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Books in the Probability Theory and Stochastic Modelling series

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  • - Algebraic Methods, Boundary Value Problems, Applications to Queueing Systems and Analytic Combinatorics
    by Guy Fayolle, Roudolf Iasnogorodski & Vadim Malyshev
    £74.49

  • by Christiane Cocozza-Thivent
    £114.49

  • - Borel Space Models and General Control Strategies
    by Yi Zhang & Alexey Piunovskiy
    £106.99

    This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields.

  • - with Robust CLT and G-Brownian Motion
    by Shige Peng
    £90.49

    This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations.

  • - Representations and Weak Convergence Methods
    by Paul Dupuis & Amarjit Budhiraja
    £98.99

    This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. By characterizing a large deviation principle in terms of Laplace asymptotics, one converts the proof of large deviation limits into the convergence of variational representations.

  • - Linear Theory and Applications to Non-Linear Filtering
    by Boris L. Rozovsky
    £62.49

    This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connection to random dynamical systems.

  • by Fred Espen Benth, Ole E. Barndorff-Nielsen & Almut E. D. Veraart
    £114.49

  • - Theory and Applications
    by Umut Cetin & Albina Danilova
    £35.49 - 114.49

    The construction of a Dynamic Markov Bridge, a useful extension of Markov bridge theory, addresses several important questions concerning how financial markets function, among them: how the presence of an insider trader impacts market efficiency;

  • - Linear Theory and Applications to Non-Linear Filtering
    by Boris L. Rozovsky
    £90.49

    This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connection to random dynamical systems.

  • by Peter E. Kloeden & Xiaoying Han
    £114.49

    This book is intended to make recent results on the derivation of higher order numerical schemes for random ordinary differential equations (RODEs) available to a broader readership, and to familiarize readers with RODEs themselves as well as the closely associated theory of random dynamical systems.

  • - Dynamic Programming Principle
    by Makiko Nisio
    £87.99

    This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons.

  • - With Emphasis on the Creation-Annihilation Techniques
    by Nicolas Bouleau & Laurent Denis
    £114.49

    A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals.

  • by Fred Espen Benth, Ole E. Barndorff-Nielsen & Almut E. D. Veraart
    £114.49

    Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development.Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context.Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

  • by Hiroshi Kunita
    £90.49

    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.

  • by Albert N. Shiryaev
    £90.49

    This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data.

  • - Mean Field Games with Common Noise and Master Equations
    by Rene Carmona & Francois Delarue
    £116.49

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • - Mean Field FBSDEs, Control, and Games
    by Rene Carmona
    £144.99

    This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications.

  • by Ioannis Karatzas & Steven Shreve
    £114.49

    This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices.

  • by Olav Kallenberg
    £134.99

    Offering the first comprehensive treatment of the theory of random measures, this book has a very broad scope, ranging from basic properties of Poisson and related processes to the modern theories of convergence, stationarity, Palm measures, conditioning, and compensation.

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