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Author: V. M. Zolotarev
Publisher: American Mathematical Soc.
ISBN: 0821845195
Category : Mathematics
Languages : en
Pages : 298
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Book Description
This is the first book specifically devoted to a systematic exposition of the essential facts known about the properties of stable distributions. In addition to its main focus on the analytic properties of stable laws, the book also includes examples of the occurrence of stable distributions in applied problems and a chapter on the problem of statistical estimation of the parameters determining stable laws. A valuable feature of the book is the author's use of several formally different ways of expressing characteristic functions corresponding to these laws.
Author: V. M. Zolotarev
Publisher: American Mathematical Soc.
ISBN: 0821845195
Category : Mathematics
Languages : en
Pages : 298
Get Book
Book Description
This is the first book specifically devoted to a systematic exposition of the essential facts known about the properties of stable distributions. In addition to its main focus on the analytic properties of stable laws, the book also includes examples of the occurrence of stable distributions in applied problems and a chapter on the problem of statistical estimation of the parameters determining stable laws. A valuable feature of the book is the author's use of several formally different ways of expressing characteristic functions corresponding to these laws.
Author: V. M. Zolotarev
Publisher:
ISBN: 9781470444792
Category :
Languages : en
Pages : 297
Get Book
Book Description
This is the first book specifically devoted to a systematic exposition of the essential facts known about the properties of stable distributions. In addition to its main focus on the analytic properties of stable laws, the book also includes examples of the occurrence of stable distributions in applied problems and a chapter on the problem of statistical estimation of the parameters determining stable laws. A valuable feature of the book is the author's use of several formally different ways of expressing characteristic functions corresponding to these laws.
Author: Vladimir V. Uchaikin
Publisher: Walter de Gruyter
ISBN: 311093597X
Category : Mathematics
Languages : en
Pages : 601
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Book Description
The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Author: S.T Rachev
Publisher: Elsevier
ISBN: 9780080557731
Category : Business & Economics
Languages : en
Pages : 704
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Book Description
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
Author: Andreas E. Kyprianou
Publisher: Cambridge University Press
ISBN: 1108572162
Category : Mathematics
Languages : en
Pages : 486
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Book Description
Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in one dimension and semi-explicitly described in higher dimensions, and uses this approach to catalogue a large number of explicit results describing the path fluctuations of stable Lévy processes in one and higher dimensions. Written for graduate students and researchers in the field, this book systemically establishes many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material. Topics explored include first hitting laws for a variety of sets, path conditionings, law-preserving path transformations, the distribution of extremal points, growth envelopes and winding behaviour.
Author: Fakher Chaari
Publisher: Springer
ISBN: 3319163302
Category : Technology & Engineering
Languages : en
Pages : 206
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Book Description
This book reports on the latest advances in the analysis of non-stationary signals, with special emphasis on cyclostationary systems. It includes cutting-edge contributions presented at the 7th Workshop on “Cyclostationary Systems and Their Applications,” which was held in Gródek nad Dunajcem, Poland, in February 2014. The book covers both the theoretical properties of cyclostationary models and processes, including estimation problems for systems exhibiting cyclostationary properties, and several applications of cyclostationary systems, including case studies on gears and bearings, and methods for implementing cyclostationary processes for damage assessment in condition-based maintenance operations. It addresses the needs of students, researchers and professionals in the broad fields of engineering, mathematics and physics, with a special focus on those studying or working with nonstationary and/or cyclostationary processes.
Author: Alexander Zeifman
Publisher: MDPI
ISBN: 3036504524
Category : Mathematics
Languages : en
Pages : 370
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Book Description
The aim of this Special Issue of Mathematics is to commemorate the outstanding Russian mathematician Vladimir Zolotarev, whose 90th birthday will be celebrated on February 27th, 2021. The present Special Issue contains a collection of new papers by participants in sessions of the International Seminar on Stability Problems for Stochastic Models founded by Zolotarev. Along with research in probability distributions theory, limit theorems of probability theory, stochastic processes, mathematical statistics, and queuing theory, this collection contains papers dealing with applications of stochastic models in modeling of pension schemes, modeling of extreme precipitation, construction of statistical indicators of scientific publication importance, and other fields.
Author: John P. Nolan
Publisher: Springer Nature
ISBN: 3030529150
Category : Mathematics
Languages : en
Pages : 342
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Book Description
This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws. Because of the author’s accessible and comprehensive approach, readers will be able to understand and use these methods. Both mathematicians and non-mathematicians will find this a valuable resource for more accurately modelling and predicting large values in a number of real-world scenarios. Beginning with an introductory chapter that explains key ideas about stable laws, readers will be prepared for the more advanced topics that appear later. The following chapters present the theory of stable distributions, a wide range of applications, and statistical methods, with the final chapters focusing on regression, signal processing, and related distributions. Each chapter ends with a number of carefully chosen exercises. Links to free software are included as well, where readers can put these methods into practice. Univariate Stable Distributions is ideal for advanced undergraduate or graduate students in mathematics, as well as many other fields, such as statistics, economics, engineering, physics, and more. It will also appeal to researchers in probability theory who seek an authoritative reference on stable distributions.
Author: Hiroshi Kunita
Publisher: Springer
ISBN: 9811338019
Category : Mathematics
Languages : en
Pages : 352
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Book Description
This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.
Author: R. Botet
Publisher: World Scientific
ISBN: 9789810249236
Category : Science
Languages : en
Pages : 394
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Book Description
The main purpose of this book is to present, in a comprehensive and progressive way, the appearance of universal limit probability laws in physics, and their connection with the recently developed scaling theory of fluctuations. Arising from the probability theory and renormalization group methods, this novel approach has been proved recently to provide efficient investigative tools for the collective features that occur in any finite system.The mathematical background is self-contained and is formulated in terms which are easy to apply to the physical context. After illustrating the problem of anomalous diffusion, the book reviews recent advances in nuclear and high energy physics, where the limit laws are now recognized as being able to classify different phases of a system undergoing the pseudo-critical behaviour. A new description of the hadronic matter in terms of the fluctuation scaling is appearing as a consequence of this approach.
