A central study in Probability Theory is the behavior of fluctuation phenomena of partial sums of different types of random variable. One of the most useful concepts for this purpose is that of the random walk which has applications in many areas, particularly in statistical physics and statistical chemistry. Originally published in 1991, Intersections of Random Walks focuses on and explores…
Matrix-analytic and related methods have become recognized as an important and fundamental approach for the mathematical analysis of general classes of complex stochastic models. Research in the area of matrix-analytic and related methods seeks to discover underlying probabilistic structures intrinsic in such stochastic models, develop numerical algorithms for computing functionals (e.g., perfo…
No Inv.: 67070/P/00/1c
In this brief we consider some stochastic models that may be used to study problems related to environmental matters, in particular, air pollution. The impact of exposure to air pollutants on people's health is a very clear and well documented subject. Therefore, it is very important to obtain ways to predict or explain the behaviour of pollutants in general. Depending on the type of question …
This volume presents a selection of advanced case studies that address a substantial range of issues and challenges arising in space engineering. The contributing authors are well-recognized researchers and practitioners in space engineering and in applied optimization. The key mathematical modeling and numerical solution aspects of each application case study are presented in sufficient detai…
This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for…
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a…
Judul asli : "Structural Analysis"
Magic squares are among the more popular mathematical recreations. Over the last 50 years, many generalizations of “magic†ideas have been applied to graphs. Recently there has been a resurgence of interest in “magic labelings†due to a number of results that have applications to the problem of decomposing graphs into trees. Key features of this second edition include: …
Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson†market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approaches to complement or …