This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial...
This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of t...
Concerned with stable processes and other infinitely divisible models this volume collates articles covering a range of related topics. Issues covered include: results in heavy-tailed processes, the central limit problem; comparison and deviation problems; and probability and distrbution inequalities. Also included in the text are articles on: Markovian property and extreme values; interacting particle approximation, communication networks; the Italian problem; and global dependancy measure and prediction.
Concerned with stable processes and other infinitely divisible models this volume collates articles covering a range of related topics. Issues covered...
In the last twenty years extensive research has been devoted to a better understanding of the stable and other closely related infinitely divisible mod- els. Stamatis Cambanis, a distinguished educator and researcher, played a special leadership role in the development of these research efforts, particu- larly related to stable processes from the early seventies until his untimely death in April '95. This commemorative volume consists of a collection of research articles devoted to reviewing the state of the art of this and other rapidly developing research and to explore new directions of...
In the last twenty years extensive research has been devoted to a better understanding of the stable and other closely related infinitely divisible mo...
This book is intended for readers who are quite familiar with probability and stochastic processes but know little or nothing about ?nance. It is written in the de?nition/theorem/proof style of modern mathematics and attempts to explain as much of the ?nance motivation and terminology as possible. A mathematical monograph on ?nance can be written today only - cause of two revolutions that have taken place on Wall Street in the latter half of the twentieth century. Both these revolutions began at universities, albeit in economics departments and business schools, not in departments of...
This book is intended for readers who are quite familiar with probability and stochastic processes but know little or nothing about ?nance. It is writ...
