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This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.
Bemærk: Kan ikke leveres før jul.
Bemærk: Kan ikke leveres før jul.
A textbook for students with some background in probability that develops quickly a rigorous theory of Markov chains and shows how actually to apply it, e.g. to simulation, economics,... Læs mere
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Designed for Master's students and final-year undergraduates, this book strikes the right balance between mathematical rigour and practical application. Carefully chosen... Læs mere
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Delineates stochastic processes, emphasizing applications in biology. This book is organized according to the three types of... Læs mere
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A mathematically-oriented, comprehensive textbook in game theory for students in Mathematics, Economics, and Engineering, at both undergraduate and graduate levels, this new edition is... Læs mere
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An integrated presentation of theory, applications and algorithms that demonstrates how useful simple stochastic (random) models can be for gaining insight into the... Læs mere
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This is the third edition of a popular UK textbook on stochastic processes. It has been updated with a new chapter on diffusion processes and Brownian... Læs mere
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Taken literally, the title "All of Statistics" is an exaggeration. But in spirit, the title is apt, as the book does cover a much broader... Læs mere
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This volume of more than 1300 exercises and solutions in probability theory has two roles. It is both a freestanding book of exercises and solutions... Læs mere
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Network science is one of the fastest growing areas in science and business. This classroom-tested, self-contained book is designed for master's-level courses... Læs mere
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This textbook offers a compact introduction to Malliavin calculus. It covers recent applications, and includes a self-contained presentation of preliminary material on... Læs mere