Теория случайных процессов

4th edition. — Birkhäuser, 2021. — 574 p. — ISBN 978-3030696528. This textbook, now in its fourth edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, it features concrete examples of modeling real-world problems...

Springer, 2023. — 208 p. — (Synthesis Lectures on Mathematics & Statistics). — ISBN 978-3-031-22248-1. количественная оценка неопределенности, оценка состояния и модели пониженного порядка This book enables readers to understand, model, and predict complex dynamical systems using new methods with stochastic tools. The author presents a unique combination of qualitative and...

Wiley, 2019. — 310 p. — ISBN: 1786304848. Mastering chance has, for a long time, been a preoccupation of mathematical research. Today, we possess a predictive approach to the evolution of systems based on the theory of probabilities. Even so, uncovering this subject is sometimes complex, because it necessitates a good knowledge of the underlying mathematics. This book offers an...

Springer, 2019. — 758 p. — (Springer Series in Operations Research and Financial Engineering). — ISBN: 3319977032. This book covers the classical theory of Markov chains on general state-spaces as well as many recent developments. The theoretical results are illustrated by simple examples, many of which are taken from Markov Chain Monte Carlo methods. The book is...

New York: Dover Publications, 2014. — 304 p. — (Dover Books on Mathematics). This classic of advanced statistics is geared toward graduate-level readers and uses the concepts of gambling to develop important ideas in probability theory. The authors have distilled the essence of many years' research into a dozen concise chapters. "Strongly recommended" by the Journal of the...

John Wiley & Sons, Ltd., 2014. — 258 p. — (Wiley Series in Probability and Statistics). — ISBN: 978-1-118-51707-9. Markov Chains: Analytic and Monte Carlo Computations introduces the main notions related to Markov chains and provides explanations on how to characterize, simulate, and recognize them. Starting with basic notions, this book leads progressively to advanced and...

Springer, 2015. — 189 p. — ISBN10: 3319162497. This innovative textbook introduces a new pattern-based approach to learning proof methods in the mathematical sciences. Readers will discover techniques that will enable them to learn new proofs across different areas of pure mathematics with ease. The patterns in proofs from diverse fields such as algebra, analysis, topology and...

World Scientific Publishing, 2021. — 539 p. — ISBN 9789811211744. This is a development of the book entitled Multidimensional Second Order Stochastic Processes. It provides a research expository treatment of infinite-dimensional stationary and nonstationary stochastic processes or time series, based on Hilbert and Banach space-valued second order random variables. Stochastic...

Springer, 2020. — 218 p. This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths),...

Springer, 2017. — 648 p. — ISBN: 9783319500386 Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly introduced to several different topics enriched with 175 exercises which focus on real-world problems. Exercises range from the classics of probability theory...

Springer, 2023. — 663 p. — ISBN 978-981-99-5601-2. This textbook presents some basic stochastic processes, mainly Markov processes. It begins with a brief introduction to the framework of stochastic processes followed by the thorough discussion on Markov chains, which is the simplest and the most important class of stochastic processes. The book then elaborates the theory of...

Springer International Publishing AG, 2017. — 506 p. — (Springer Proceedings in Mathematics & Statistics 208) — ISBN: 3319653121. This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics,...

N.Y.: Springer, 2014. — 339 p. — (Texts in Applied Mathematics 60). — ISBN: 978-1-4939-1322-0. This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying...

Springer, 2018. — 187 p. — (Undergraduate Lecture Notes in Physics). — ISBN: 3319980521. This textbook is an introduction to the Brownian motion of colloids and nano-particles, and the diffusion of molecules. One very appealing aspect of Brownian motion, as this book illustrates, is that the subject connects a broad variety of topics, including thermal physics, hydrodynamics,...

Wiley, 2021. — 244 p. — ISBN 978-1786305473. This book is the first of two volumes on random motions in Markov and semi-Markov random environments. This first volume focuses on homogenous random motions. This volume consists of two parts, the first describing the basic concepts and methods that have been developed for random evolutions. These methods are the foundational tools...

Singapore: World Scientific Publishing Co. Pte Ltd., 2018. — 305 p. This book provides a detailed exposition of the specific properties of methods of estimation and test in a wide range of models with changes. They include parametric and nonparametric models for samples, series, point processes and diffusion processes, with changes at the threshold of variables or at a time or an...

2nd Edition . — Springer, 2018. — 334 p. — (Springer Undergraduate Mathematics Series). — ISBN: 9811306583. This book provides an undergraduate-level introduction to discrete and continuous-time Markov chains and their applications, with a particular focus on the first step analysis technique and its applications to average hitting times and ruin probabilities. It also...

Springer, 2013. — 356 p. — ISBN: 9789814451505 This book provides an undergraduate introduction to discrete and continuous-time Markov chains and their applications. A large focus is placed on the first step analysis technique and its applications to average hitting times and ruin probabilities. Classical topics such as recurrence and transience, stationary and limiting...

Springer, 2022. — 287 p. This book offers an accessible introduction to random walk and diffusion models at a level consistent with the typical background of students in the life sciences. In recent decades these models have become widely used in areas far beyond their traditional origins in physics, for example, in studies of animal behavior, ecology, sociology, sports...

Springer, 2021. — 370 p. — ISBN 978-3-030-83265-0. Highlighting the latest advances in stochastic analysis and its applications, this volume collects carefully selected and peer-reviewed papers from the 5th International Conference on Stochastic Methods (ICSM-5), held in Moscow, Russia, November 23-27, 2020. The contributions deal with diverse topics such as stochastic...

Chapman and Hall/CRC, 2024. — 354 p. — ISBN-13: 978-1-003-40710-2. This book presents the theory of rational decisions involving the selection of stopping times in observed discrete-time stochastic processes , both by single and multiple decision-makers. Readers will become acquainted with the models, strategies, and applications of these models. It begins with an examination...

Courier Corporation, 2013. — 402 p. This clear presentation of the most fundamental models of random phenomena employs methods that recognize computer-related aspects of theory. The text emphasizes the modern viewpoint, in which the primary concern is the behavior of sample paths. By employing matrix algebra and recursive methods, rather than transform methods, it provides...

Монография, г. Хабаровск, РАН Дальневосточное отделение, 2009. — 336 с. Излагается подход к построению математических моделей стохастических объектов в условиях непараметрической неопределенности, когда об объекте и действующих возмущениях известна лишь информация общего характера. Книга, наряду с обширным теоретическим материалом, содержит ряд интересных примеров, приложений,...

Автор не указан. МФТИ, 2008. — 172 с. Основы теории случайных процессов. Основные понятия теории вероятностей. Понятие случайного процесса. Примеры. Способы описания и статистические характеристики случайных процессов. Распределения вероятностей случайного процесса. Характеристические функции случайного процесса. Моментные функции случайного процесса. Связь моментных и...