in control theory of continuous-time MJLS. This unique approach is of great interest to experts working in the field of linear systems with Markovian jump parameters or in stochastic control. The volume focuses on one of the few cases of stochastic control problems with an actual explicit solution and offers material well-suited to coursework, introducing students to an interesting and active research area. The book is addressed to researchers working in control and signal processing engineering. Prerequisites include a solid background in classical linear control theory, basic familiarity with continuous-time Markov chains and probability theory, and some elementary knowledge of operator theory Nota de contenido: 1.Introduction -- 2.A Few Tools and Notations -- 3.Mean Square Stability -- 4.Quadratic Optimal Control with Complete Observations -- 5.H2 Optimal Control With Complete Observations -- 6.Quadratic and H2 Optimal Control with Partial Observations -- 7.Best Linear Filter with Unknown (x(t), ?(t)) -- 8.H_$infty$ Control -- 9.Design Techniques -- 10.Some Numerical Examples -- A.Coupled Differential and Algebraic Riccati Equations -- B.The Adjoint Operator and Some Auxiliary Results -- References. - Notation and Conventions -- Index En línea: http://dx.doi.org/10.1007/978-3-642-34100-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32545 Continuous-Time Markov Jump Linear Systems [documento electrónico] / Oswaldo Luiz do Valle Costa ; SpringerLink (Online service) ; Marcelo Dutra Fragoso ; Todorov, Marcos G . - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013 . - XII, 288 p : online resource. - (Probability and Its Applications, ISSN 1431-7028) .
ISBN : 978-3-642-34100-7
Idioma : Inglés (eng)
Palabras clave: Mathematics Dynamics Ergodic theory Operator System Probabilities Probability Theory and Stochastic Processes Systems Theory, Control Dynamical Clasificación: 51 Matemáticas Resumen: It has been widely recognized nowadays the importance of introducing mathematical models that take into account possible sudden changes in the dynamical behavior of high-integrity systems or a safety-critical system. Such systems can be found in aircraft control, nuclear power stations, robotic manipulator systems, integrated communication networks and large-scale flexible structures for space stations, and are inherently vulnerable to abrupt changes in their structures caused by component or interconnection failures. In this regard, a particularly interesting class of models is the so-called Markov jump linear systems (MJLS), which have been used in numerous applications including robotics, economics and wireless communication. Combining probability and operator theory, the present volume provides a unified and rigorous treatment of recent results in control theory of continuous-time MJLS. This unique approach is of great interest to experts working in the field of linear systems with Markovian jump parameters or in stochastic control. The volume focuses on one of the few cases of stochastic control problems with an actual explicit solution and offers material well-suited to coursework, introducing students to an interesting and active research area. The book is addressed to researchers working in control and signal processing engineering. Prerequisites include a solid background in classical linear control theory, basic familiarity with continuous-time Markov chains and probability theory, and some elementary knowledge of operator theory Nota de contenido: 1.Introduction -- 2.A Few Tools and Notations -- 3.Mean Square Stability -- 4.Quadratic Optimal Control with Complete Observations -- 5.H2 Optimal Control With Complete Observations -- 6.Quadratic and H2 Optimal Control with Partial Observations -- 7.Best Linear Filter with Unknown (x(t), ?(t)) -- 8.H_$infty$ Control -- 9.Design Techniques -- 10.Some Numerical Examples -- A.Coupled Differential and Algebraic Riccati Equations -- B.The Adjoint Operator and Some Auxiliary Results -- References. - Notation and Conventions -- Index En línea: http://dx.doi.org/10.1007/978-3-642-34100-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32545 Ejemplares
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Título : Invariant Random Fields on Spaces with a Group Action Tipo de documento: documento electrónico Autores: Malyarenko, Anatoliy ; SpringerLink (Online service) Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: Probability and Its Applications, ISSN 1431-7028 Número de páginas: XVIII, 262 p Il.: online resource ISBN/ISSN/DL: 978-3-642-33406-1 Idioma : Inglés (eng) Palabras clave: Mathematics Mathematical physics Probabilities Cosmology Probability Theory and Stochastic Processes Applications in the Physical Sciences Clasificación: 51 Matemáticas Resumen: The author describes the current state of the art in the theory of invariant random fields. This theory is based on several different areas of mathematics, including probability theory, differential geometry, harmonic analysis, and special functions. The present volume unifies many results scattered throughout the mathematical, physical, and engineering literature, as well as it introduces new results from this area first proved by the author. The book also presents many practical applications, in particular in such highly interesting areas as approximation theory, cosmology and earthquake engineering. It is intended for researchers and specialists working in the fields of stochastic processes, statistics, functional analysis, astronomy, and engineering. Nota de contenido: 1.Introduction -- 2.Spectral Expansions -- 3.L2 Theory of Invariant Random Fields -- 4.Sample Path Properties of Gaussian Invariant Random Fields -- 5.Applications -- A.Mathematical Background -- References -- Index En línea: http://dx.doi.org/10.1007/978-3-642-33406-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32535 Invariant Random Fields on Spaces with a Group Action [documento electrónico] / Malyarenko, Anatoliy ; SpringerLink (Online service) . - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013 . - XVIII, 262 p : online resource. - (Probability and Its Applications, ISSN 1431-7028) .
ISBN : 978-3-642-33406-1
Idioma : Inglés (eng)
Palabras clave: Mathematics Mathematical physics Probabilities Cosmology Probability Theory and Stochastic Processes Applications in the Physical Sciences Clasificación: 51 Matemáticas Resumen: The author describes the current state of the art in the theory of invariant random fields. This theory is based on several different areas of mathematics, including probability theory, differential geometry, harmonic analysis, and special functions. The present volume unifies many results scattered throughout the mathematical, physical, and engineering literature, as well as it introduces new results from this area first proved by the author. The book also presents many practical applications, in particular in such highly interesting areas as approximation theory, cosmology and earthquake engineering. It is intended for researchers and specialists working in the fields of stochastic processes, statistics, functional analysis, astronomy, and engineering. Nota de contenido: 1.Introduction -- 2.Spectral Expansions -- 3.L2 Theory of Invariant Random Fields -- 4.Sample Path Properties of Gaussian Invariant Random Fields -- 5.Applications -- A.Mathematical Background -- References -- Index En línea: http://dx.doi.org/10.1007/978-3-642-33406-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32535 Ejemplares
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Título : Measure-Valued Branching Markov Processes Tipo de documento: documento electrónico Autores: Li, Zenghu ; SpringerLink (Online service) Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2011 Colección: Probability and Its Applications, ISSN 1431-7028 Número de páginas: XI, 350 p Il.: online resource ISBN/ISSN/DL: 978-3-642-15004-3 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Measure-valued branching processes arise as high density limits of branching particle systems. The Dawson-Watanabe superprocess is a special class of those. The author constructs superprocesses with Borel right underlying motions and general branching mechanisms and shows the existence of their Borel right realizations. He then uses transformations to derive the existence and regularity of several different forms of the superprocesses. This treatment simplifies the constructions and gives useful perspectives. Martingale problems of superprocesses are discussed under Feller type assumptions. The most important feature of the book is the systematic treatment of immigration superprocesses and generalized Ornstein--Uhlenbeck processes based on skew convolution semigroups. The volume addresses researchers in measure-valued processes, branching processes, stochastic analysis, biological and genetic models, and graduate students in probability theory and stochastic processes Nota de contenido: Preface -- 1. Random Measures on Metric Spaces -- 2. Measure-valued Branching Processes -- 3. One-dimensional Branching Processes -- 4. Branching Particle Systems -- 5. Basic Regularities of Superprocesses -- 6. Constructions by Transformations -- 7. Martingale Problems of Superprocesses -- 8. Entrance Laws and Excursion Laws -- 9. Structures of Independent Immigration -- 10. State-dependent Immigration Structures -- 11. Generalized Ornstein-Uhlenbeck Processes -- 12. Small Branching Fluctuation Limits -- 13. Appendix: Markov Processes -- Bibliography -- Index En línea: http://dx.doi.org/10.1007/978-3-642-15004-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33374 Measure-Valued Branching Markov Processes [documento electrónico] / Li, Zenghu ; SpringerLink (Online service) . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2011 . - XI, 350 p : online resource. - (Probability and Its Applications, ISSN 1431-7028) .
ISBN : 978-3-642-15004-3
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Measure-valued branching processes arise as high density limits of branching particle systems. The Dawson-Watanabe superprocess is a special class of those. The author constructs superprocesses with Borel right underlying motions and general branching mechanisms and shows the existence of their Borel right realizations. He then uses transformations to derive the existence and regularity of several different forms of the superprocesses. This treatment simplifies the constructions and gives useful perspectives. Martingale problems of superprocesses are discussed under Feller type assumptions. The most important feature of the book is the systematic treatment of immigration superprocesses and generalized Ornstein--Uhlenbeck processes based on skew convolution semigroups. The volume addresses researchers in measure-valued processes, branching processes, stochastic analysis, biological and genetic models, and graduate students in probability theory and stochastic processes Nota de contenido: Preface -- 1. Random Measures on Metric Spaces -- 2. Measure-valued Branching Processes -- 3. One-dimensional Branching Processes -- 4. Branching Particle Systems -- 5. Basic Regularities of Superprocesses -- 6. Constructions by Transformations -- 7. Martingale Problems of Superprocesses -- 8. Entrance Laws and Excursion Laws -- 9. Structures of Independent Immigration -- 10. State-dependent Immigration Structures -- 11. Generalized Ornstein-Uhlenbeck Processes -- 12. Small Branching Fluctuation Limits -- 13. Appendix: Markov Processes -- Bibliography -- Index En línea: http://dx.doi.org/10.1007/978-3-642-15004-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33374 Ejemplares
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Título : Normal Approximation by Stein’s Method Tipo de documento: documento electrónico Autores: Chen, Louis H.Y ; SpringerLink (Online service) ; Larry J. Goldstein ; Shao, Qi-Man Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2011 Colección: Probability and Its Applications, ISSN 1431-7028 Número de páginas: XII, 408 p. 3 illus Il.: online resource ISBN/ISSN/DL: 978-3-642-15007-4 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Since its introduction in 1972, Stein’s method has offered a completely novel way of evaluating the quality of normal approximations. Through its characterizing equation approach, it is able to provide approximation error bounds in a wide variety of situations, even in the presence of complicated dependence. Use of the method thus opens the door to the analysis of random phenomena arising in areas including statistics, physics, and molecular biology. Though Stein's method for normal approximation is now mature, the literature has so far lacked a complete self contained treatment. This volume contains thorough coverage of the method’s fundamentals, includes a large number of recent developments in both theory and applications, and will help accelerate the appreciation, understanding, and use of Stein's method by providing the reader with the tools needed to apply it in new situations. It addresses researchers as well as graduate students in Probability, Statistics and Combinatorics Nota de contenido: Preface -- 1.Introduction -- 2.Fundamentals of Stein's Method -- 3.Berry-Esseen Bounds for Independent Random Variables -- 4.L^1 Bounds -- 5.L^1 by Bounded Couplings -- 6 L^1: Applications -- 7.Non-uniform Bounds for Independent Random Variables -- 8.Uniform and Non-uniform Bounds under Local Dependence -- 9.Uniform and Non-Uniform Bounds for Non-linear Statistics -- 10.Moderate Deviations -- 11.Multivariate Normal Approximation -- 12.Discretized normal approximation -- 13.Non-normal Approximation -- 14.Extensions -- References -- Author Index -- Subject Index -- Notation En línea: http://dx.doi.org/10.1007/978-3-642-15007-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33375 Normal Approximation by Stein’s Method [documento electrónico] / Chen, Louis H.Y ; SpringerLink (Online service) ; Larry J. Goldstein ; Shao, Qi-Man . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2011 . - XII, 408 p. 3 illus : online resource. - (Probability and Its Applications, ISSN 1431-7028) .
ISBN : 978-3-642-15007-4
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: Since its introduction in 1972, Stein’s method has offered a completely novel way of evaluating the quality of normal approximations. Through its characterizing equation approach, it is able to provide approximation error bounds in a wide variety of situations, even in the presence of complicated dependence. Use of the method thus opens the door to the analysis of random phenomena arising in areas including statistics, physics, and molecular biology. Though Stein's method for normal approximation is now mature, the literature has so far lacked a complete self contained treatment. This volume contains thorough coverage of the method’s fundamentals, includes a large number of recent developments in both theory and applications, and will help accelerate the appreciation, understanding, and use of Stein's method by providing the reader with the tools needed to apply it in new situations. It addresses researchers as well as graduate students in Probability, Statistics and Combinatorics Nota de contenido: Preface -- 1.Introduction -- 2.Fundamentals of Stein's Method -- 3.Berry-Esseen Bounds for Independent Random Variables -- 4.L^1 Bounds -- 5.L^1 by Bounded Couplings -- 6 L^1: Applications -- 7.Non-uniform Bounds for Independent Random Variables -- 8.Uniform and Non-uniform Bounds under Local Dependence -- 9.Uniform and Non-Uniform Bounds for Non-linear Statistics -- 10.Moderate Deviations -- 11.Multivariate Normal Approximation -- 12.Discretized normal approximation -- 13.Non-normal Approximation -- 14.Extensions -- References -- Author Index -- Subject Index -- Notation En línea: http://dx.doi.org/10.1007/978-3-642-15007-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33375 Ejemplares
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