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#### Analysis and Design of Singular Markovian Jump Systems

Springer International Publishing 2014; US$ 129.00This monograph is an up-to-date presentation of the analysis and design of singular Markovian jump systems (SMJSs) in which the transition rate matrix of the underlying systems is generally uncertain, partially unknown and designed. The problems addressed include stability, stabilization, H? control and filtering, observer design, and adaptive control.... more...

#### Functionals of Multidimensional Diffusions with Applications to Finance

Springer International Publishing 2013; US$ 103.20This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. more...

#### Fractional Fields and Applications

Springer Berlin Heidelberg 2013; US$ 49.95This book focuses mainly on fractional Brownian fields and their extensions. It has been used to teach graduate students at Grenoble and Toulouse's Universities. It is as self-contained as possible and contains numerous exercises, with solutions in an appendix. After a foreword by Stéphane Jaffard, a long first chapter is devoted to classical results... more...

#### Applied Diffusion Processes from Engineering to Finance

Wiley 2013; US$ 192.00The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors point out the strict inter-relations that exist among the diffusion models used in engineering, finance and insurance. In each of the three... more...

#### Selected Aspects of Fractional Brownian Motion

Springer Milan 2013; US$ 129.00This book explores several aspects of fractional Brownian motion, including the stochastic integration, the study of its supremum and its appearance as limit of partial sums involving stationary sequences. more...

#### Schrödinger Equations and Diffusion Theory

Springer Basel 2012; US$ 69.99Self-contained and structurally coherent, this introduction to the theory and applications of diffusion processes deploys them to analyze Schrödinger?s equations, using relative entropy and the theory of transformations to forge apparently identical processes. more...

#### Contract Theory in Continuous-Time Models

Springer Berlin Heidelberg 2012; US$ 63.96There has been increased interest in continuous-time Principal-Agent models and their applications. This monograph surveys results of the theory using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. more...

#### Brownian Motion

De Gruyter 2012; US$ 40.00Stochastic processes occur in a large number of fields in sciences and engineering, so they need to be understood by applied mathematicians, engineers and scientists alike. This work is ideal for a first course introducing the reader gently to the subject matter of stochastic processes. It uses Brownian motion since this is a stochastic... more...

#### GENERALIZED FUNCTIONALS OF BROWNIAN MOTION AND THEIR APPLICATIONS

World Scientific Publishing Company 2011; US$ 78.00This invaluable research monograph presents a unified and fascinating theory of generalized functionals of Brownian motion and other fundamental processes such as fractional Brownian motion and Levy process — covering the classical Wiener–Ito class including the generalized functionals of Hida as special cases, among others. It presents a... more...

#### Brownian Motion

Cambridge University Press 2010; US$ 68.00Everything the graduate student in probability wants to know about Brownian motion, including the latest research in the field. more...