First Passage Time Distribution of Brownian Motion with Positive Drift (inverse Gaussian Distribution) PDF Download
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Author: M. T. Wasan
Publisher: Kingston, Ont. : Department of Mathematics, Queen's University
ISBN:
Category : Brownian movements
Languages : en
Pages : 644
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Book Description
Bibliografi, s. 302-311
Author: M. T. Wasan
Publisher: Kingston, Ont. : Department of Mathematics, Queen's University
ISBN:
Category : Brownian movements
Languages : en
Pages : 644
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Book Description
Bibliografi, s. 302-311
Author: Raj Chhikara
Publisher: CRC Press
ISBN: 9780824779979
Category : Mathematics
Languages : en
Pages : 232
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Book Description
This monograph is a compilation of research on the inverse Gaussian distribution. It emphasizes the presentation of the statistical properties, methods, and applications of the two-parameter inverse Gaussian family of distribution. It is useful to statisticians and users of statistical distribution.
Author: W. J. Padgett
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Book Description
The problem of predicting, on the basis of an observed sample from an inverse Gaussian distribution, the mean of a future random sample (or a single future observation) from the same distribution is considered. Approximate prediction intervals are proposed, and their accuracy is investigated via extensive Monte Carlo simulations. The results are useful for predicting the next first passage time for a Brownian motion with positive drift or the failure time of an item having inverse Gaussian life distribution. (Author).
Author: V. Seshadri
Publisher: Springer Science & Business Media
ISBN: 1461214564
Category : Mathematics
Languages : en
Pages : 363
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Book Description
This book is written in the hope that it will serve as a companion volume to my first monograph. The first monograph was largely devoted to the probabilistic aspects of the inverse Gaussian law and therefore ignored the statistical issues and related data analyses. Ever since the appearance of the book by Chhikara and Folks, a considerable number of publications in both theory and applications of the inverse Gaussian law have emerged thereby justifying the need for a comprehensive treatment of the issues involved. This book is divided into two sections and fills up the gap updating the material found in the book of Chhikara and Folks. Part I contains seven chapters and covers distribution theory, estimation, significance tests, goodness-of-fit, sequential analysis and compound laws and mixtures. The first part forms the backbone of the theory and wherever possible I have provided illustrative examples for easy assimilation of the theory. The second part is devoted to a wide range of applications from various disciplines. The applied statistician will find numerous instances of examples which pertain to a first passage time situation. It is indeed remarkable that in the fields of life testing, ecology, entomology, health sciences, traffic intensity and management science the inverse Gaussian law plays a dominant role. Real life examples from actuarial science and ecology came to my attention after this project was completed and I found it impossible to include them.
Author: Vsevolod K. Malinovskii
Publisher: CRC Press
ISBN: 1000392929
Category : Mathematics
Languages : en
Pages : 453
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Book Description
Primarily aimed at researchers and postgraduates, but may be of interest to some professionals working in related fields, such as the insurance industry Suitable as supplementary reading for a standard course in applied probability Requires minimal prerequisites in mathematical analysis and probability theory
Author: D.R. Cox
Publisher: Routledge
ISBN: 1351466607
Category : Mathematics
Languages : en
Pages : 216
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Book Description
This monograph contains many ideas on the analysis of survival data to present a comprehensive account of the field. The value of survival analysis is not confined to medical statistics, where the benefit of the analysis of data on such factors as life expectancy and duration of periods of freedom from symptoms of a disease as related to a treatment applied individual histories and so on, is obvious. The techniques also find important applications in industrial life testing and a range of subjects from physics to econometrics. In the eleven chapters of the book the methods and applications of are discussed and illustrated by examples.
Author: Peter Mörters
Publisher: Cambridge University Press
ISBN: 1139486578
Category : Mathematics
Languages : en
Pages :
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Book Description
This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability. Notions of fractal dimension are introduced early and are used throughout the book to describe fine properties of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory of Brownian local times from random walk embeddings. Stochastic integration is introduced as a tool and an accessible treatment of the potential theory of Brownian motion clears the path for an extensive treatment of intersections of Brownian paths. An investigation of exceptional points on the Brownian path and an appendix on SLE processes, by Oded Schramm and Wendelin Werner, lead directly to recent research themes.
Author: Christian Walter
Publisher: World Scientific
ISBN: 1783263105
Category : Business & Economics
Languages : en
Pages : 370
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Book Description
Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
Author: Alexey Sorokin
Publisher: Springer Science & Business Media
ISBN: 146143906X
Category : Business & Economics
Languages : en
Pages : 374
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Book Description
This book presents recent developments and results found by participants of the Third International Conference on the Dynamics of Information Systems, which took place at the University of Florida, Gainesville FL, USA on February 16-18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and universities to exchange knowledge and results in a broad range of topics relevant to the theory and practice of the dynamics of information systems. Dynamics of Information plays an increasingly critical role in our society. The influence of information on social, biological, genetic, and military systems must be better understood to achieve large advances in the capability and understanding of these systems. Applications are widespread and include: research in evolutionary theory, optimization of information workflow, military applications, climate networks, collision work, and much more. Dynamics of Information plays an increasingly critical role in our society. The influence of information on social, biological, genetic, and military systems must be better understood to achieve large advances in the capability and understanding of these systems. Applications are widespread and include: research in evolutionary theory, optimization of information workflow, military applications, climate networks, collision work, and much more.
Author: M. T. Wasan
Publisher:
ISBN:
Category : Brownian movements
Languages : en
Pages : 712
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Book Description
