This monograph presents some new concentration inequalities for Feynman-Kac particle processes. It analyzes different types of stochastic particle models, including particle profile occupation measures, genealogical tree based evolution models, particle free energies, as well as backward Markov chain particle models. It illustrates these results with a series of topics related to computational physics and biology, stochastic optimization, signal processing and Bayesian statistics, and many other probabilistic machine learning algorithms. Special emphasis is given to the stochastic modeling,...
This monograph presents some new concentration inequalities for Feynman-Kac particle processes. It analyzes different types of stochastic particle mod...
Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find inter...
La theorie des probabilites et des processus stochastiques est sans aucun doute l'un des plus importants outils mathematiques des sciences modernes. Le theorie des probabilite s'illustre dans de nombreux domaines issus de la biologie, de la physique, et des sciences de l'ingenieur: dynamique des populations, traitement du signal et de l'image, chimie moleculaire, econometrie, sciences actuarielles, mathematiques financieres, ainsi qu'en analyse de risque. Le but de cet ouvrage est de parcourir les principaux modeles et methodes stochastiques de cette theorie en pleine expansion. Ce voyage ne...
La theorie des probabilites et des processus stochastiques est sans aucun doute l'un des plus importants outils mathematiques des sciences modernes. L...
Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an...
Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presen...
