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Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes : Chapman & Hall/CRC Pure and Applied Mathematics - Aleksander Janicki

Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes

Chapman & Hall/CRC Pure and Applied Mathematics

Hardcover Published: 16th November 1993
ISBN: 9780824788827
Number Of Pages: 376

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This practical reference/text presents new computer methods of approximation, simulation, and visualization for a host of [alpha]-stable stochastic processes and shows how [alpha]-stable variates are useful in the modeling of various problems arising in economics, finances, chemistry, physics, and engineering - providing accurate descriptions of real phenomena.
Offering detailed proofs for most of the results obtained, Simulation and Chaotic Behavior of [alpha]-Stable Stochastic Processes examines the properties of [alpha]-stable random variables and processes . . . supplies theoretical investigations and computer illustrations of the hierarchy of chaos for stochastic processes with applications to stochastic modeling . . . studies and characterizes the ergodic properties of different classes of stochastic processes . . . demonstrates how to apply the results obtained to a wide variety of disciplines . . . and more!
With over 100 computer figures and carefully selected citations to the literature, Simulation and Chaotic Behavior of [alpha]-Stable Stochastic Processes is an invaluable reference for applied mathematicians and probabilists working with stochastic processes, chaos, stochastic modeling, discrete and approximate methods in stochastic analysis, and the applications of statistical methods; electrical and electronics engineers; financiers; physicists; biologists; and chemists; as well as an excellent text for upper-level undergraduate and graduate students in these disciplines taking courses in stochastic processes.

Industry Reviews

." . .it is remarkably complete and includes full references to recent literature." ---The Royal Statistical Society "Throughout the book there are many references to the literature and a wealth of useful and interesting examples exhibiting various types of behavior. A C program presented in an appendix was used to carry out the simulations." ---Zentralblatt fur Mathematik, 2000

Preliminary remarks
Brownian motion, poisson process, alpha-stable Levy motion
computer simulation of alpha-stable random variables
stochastic integration
spectral representations of stationary processes
computer approximations of continuous time processes
examples of alpha-stable stochastic modelling
convergence of approximate methods
chaotic behaviour of stationary processes
hierarchy of chaos for stable and ID stationary processes
Appendix - a guide to simulation
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780824788827
ISBN-10: 0824788826
Series: Chapman & Hall/CRC Pure and Applied Mathematics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 376
Published: 16th November 1993
Country of Publication: US
Dimensions (cm): 23.52 x 16.26  x 2.24
Weight (kg): 0.64
Edition Number: 1

Earn 611 Qantas Points
on this Book