Stochastic Processes Modeling And Simulation

Author by : D N Shanbhag
Language : en
Publisher by : Gulf Professional Publishing
Format Available : PDF, ePub, Mobi
Total Read : 53
Total Download : 313
File Size : 44,7 Mb
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Description : This sequel to volume 19 of Handbook on Statistics on Stochastic Processes: Modelling and Simulation is concerned mainly with the theme of reviewing and, in some cases, unifying with new ideas the different lines of research and developments in stochastic processes of applied flavour. This volume consists of 23 chapters addressing various topics in stochastic processes. These include, among others, those on manufacturing systems, random graphs, reliability, epidemic modelling, self-similar processes, empirical processes, time series models, extreme value therapy, applications of Markov chains, modelling with Monte Carlo techniques, and stochastic processes in subjects such as engineering, telecommunications, biology, astronomy and chemistry. particular with modelling, simulation techniques and numerical methods concerned with stochastic processes. The scope of the project involving this volume as well as volume 19 is already clarified in the preface of volume 19. The present volume completes the aim of the project and should serve as an aid to students, teachers, researchers and practitioners interested in applied stochastic processes.


Stochastic Modeling

Author by : Barry L. Nelson
Language : en
Publisher by : Courier Corporation
Format Available : PDF, ePub, Mobi
Total Read : 93
Total Download : 581
File Size : 43,5 Mb
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Description : Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.


Stochastic Modelling For Systems Biology Second Edition

Author by : Darren J. Wilkinson
Language : en
Publisher by : CRC Press
Format Available : PDF, ePub, Mobi
Total Read : 56
Total Download : 687
File Size : 54,7 Mb
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Description : Since the first edition of Stochastic Modelling for Systems Biology, there have been many interesting developments in the use of "likelihood-free" methods of Bayesian inference for complex stochastic models. Re-written to reflect this modern perspective, this second edition covers everything necessary for a good appreciation of stochastic kinetic modelling of biological networks in the systems biology context. Keeping with the spirit of the first edition, all of the new theory is presented in a very informal and intuitive manner, keeping the text as accessible as possible to the widest possible readership. New in the Second Edition All examples have been updated to Systems Biology Markup Language Level 3 All code relating to simulation, analysis, and inference for stochastic kinetic models has been re-written and re-structured in a more modular way An ancillary website provides links, resources, errata, and up-to-date information on installation and use of the associated R package More background material on the theory of Markov processes and stochastic differential equations, providing more substance for mathematically inclined readers Discussion of some of the more advanced concepts relating to stochastic kinetic models, such as random time change representations, Kolmogorov equations, Fokker-Planck equations and the linear noise approximation Simple modelling of "extrinsic" and "intrinsic" noise An effective introduction to the area of stochastic modelling in computational systems biology, this new edition adds additional mathematical detail and computational methods that will provide a stronger foundation for the development of more advanced courses in stochastic biological modelling.


Modelling And Simulation

Author by : Louis G. Birta
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 49
Total Download : 688
File Size : 46,6 Mb
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Description : This book provides a balanced and integrated presentation of modelling and simulation activity for both Discrete Event Dynamic Systems (DEDS) and Continuous Time Dynamic Systems (CYDS). The authors establish a clear distinction between the activity of modelling and that of simulation, maintaining this distinction throughout. The text offers a novel project-oriented approach for developing the modelling and simulation methodology, providing a solid basis for demonstrating the dependency of model structure and granularity on project goals. Comprehensive presentation of the verification and validation activities within the modelling and simulation context is also shown.


Stochastic Processes

Author by : D. N. Shanbhag
Language : en
Publisher by : Gulf Professional Publishing
Format Available : PDF, ePub, Mobi
Total Read : 90
Total Download : 434
File Size : 48,7 Mb
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Description : J. Neyman, one of the pioneers in laying the foundations of modern statistical theory, stressed the importance of stochastic processes in a paper written in 1960 in the following terms: Currently in the period of dynamic indeterminism in science, there is hardly a serious piece of research, if treated realistically, does not involve operations on stochastic processes. Arising from the need to solve practical problems, several major advances have taken place in the theory of stochastic processes and their applications. Books by Doob (1953; J. Wiley and Sons), Feller (1957, 1966; J. Wiley and Sons) and Loeve (1960; D. van Nostrand and Col., Inc.) among others, have created growing awareness and interest in the use of stochastic processes in scientific and technological studies.The literature on stochastic processes is very extensive and is distributed in several books and journals.


Bayesian Analysis Of Stochastic Process Models

Author by : David Insua
Language : en
Publisher by : John Wiley & Sons
Format Available : PDF, ePub, Mobi
Total Read : 66
Total Download : 874
File Size : 46,6 Mb
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Description : Bayesian analysis of complex models based on stochastic processes has in recent years become a growing area. This book provides a unified treatment of Bayesian analysis of models based on stochastic processes, covering the main classes of stochastic processing including modeling, computational, inference, forecasting, decision making and important applied models. Key features: Explores Bayesian analysis of models based on stochastic processes, providing a unified treatment. Provides a thorough introduction for research students. Computational tools to deal with complex problems are illustrated along with real life case studies Looks at inference, prediction and decision making. Researchers, graduate and advanced undergraduate students interested in stochastic processes in fields such as statistics, operations research (OR), engineering, finance, economics, computer science and Bayesian analysis will benefit from reading this book. With numerous applications included, practitioners of OR, stochastic modelling and applied statistics will also find this book useful.


Simulation And Chaotic Behavior Of Alpha Stable Stochastic Processes

Author by : Aleksand Janicki
Language : en
Publisher by : CRC Press
Format Available : PDF, ePub, Mobi
Total Read : 85
Total Download : 451
File Size : 40,5 Mb
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Description : Presents new computer methods in approximation, simulation, and visualization for a host of alpha-stable stochastic processes.


Modelling And Simulation Of Stochastic Volatility In Finance

Author by : Christian Kahl
Language : en
Publisher by : Universal-Publishers
Format Available : PDF, ePub, Mobi
Total Read : 82
Total Download : 764
File Size : 54,8 Mb
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Description : The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its core assumptions is that the volatility of the underlying asset is constant. It was realised early that one has to specify a dynamic on the volatility itself to get closer to market behaviour. There are mainly two aspects making this fact apparent. Considering historical evolution of volatility by analysing time series data one observes erratic behaviour over time. Secondly, backing out implied volatility from daily traded plain vanilla options, the volatility changes with strike. The most common realisations of this phenomenon are the implied volatility smile or skew. The natural question arises how to extend the Black-Scholes model appropriately. Within this book the concept of stochastic volatility is analysed and discussed with special regard to the numerical problems occurring either in calibrating the model to the market implied volatility surface or in the numerical simulation of the two-dimensional system of stochastic differential equations required to price non-vanilla financial derivatives. We introduce a new stochastic volatility model, the so-called Hyp-Hyp model, and use Watanabe's calculus to find an analytical approximation to the model implied volatility. Further, the class of affine diffusion models, such as Heston, is analysed in view of using the characteristic function and Fourier inversion techniques to value European derivatives.


Chemical Engineering

Author by : Tanase Gh. Dobre
Language : en
Publisher by : John Wiley & Sons
Format Available : PDF, ePub, Mobi
Total Read : 88
Total Download : 336
File Size : 50,7 Mb
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Description : A description of the use of computer aided modeling and simulation in the development, integration and optimization of industrial processes. The two authors elucidate the entire procedure step-by-step, from basic mathematical modeling to result interpretation and full-scale process performance analysis. They further demonstrate similitude comparisons of experimental results from different systems as a tool for broadening the applicability of the calculation methods. Throughout, the book adopts a very practical approach, addressing actual problems and projects likely to be encountered by the reader, as well as fundamentals and solution strategies for complex problems. It is thus equally useful for student and professional engineers and chemists involved in industrial process and production plant design, construction or upgrading.


Progress In Applied Mathematical Modeling

Author by : Fengshan Yang
Language : en
Publisher by : Nova Publishers
Format Available : PDF, ePub, Mobi
Total Read : 11
Total Download : 834
File Size : 53,7 Mb
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Description : This book presents new research related to the mathematical modelling of engineering and environmental processes, manufacturing, and industrial systems. It includes heat transfer, fluid mechanics, CFD, and transport phenomena; solid mechanics and mechanics of metals; electromagnets and MHD; reliability modelling and system optimisation; finite volume, finite element, and boundary element procedures; decision sciences in an industrial and manufacturing context; civil engineering systems and structures; mineral and energy resources; relevant software engineering issues associated with CAD and CAE; and materials and metallurgical engineering.