Buch, Englisch, 916 Seiten, Format (B × H): 183 mm x 259 mm, Gewicht: 2110 g
From Applications to Theory
Buch, Englisch, 916 Seiten, Format (B × H): 183 mm x 259 mm, Gewicht: 2110 g
Reihe: Chapman & Hall/CRC Texts in Statistical Science
ISBN: 978-1-4987-0183-9
Verlag: CRC Press
Zielgruppe
This book is intended for MA and PhD students in mathematics and statistics who are studying stochastic processes.
Autoren/Hrsg.
Weitere Infos & Material
An illustrated guide
Motivating examples
Lost in the Great Sloan Wall
Meeting Alice in Wonderland
The lucky MIT Blackjack team
The Kruskal's magic trap card
The magic fern from Daisetsuzan
The Kepler-22b Eve
Poisson's typos
Exercises
Selected topics
Stabilizing populations
The traps of Reinforcement
Casino roulette
Surfing Google's waves
Pinging hackers
Exercises
Computational & theoretical aspects
From Monte Carlo to Los Alamos
Signal processing & Population dynamics
The lost equation
Towards a general theory
The theory of speculation
Exercises
Stochastic simulation
Simulation toolbox
Inversion technique
Change of variables
Rejection techniques
Sampling probabilities
Bayesian inference
Laplace's rule of successions
Fragmentation and coagulation
Conditional probabilities
Bayes' formula
The regression formula
Gaussian updates
Conjugate priors
Spatial Poisson point processes
Some preliminary results
Conditioning principles
Poisson-Gaussian clusters
Exercises
Monte Carlo integration
Law of large numbers
Importance sampling
Twisted distributions
Sequential Monte Carlo
Tails distributions
Exercises
Some illustrations
Stochastic processes
Markov chain models
Black-box type models
Boltzmann-Gibbs measures
The Ising model
The Sherrington-Kirkpatrick model
The traveling salesman model
Filtering & Statistical learning
The Bayes formula
The Singer's radar model
Exercises
Discrete time processes
Markov chains
Description of the models
Elementary transitions
Markov integral operators
Equilibrium measures
Stochastic matrices
Random dynamical systems
Linear Markov chain model
Two states Markov models
Transition diagrams
The tree of outcomes
General state space models
Nonlinear Markov chains
Self-interacting processes
Mean field particle models
McKean-Vlasov diffusions
Interacting jump processes
Exercises
Analysis toolbox
Linear algebra
Diagonalisation type techniques
The Perron Frobenius theorem
Functional analysis
Spectral decompositions
Total variation norms
Contraction inequalities
The Poisson equation
V-norms
Geometric drift conditions
V -norm contractions
Stochastic analysis
Coupling techniques
The total variation distance
The Wasserstein metric
Stopping times and coupling
Strong stationary times
Some illustrations
Minorization condition and coupling
Markov chains on complete graphs
Kruskal random walk
Martingales
Some preliminaries
Applications to Markov chains
Martingales with Fixed terminal values
A Doeblin-Ito formula
Occupation measures
Optional stopping theorems
A gambling model
Fair games
Unfair games
Maximal inequalities
Limit theorems
Topological aspects
Irreducibility and aperiodicity
Recurrent and transient states
Continuous state spaces
Path space models
Exercises
Computational toolbox
A weak ergodic theorem
Some illustrations
Parameter estimation
A Gaussian subset shaker
Exploration of the unit disk
Markov Chain Monte Carlo methods
Introduction
Metropolis and Hastings models
Gibbs-Glauber dynamics
The Propp and Wilson sampler
Time inhomogeneous MCMC models
Simulated annealing algorithm
A perfect sampling algorithm
Feynman-Kac path integration
Weighted Markov chains
Evolution equations
Particle absorption models
Doob h-processes
Quasi-invariant measures
Cauchy problems with terminal conditions
Dirichlet-Poisson problems
Cauchy-Dirichlet-Poisson problems
Feynman-Kac particle methodology
Mean field genetic type particle models
Path space models
Backward integration
A random particle matrix model
A conditional formula for ancestral trees
Particle Markov Chain Monte Carlo methods
Many-body Feynman-Kac measures
A particle Metropolis-Hastings model
Duality formulae for many-body models
A couple of particle Gibbs samplers
Quenched and annealed measures
Feynman-Kac models
Particle Gibbs models
Particle Metropolis-Hastings models
Some application domains
Interacting MCMC algorithms
Nonlinear Filtering models
Markov chain restrictions
Self-avoiding walks
Importance twisted measures
Kalman-Bucy Filters
Forward Filters
Backward Filters
Ensemble Kalman Filters
Interacting Kalman Filters
Exercises
Continuous time processes
Poisson processes
A counting process
Memoryless property
Uniform random times
The Doeblin-Ito formula
The Bernoulli process
Time inhomogeneous models
Description of the models
Poisson thinning simulation
Geometric random clocks
Exercises
Markov chain embeddings
Homogeneous embeddings
Description of the models
Semigroup evolution equations
Some illustrations
A two states Markov process
Matrix valued equations
Discrete Laplacian
Spatially inhomogeneous models
Explosion phenomenon
Finite state space models
Time in homogenous models
Description of the models
Poisson thinning models
Exponential and geometric clocks
Exercises
Jump processes
A class of pure jump models
Semigroup evolution equations
Approximation schemes
Sum of generators
Doob-Meyer decompositions
Discrete time models
Continuous time martingales
Optional stopping theorems
Doeblin-Ito-Taylor formulae
Stability properties
Invariant measures
Dobrushin contraction properties
Exercises
Piecewise deterministic processes
Dynamical systems basics
Semigroup and flow maps
Time discretization schemes
Piecewise deterministic jump models
Excursion valued Markov chains
Evolution semigroups
Infinitesimal generators
The Fokker-Planck equation
A time discretization scheme
Doeblin-Ito-Taylor formulae
Stability properties
Switching processes
Invariant measures
An application to Internet architectures
The Transmission Control Protocol
Regularity and stability properties
The limiting distribution
Exercises
Diffusion processes
Brownian motion
Discrete vs continuous time models
Evolution semigroups
The heat equation
A Doeblin-Ito-Taylor formula
Stochastic differential equations
Diffusion processes
The Doeblin-Ito differential calculus
Evolution equations
The Fokker-Planck equation
Weak approximation processes
A backward stochastic differential equation
Multidimensional diffusions
Multidimensional stochastic differential equations
An integration by parts formula
Laplacian and Orthogonal transformations
The Fokker-Planck equation
Exercises
Jump diffusion processes
Piecewise diffusion processes
Evolution semigroups
The Doeblin-Ito formula
The Fokker-Planck equation
An abstract class of stochastic processes
Generators and carré du champ operators
Perturbation formulae
Jump-diffusion processes with killing
Feynman-Kac semigroups
Cauchy problems with terminal conditions
Dirichlet-Poisson problems
Cauchy-Dirichlet-Poisson problems
Some illustrations
1-dimensional Dirichlet-Poisson problems
A backward stochastic differential equation
Exercises
Nonlinear jump diffusion processes
Nonlinear Markov processes
Pure diffusion models
The Burgers equation
Feynman-Kac jump type models
A jump type Langevin model
Mean field particle models
Some application domains
Fouque-Sun systemic risk model
Burgers equation
A Langevin-McKean-Vlasov model
The Dyson equation
Exercises
Stochastic analysis toolbox
Time changes
Stability properties
Some illustrations
Gradient flow processes
1-dimensional diffusions
Foster-Lyapunov techniques
Contraction inequalities
Minorization properties
Some applications
Ornstein-Uhlenbeck processes
Stochastic gradient processes
Langevin diffusions
Spectral analysis
Hilbert spaces and Schauder bases
Spectral decompositions
Poincaré inequality
Exercises
Path space measures
Pure jump models
Likelihood functionals
Girsanov's transformations
Exponential martingales
Diffusion models
The Wiener measure
Path space diffusions
Girsanov transformations
Exponential change twisted measures
Diffusion processes
Pure jump processes
Some illustrations
Risk neutral Financial markets
Poisson markets
Diffusion markets
Elliptic diffusions
Nonlinear filtering
Diffusion observations
Duncan-Zakai equation
Kushner-Stratonovitch equation
Kalman-Bucy Filters
Nonlinear diffusion and Ensemble Kalman-Bucy Filters
Robust Filtering equations
Poisson observations
Exercises
Processes on manifolds
A review of differential geometry
Projection operators
Covariant derivatives of vector fields
First order derivatives
Second order derivatives
Divergence and mean curvature
Lie brackets and commutation formulae
Inner product derivation formulae
Second order derivatives and some trace formulae
The Laplacian operator
Ricci curvature
Bochner-Lichnerowicz formula
Exercises
Stochastic differential calculus on manifolds
Embedded manifolds
Brownian motion on manifolds
A diffusion model in the ambient space
The infinitesimal generator
Monte Carlo simulation
Stratonovitch differential calculus
Projected diffusions on manifolds
Brownian motion on orbifolds
Exercises
Parameterizations and charts
Differentiable manifolds and charts
Orthogonal projection operators
Riemannian structures
First order covariant derivatives
Pushed forward functions
Pushed forward vector fields
Directional derivatives
Second order covariant derivative
Tangent basis functions
Composition formulae
Hessian operators
Bochner-Lichnerowicz formula
Exercises
Stochastic calculus in chart spaces
Brownian motion on Riemannian manifolds
Diffusions on chart spaces
Brownian motion on spheres
The unit circle S = S1 _ R2
The unit sphere S = S2 _ R3
Brownian motion on the Torus
Diffusions on the simplex
Exercises
Some analytical aspects
Geodesics and the exponential map
A Taylor expansion
Integration on manifolds
The volume measure on the manifold
Wedge product and volume forms
The divergence theorem
Gradient flow models
Steepest descent model
Euclidian state spaces
Drift changes and irreversible Langevin diffusions
Langevin diffusions on closed manifolds
Riemannian Langevin diffusions
Metropolis-adjusted Langevin models
Stability and some functional inequalities
Exercises
Some illustrations
Prototype manifolds
The Circle
The 2-Sphere
The Torus
Information theory
Nash embedding theorem
Distribution manifolds
Bayesian statistical manifolds
The Cramer-Rao lower bound
Some illustrations
Boltzmann-Gibbs measures
Multivariate normal distributions
Some application areas
Simple random walks
Random walk on lattices
Description
Dimension 1
Dimension 2
Dimension d > 3
Random walks on graphs
Simple exclusion process
Random walks on the circle
Markov chain on cycles
Markov chain on the circle
Spectral decomposition
Random walk on hypercubes
Description
A macroscopic model
A lazy random walk
Urn processes
Ehrenfest model
Pólya urn model
Exercises
Iterated random functions
Description
A motivating example
Uniform selection
An ancestral type evolution model
An absorbed Markov chain
Shuffling cards
Introduction
The top-in-at random shuffle
The random transposition shuffle
The riffle shuffle
Fractal models
Exploration of Cantor's discontinuum
Some fractal images
Exercises
Computational & Statistical physics
Molecular dynamics simulation
Newton's second law of motion
Langevin diffusion processes
The Schrödinger equation
A physical derivation
A Feynman-Kac formulation
Bra-kets and path integral formalism
Spectral decompositions
The harmonic oscillator
Diffusion Monte Carlo models
Interacting particle systems
Introduction
Contact process
Voter process
Exclusion process
Exercises
Dynamic population models
Discrete time birth and death models
Continuous time models
Birth and death generators
Logistic processes
Epidemic model with immunity
Lotka-Volterra predator-prey stochastic model
The Moran genetic model
Genetic evolution models
Branching processes
Birth and death models with linear rates
Discrete time branching
Continuous time branching processes
Absorption - death process
Birth type branching process
Birth and death branching processes
Kolmogorov-Petrovskii-Piskunov equations
Exercises
Gambling, ranking and control
The Google page rank
Gambling betting systems
Martingale systems
St. Petersburg martingales
Conditional gains and losses
Conditional gains
Conditional losses
Bankroll managements
The Grand Martingale
The D'Alembert Martingale
The Whittacker Martingale
Stochastic optimal control
Bellman equations
Control dependent value functions
Continuous time models
Optimal stopping
Games with Fixed terminal condition
Snell envelope
Continuous time models
Exercises
Mathematical finance
Stock price models
Up and down martingales
Cox-Ross-Rubinstein model
Black-Scholes-Merton model
European option pricing
Call and Put options
Self-financing portfolios
Binomial pricing technique
Black-Scholes-Merton pricing model
The Black-Scholes partial differential equation
Replicating portfolios
Option price and hedging computations
A numerical illustration
Exercises
Bibliography
Index
