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Título : Invariant Probabilities of Markov-Feller Operators and Their Supports Tipo de documento: documento electrónico Autores: Zaharopol, Radu ; SpringerLink (Online service) Editorial: Basel : Birkhäuser Basel Fecha de publicación: 2005 Otro editor: Imprint: Birkhäuser Colección: Frontiers in Mathematics, ISSN 1660-8046 Número de páginas: XIII, 113 p Il.: online resource ISBN/ISSN/DL: 978-3-7643-7344-3 Idioma : Inglés (eng) Palabras clave: Mathematics Differential geometry Probabilities Probability Theory and Stochastic Processes Geometry Clasificación: 51 Matemáticas Resumen: In this book invariant probabilities for a large class of discrete-time homogeneous Markov processes known as Feller processes are discussed. These Feller processes appear in the study of iterated function systems with probabilities, convolution operators, certain time series, etc. Rather than dealing with the processes, the transition probabilities and the operators associated with these processes are studied. Main features: - an ergodic decomposition which is a "reference system" for dealing with ergodic measures - "formulas" for the supports of invariant probability measures, some of which can be used to obtain algorithms for the graphical display of these supports - helps to gain a better understanding of the structure of Markov-Feller operators, and, implicitly, of the discrete-time homogeneous Feller processes - special efforts to attract newcomers to the theory of Markov processes in general, and to the topics covered in particular - most of the results are new and deal with topics of intense research interest Nota de contenido: Introduction -- 1. Preliminaries on Markov-Feller Operators -- 2. The KBBY Decomposition -- 3. Unique Ergodicity -- 4. Equicontinuity -- Bibliography -- Index En línea: http://dx.doi.org/10.1007/b98076 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35333 Invariant Probabilities of Markov-Feller Operators and Their Supports [documento electrónico] / Zaharopol, Radu ; SpringerLink (Online service) . - Basel : Birkhäuser Basel : Imprint: Birkhäuser, 2005 . - XIII, 113 p : online resource. - (Frontiers in Mathematics, ISSN 1660-8046) .
ISBN : 978-3-7643-7344-3
Idioma : Inglés (eng)
Palabras clave: Mathematics Differential geometry Probabilities Probability Theory and Stochastic Processes Geometry Clasificación: 51 Matemáticas Resumen: In this book invariant probabilities for a large class of discrete-time homogeneous Markov processes known as Feller processes are discussed. These Feller processes appear in the study of iterated function systems with probabilities, convolution operators, certain time series, etc. Rather than dealing with the processes, the transition probabilities and the operators associated with these processes are studied. Main features: - an ergodic decomposition which is a "reference system" for dealing with ergodic measures - "formulas" for the supports of invariant probability measures, some of which can be used to obtain algorithms for the graphical display of these supports - helps to gain a better understanding of the structure of Markov-Feller operators, and, implicitly, of the discrete-time homogeneous Feller processes - special efforts to attract newcomers to the theory of Markov processes in general, and to the topics covered in particular - most of the results are new and deal with topics of intense research interest Nota de contenido: Introduction -- 1. Preliminaries on Markov-Feller Operators -- 2. The KBBY Decomposition -- 3. Unique Ergodicity -- 4. Equicontinuity -- Bibliography -- Index En línea: http://dx.doi.org/10.1007/b98076 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35333 Ejemplares
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Título : Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae Tipo de documento: documento electrónico Autores: Profeta, Cristophe ; SpringerLink (Online service) ; Roynette, Bernard ; Yor, Marc Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2010 Colección: Springer Finance, ISSN 1616-0533 Número de páginas: XXI, 270 p. 3 illus Il.: online resource ISBN/ISSN/DL: 978-3-642-10395-7 Idioma : Inglés (eng) Palabras clave: Mathematics Economics, Mathematical Probabilities Probability Theory and Stochastic Processes Quantitative Finance Clasificación: 51 Matemáticas Resumen: The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises Nota de contenido: Reading the Black-Scholes Formula in Terms of First and Last Passage Times -- Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times -- Representation of some particular Azéma supermartingales -- An Interesting Family of Black-Scholes Perpetuities -- Study of Last Passage Times up to a Finite Horizon -- Put Option as Joint Distribution Function in Strike and Maturity -- Existence and Properties of Pseudo-Inverses for Bessel and Related Processes -- Existence of Pseudo-Inverses for Diffusions En línea: http://dx.doi.org/10.1007/978-3-642-10395-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33732 Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae [documento electrónico] / Profeta, Cristophe ; SpringerLink (Online service) ; Roynette, Bernard ; Yor, Marc . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2010 . - XXI, 270 p. 3 illus : online resource. - (Springer Finance, ISSN 1616-0533) .
ISBN : 978-3-642-10395-7
Idioma : Inglés (eng)
Palabras clave: Mathematics Economics, Mathematical Probabilities Probability Theory and Stochastic Processes Quantitative Finance Clasificación: 51 Matemáticas Resumen: The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises Nota de contenido: Reading the Black-Scholes Formula in Terms of First and Last Passage Times -- Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times -- Representation of some particular Azéma supermartingales -- An Interesting Family of Black-Scholes Perpetuities -- Study of Last Passage Times up to a Finite Horizon -- Put Option as Joint Distribution Function in Strike and Maturity -- Existence and Properties of Pseudo-Inverses for Bessel and Related Processes -- Existence of Pseudo-Inverses for Diffusions En línea: http://dx.doi.org/10.1007/978-3-642-10395-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33732 Ejemplares
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Título : An Introduction to Heavy-Tailed and Subexponential Distributions Tipo de documento: documento electrónico Autores: Foss, Sergey ; SpringerLink (Online service) ; Korshunov, Dmitry ; Zachary, Stan Editorial: New York, NY : Springer New York Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: Springer Series in Operations Research and Financial Engineering, ISSN 1431-8598 Número de páginas: XI, 157 p Il.: online resource ISBN/ISSN/DL: 978-1-4614-7101-1 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Statistical physics Dynamical systems Statistics Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Physics, Systems Complexity Clasificación: 51 Matemáticas Resumen: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way. Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference Nota de contenido: Preface -- Introduction -- Heavy- and long-tailed distributions -- Subexponential distributions -- Densities and local probabilities -- Maximum of random walks -- References -- Index En línea: http://dx.doi.org/10.1007/978-1-4614-7101-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32336 An Introduction to Heavy-Tailed and Subexponential Distributions [documento electrónico] / Foss, Sergey ; SpringerLink (Online service) ; Korshunov, Dmitry ; Zachary, Stan . - New York, NY : Springer New York : Imprint: Springer, 2013 . - XI, 157 p : online resource. - (Springer Series in Operations Research and Financial Engineering, ISSN 1431-8598) .
ISBN : 978-1-4614-7101-1
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Statistical physics Dynamical systems Statistics Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Physics, Systems Complexity Clasificación: 51 Matemáticas Resumen: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way. Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference Nota de contenido: Preface -- Introduction -- Heavy- and long-tailed distributions -- Subexponential distributions -- Densities and local probabilities -- Maximum of random walks -- References -- Index En línea: http://dx.doi.org/10.1007/978-1-4614-7101-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32336 Ejemplares
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Título : An Introduction to Heavy-Tailed and Subexponential Distributions Tipo de documento: documento electrónico Autores: Foss, Sergey ; SpringerLink (Online service) ; Korshunov, Dmitry ; Zachary, Stan Editorial: New York, NY : Springer New York Fecha de publicación: 2011 Colección: Springer Series in Operations Research and Financial Engineering, ISSN 1431-8598 num. 38 Número de páginas: IX, 123 p. 1 illus Il.: online resource ISBN/ISSN/DL: 978-1-4419-9473-8 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Statistical physics Dynamical systems Statistics Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Physics, Systems Complexity Clasificación: 51 Matemáticas Resumen: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. This monograph defines the classes of long-tailed and subexponential distributions in one dimension and provides a complete and comprehensive description of their properties. New results are presented in a simple, coherent and systematic way. This leads to a comprehensive exposition of tail properties of sums of independent random variables whose distributions belong to the long-tailed and subexponential class. The book includes a discussion of and references to contemporary areas of applications and also contains preliminary mathematical material which makes the book self contained. Modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference Nota de contenido: Preface -- Introduction -- Heavy- and long-tailed distributions -- Subexponential distributions.- Densities and local probabilities -- Maximum of random walks -- References -- Index En línea: http://dx.doi.org/10.1007/978-1-4419-9473-8 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33185 An Introduction to Heavy-Tailed and Subexponential Distributions [documento electrónico] / Foss, Sergey ; SpringerLink (Online service) ; Korshunov, Dmitry ; Zachary, Stan . - New York, NY : Springer New York, 2011 . - IX, 123 p. 1 illus : online resource. - (Springer Series in Operations Research and Financial Engineering, ISSN 1431-8598; 38) .
ISBN : 978-1-4419-9473-8
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Statistical physics Dynamical systems Statistics Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Physics, Systems Complexity Clasificación: 51 Matemáticas Resumen: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. This monograph defines the classes of long-tailed and subexponential distributions in one dimension and provides a complete and comprehensive description of their properties. New results are presented in a simple, coherent and systematic way. This leads to a comprehensive exposition of tail properties of sums of independent random variables whose distributions belong to the long-tailed and subexponential class. The book includes a discussion of and references to contemporary areas of applications and also contains preliminary mathematical material which makes the book self contained. Modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference Nota de contenido: Preface -- Introduction -- Heavy- and long-tailed distributions -- Subexponential distributions.- Densities and local probabilities -- Maximum of random walks -- References -- Index En línea: http://dx.doi.org/10.1007/978-1-4419-9473-8 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33185 Ejemplares
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Título : Analysis and Probability Wavelets, Signals, Fractals Tipo de documento: documento electrónico Autores: Jorgensen, Palle E.T ; SpringerLink (Online service) Editorial: New York, NY : Springer New York Fecha de publicación: 2006 Colección: Graduate Texts in Mathematics, ISSN 0072-5285 num. 234 Número de páginas: XLVIII, 280 p Il.: online resource ISBN/ISSN/DL: 978-0-387-33082-2 Idioma : Inglés (eng) Palabras clave: Mathematics Mathematical analysis Analysis (Mathematics) Applied mathematics Engineering Information theory Probabilities Probability Theory and Stochastic Processes Applications of Appl.Mathematics/Computational Methods Signal, Image Speech Processing Communication, Circuits Clasificación: 51 Matemáticas Resumen: This book, combining analysis and tools from mathematical probability, focuses on a systematic and novel presentation of recent trends in pure and applied mathematics: the emergence of three fields, wavelets, signals and fractals. The unity of basis constructions and their expansions is emphasized as the starting point for the development of bases that are computationally efficient for use in several areas from wavelets to fractals. The book brings together tools from engineering and math, especially from signal- and image processing, and from harmonic analysis and operator theory. The presentation is aimed at graduate students, as well as users from a diverse spectrum of applications. Key features: • A hands-on approach for students, including tutorials and numerous exercises; • Excellent motivation throughout; • New pedagogical features: glossary of terms, their use in mathematics and in engineering, help for cross-audiences, image processing, visual presentation of key algorithms, structure and geometry of big matrix computations, explanation of uses of the theory in applications outside of mathematics; • Includes more than 50 figures with captions, illustrating the main ideas, plus engineering diagrams, graphic renditions of algorithms, and separate illustrations; • Separate sections in the book explain engineering terms to mathematicians, and operator theory to engineers; • Each chapter concludes with a helpful guide to the literature allowing students to follow up on the topics in the book. Palle E.T. Jorgensen is a Professor of Mathematics at the University of Iowa. This book is based in part on interdisciplinary courses that he has taught over the last several years, and on his work with his current and former students. His most recent book was written jointly with Ola Bratteli and is entitled Wavelets through a Looking Glass, ©2002 Birkhäuser Boston Nota de contenido: Introduction: Measures on path space -- Transition probabilities: Random walk -- ?o vs. ? -- A case study: Duality for Cantor sets -- Infinite products -- The minimal eigenfunction -- Generalizations and applications -- Pyramids and operators -- Pairs of representations of the Cuntz algebras , and their application to multiresolutions En línea: http://dx.doi.org/10.1007/978-0-387-33082-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34802 Analysis and Probability Wavelets, Signals, Fractals [documento electrónico] / Jorgensen, Palle E.T ; SpringerLink (Online service) . - New York, NY : Springer New York, 2006 . - XLVIII, 280 p : online resource. - (Graduate Texts in Mathematics, ISSN 0072-5285; 234) .
ISBN : 978-0-387-33082-2
Idioma : Inglés (eng)
Palabras clave: Mathematics Mathematical analysis Analysis (Mathematics) Applied mathematics Engineering Information theory Probabilities Probability Theory and Stochastic Processes Applications of Appl.Mathematics/Computational Methods Signal, Image Speech Processing Communication, Circuits Clasificación: 51 Matemáticas Resumen: This book, combining analysis and tools from mathematical probability, focuses on a systematic and novel presentation of recent trends in pure and applied mathematics: the emergence of three fields, wavelets, signals and fractals. The unity of basis constructions and their expansions is emphasized as the starting point for the development of bases that are computationally efficient for use in several areas from wavelets to fractals. The book brings together tools from engineering and math, especially from signal- and image processing, and from harmonic analysis and operator theory. The presentation is aimed at graduate students, as well as users from a diverse spectrum of applications. Key features: • A hands-on approach for students, including tutorials and numerous exercises; • Excellent motivation throughout; • New pedagogical features: glossary of terms, their use in mathematics and in engineering, help for cross-audiences, image processing, visual presentation of key algorithms, structure and geometry of big matrix computations, explanation of uses of the theory in applications outside of mathematics; • Includes more than 50 figures with captions, illustrating the main ideas, plus engineering diagrams, graphic renditions of algorithms, and separate illustrations; • Separate sections in the book explain engineering terms to mathematicians, and operator theory to engineers; • Each chapter concludes with a helpful guide to the literature allowing students to follow up on the topics in the book. Palle E.T. Jorgensen is a Professor of Mathematics at the University of Iowa. This book is based in part on interdisciplinary courses that he has taught over the last several years, and on his work with his current and former students. His most recent book was written jointly with Ola Bratteli and is entitled Wavelets through a Looking Glass, ©2002 Birkhäuser Boston Nota de contenido: Introduction: Measures on path space -- Transition probabilities: Random walk -- ?o vs. ? -- A case study: Duality for Cantor sets -- Infinite products -- The minimal eigenfunction -- Generalizations and applications -- Pyramids and operators -- Pairs of representations of the Cuntz algebras , and their application to multiresolutions En línea: http://dx.doi.org/10.1007/978-0-387-33082-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34802 Ejemplares
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