Stochastic Analysis and Diffusion Processes

Stochastic Analysis and Diffusion Processes
Author: Gopinath Kallianpur
Publisher: OUP Oxford
Total Pages: 368
Release: 2014-01-09
Genre: Mathematics
ISBN: 0191004529

Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic theory and offers a careful account of important research directions in Stochastic Analysis. The breadth and power of Stochastic Analysis, and probabilistic behavior of diffusion processes are told without compromising on the mathematical details. Starting with the construction of stochastic processes, the book introduces Brownian motion and martingales. The book proceeds to construct stochastic integrals, establish the Itô formula, and discuss its applications. Next, attention is focused on stochastic differential equations (SDEs) which arise in modeling physical phenomena, perturbed by random forces. Diffusion processes are solutions of SDEs and form the main theme of this book. The Stroock-Varadhan martingale problem, the connection between diffusion processes and partial differential equations, Gaussian solutions of SDEs, and Markov processes with jumps are presented in successive chapters. The book culminates with a careful treatment of important research topics such as invariant measures, ergodic behavior, and large deviation principle for diffusions. Examples are given throughout the book to illustrate concepts and results. In addition, exercises are given at the end of each chapter that will help the reader to understand the concepts better. The book is written for graduate students, young researchers and applied scientists who are interested in stochastic processes and their applications. The reader is assumed to be familiar with probability theory at graduate level. The book can be used as a text for a graduate course on Stochastic Analysis.

Stochastic Methods and their Applications to Communications

Stochastic Methods and their Applications to Communications
Author: Serguei Primak
Publisher: John Wiley & Sons
Total Pages: 446
Release: 2005-01-28
Genre: Technology & Engineering
ISBN: 0470021179

Stochastic Methods & their Applications to Communications presents a valuable approach to the modelling, synthesis and numerical simulation of random processes with applications in communications and related fields. The authors provide a detailed account of random processes from an engineering point of view and illustrate the concepts with examples taken from the communications area. The discussions mainly focus on the analysis and synthesis of Markov models of random processes as applied to modelling such phenomena as interference and fading in communications. Encompassing both theory and practice, this original text provides a unified approach to the analysis and generation of continuous, impulsive and mixed random processes based on the Fokker-Planck equation for Markov processes. Presents the cumulated analysis of Markov processes Offers a SDE (Stochastic Differential Equations) approach to the generation of random processes with specified characteristics Includes the modelling of communication channels and interfer ences using SDE Features new results and techniques for the of solution of the generalized Fokker-Planck equation Essential reading for researchers, engineers, and graduate and upper year undergraduate students in the field of communications, signal processing, control, physics and other areas of science, this reference will have wide ranging appeal.

Stochastic Network Calculus

Stochastic Network Calculus
Author: Yuming Jiang
Publisher: Springer Science & Business Media
Total Pages: 240
Release: 2009-03-01
Genre: Computers
ISBN: 1848001274

Network calculus is a theory dealing with queuing systems found in computer networks. Its focus is on performance guarantees. Central to the theory is the use of alternate algebras such as the min-plus algebra to transform complex network systems into analytically tractable systems. To simplify the ana- sis, another idea is to characterize tra?c and service processes using various bounds. Since its introduction in the early 1990s, network calculus has dev- oped along two tracks—deterministic and stochastic. This book is devoted to summarizing results for stochastic network calculus that can be employed in the design of computer networks to provide stochastic service guarantees. Overview and Goal Like conventional queuing theory, stochastic network calculus is based on properly de?ned tra?c models and service models. However, while in c- ventional queuing theory an arrival process is typically characterized by the inter-arrival times of customers and a service process by the service times of customers, the arrival process and the service process are modeled in n- work calculus respectively by some arrival curve that (maybe probabilis- cally) upper-bounds the cumulative arrival and by some service curve that (maybe probabilistically) lower-bounds the cumulative service. The idea of usingboundstocharacterizetra?candservicewasinitiallyintroducedfor- terministic network calculus. It has also been extended to stochastic network calculus by exploiting the stochastic nature of arrival and service processes.

Communication Networks

Communication Networks
Author: R. Srikant
Publisher: Cambridge University Press
Total Pages: 365
Release: 2014
Genre: Computers
ISBN: 1107036054

A modern mathematical approach to the design of communication networks for graduate students, blending control, optimization, and stochastic network theories alongside a broad range of performance analysis tools. Practical applications are illustrated by making connections to network algorithms and protocols. End-of-chapter problems covering a range of difficulties support student learning.

Performance Analysis of Communication Systems

Performance Analysis of Communication Systems
Author: Reinhard German
Publisher:
Total Pages: 466
Release: 2000-06-08
Genre: Computers
ISBN:

Algorithm 396 A.4.6 General Execution Policies 398 A.5 Transient Analysis of DSPNs 401 A.5.1 Solution Algorithm for Periodic DSPNs 401 A.5.2 Solution Algorithm for Non-periodic DSPNs 403 List of Abbreviations 407 Glossary of Notation 411 References 419 Index 433.

Fundamentals of Probability and Stochastic Processes with Applications to Communications

Fundamentals of Probability and Stochastic Processes with Applications to Communications
Author: Kun Il Park
Publisher: Springer
Total Pages: 277
Release: 2017-11-24
Genre: Technology & Engineering
ISBN: 3319680757

This book provides engineers with focused treatment of the mathematics needed to understand probability, random variables, and stochastic processes, which are essential mathematical disciplines used in communications engineering. The author explains the basic concepts of these topics as plainly as possible so that people with no in-depth knowledge of these mathematical topics can better appreciate their applications in real problems. Applications examples are drawn from various areas of communications. If a reader is interested in understanding probability and stochastic processes that are specifically important for communications networks and systems, this book serves his/her need.

Stochastic Analysis with Financial Applications

Stochastic Analysis with Financial Applications
Author: Arturo Kohatsu-Higa
Publisher: Springer Science & Business Media
Total Pages: 427
Release: 2011-07-22
Genre: Mathematics
ISBN: 3034800975

Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.

Stochastic Analysis of Computer and Communication Systems

Stochastic Analysis of Computer and Communication Systems
Author: Hideaki Takagi
Publisher: North Holland
Total Pages: 880
Release: 1990
Genre: Computers
ISBN:

Analytical techniques for evaluating the performance of computer and communication systems have evolved hand in hand with the progress in these systems since the late 1960's, and an enormous amount of knowledge has been accumulated in this interplay of applied mathematics and computer science. This book includes nineteen lengthy surveys of the state of the art of performance evaluation techniques, and an extensive bibliography. The topics include stochastic processes and queueing theory applied to performance analysis, and performance models of computer systems and communication networks. Articles have been contributed by leading scientists from five continents.

Stochastic Averaging and Stochastic Extremum Seeking

Stochastic Averaging and Stochastic Extremum Seeking
Author: Shu-Jun Liu
Publisher: Springer Science & Business Media
Total Pages: 226
Release: 2012-06-16
Genre: Technology & Engineering
ISBN: 1447140877

Stochastic Averaging and Extremum Seeking treats methods inspired by attempts to understand the seemingly non-mathematical question of bacterial chemotaxis and their application in other environments. The text presents significant generalizations on existing stochastic averaging theory developed from scratch and necessitated by the need to avoid violation of previous theoretical assumptions by algorithms which are otherwise effective in treating these systems. Coverage is given to four main topics. Stochastic averaging theorems are developed for the analysis of continuous-time nonlinear systems with random forcing, removing prior restrictions on nonlinearity growth and on the finiteness of the time interval. The new stochastic averaging theorems are usable not only as approximation tools but also for providing stability guarantees. Stochastic extremum-seeking algorithms are introduced for optimization of systems without available models. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton). The design of algorithms for non-cooperative/adversarial games is described. The analysis of their convergence to Nash equilibria is provided. The algorithms are illustrated on models of economic competition and on problems of the deployment of teams of robotic vehicles. Bacterial locomotion, such as chemotaxis in E. coli, is explored with the aim of identifying two simple feedback laws for climbing nutrient gradients. Stochastic extremum seeking is shown to be a biologically-plausible interpretation for chemotaxis. For the same chemotaxis-inspired stochastic feedback laws, the book also provides a detailed analysis of convergence for models of nonholonomic robotic vehicles operating in GPS-denied environments. The book contains block diagrams and several simulation examples, including examples arising from bacterial locomotion, multi-agent robotic systems, and economic market models. Stochastic Averaging and Extremum Seeking will be informative for control engineers from backgrounds in electrical, mechanical, chemical and aerospace engineering and to applied mathematicians. Economics researchers, biologists, biophysicists and roboticists will find the applications examples instructive.

Stochastic Analysis, Stochastic Systems, and Applications to Finance

Stochastic Analysis, Stochastic Systems, and Applications to Finance
Author: Allanus Hak-Man Tsoi
Publisher: World Scientific
Total Pages: 274
Release: 2011
Genre: Business & Economics
ISBN: 9814355712

Pt. I. Stochastic analysis and systems. 1. Multidimensional Wick-Ito formula for Gaussian processes / D. Nualart and S. Ortiz-Latorre. 2. Fractional white noise multiplication / A.H. Tsoi. 3. Invariance principle of regime-switching diffusions / C. Zhu and G. Yin -- pt. II. Finance and stochastics. 4. Real options and competition / A. Bensoussan, J.D. Diltz and S.R. Hoe. 5. Finding expectations of monotone functions of binary random variables by simulation, with applications to reliability, finance, and round robin tournaments / M. Brown, E.A. Pekoz and S.M. Ross. 6. Filtering with counting process observations and other factors : applications to bond price tick data / X. Hu, D.R. Kuipers and Y. Zeng. 7. Jump bond markets some steps towards general models in applications to hedging and utility problems / M. Kohlmann and D. Xiong. 8. Recombining tree for regime-switching model : algorithm and weak convergence / R.H. Liu. 9. Optimal reinsurance under a jump diffusion model / S. Luo. 10. Applications of counting processes and martingales in survival analysis / J. Sun. 11. Stochastic algorithms and numerics for mean-reverting asset trading / Q. Zhang, C. Zhuang and G. Yin