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Статті в журналах з теми "Stochastic processes":
Csenki, A., and J. Medhi. "Stochastic Processes." Statistician 45, no. 3 (1996): 393. http://dx.doi.org/10.2307/2988486.
Kedem, Benjamin, and J. Medhi. "Stochastic Processes." Technometrics 38, no. 1 (February 1996): 85. http://dx.doi.org/10.2307/1268920.
PE and Jyotiprasad Medhi. "Stochastic Processes." Journal of the American Statistical Association 90, no. 430 (June 1995): 810. http://dx.doi.org/10.2307/2291116.
MTW and Sheldon Ross. "Stochastic Processes." Journal of the American Statistical Association 91, no. 436 (December 1996): 1754. http://dx.doi.org/10.2307/2291619.
Medhi, J. "Stochastic Processes." Biometrics 51, no. 1 (March 1995): 387. http://dx.doi.org/10.2307/2533368.
PE and Emanuel Parzen. "Stochastic Processes." Journal of the American Statistical Association 95, no. 451 (September 2000): 1020. http://dx.doi.org/10.2307/2669508.
Frey, Michael. "Stochastic Processes." Technometrics 35, no. 3 (August 1993): 329–30. http://dx.doi.org/10.1080/00401706.1993.10485336.
Frey, Michael. "Stochastic Processes." Technometrics 39, no. 2 (May 1997): 230–31. http://dx.doi.org/10.1080/00401706.1997.10485094.
Saunders, Ian W., and Sheldon M. Ross. "Stochastic Processes." Journal of the American Statistical Association 80, no. 389 (March 1985): 250. http://dx.doi.org/10.2307/2288101.
Casas, J. M., M. Ladra, and U. A. Rozikov. "Markov processes of cubic stochastic matrices: Quadratic stochastic processes." Linear Algebra and its Applications 575 (August 2019): 273–98. http://dx.doi.org/10.1016/j.laa.2019.04.016.
Дисертації з теми "Stochastic processes":
Schmitz, Volker. "Copulas and stochastic processes." [S.l.] : [s.n.], 2003. http://deposit.ddb.de/cgi-bin/dokserv?idn=972691669.
Gagliardini, Lucia. "Chargaff symmetric stochastic processes." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/8699/.
Noble, Patrick. "Stochastic processes in Astrophysics." Thesis, The University of Sydney, 2013. http://hdl.handle.net/2123/10013.
Catalão, André Borges [UNESP]. "Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston." Universidade Estadual Paulista (UNESP), 2010. http://hdl.handle.net/11449/88592.
Neste trabalho estudamos a calibração de opções de câmbio no mercado brasileiro utilizando o processo estocástico proposto por Heston [Heston, 1993], como uma alternativa ao modelo de apreçamento de Black e Scholes [Black e Scholes,1973], onde as volatilidades implícitas de opções para diferentes preços de exercícios e prazos são incorporadas ad hoc. Comparamos dois métodos de apreçamento: o método de Carr e Madan [Carr e Madan, 1999], que emprega transfomada rápida de Fourier e função característica, e expansão assintótica para baixos valores de volatilidade da variância. Com a nalidade de analisar o domínio de aplicabilidade deste método, selecionamos períodos de alta volatilidade no mercado, correspondente à crise subprime de 2008, e baixa volatilidade, correspondente ao período subsequente. Adicionalmente, estudamos a incorporação de swaps de variância para melhorar a calibração do modelo
In this work we study the calibration of forex call options in the Brazilian market using the stochastic process proposed by Heston [Heston, 1993], as an alternative to the Black and Scholes [Black e Scholes,1973] pricing model, in which the implied option volatilities related to di erent strikes and maturities are incorporated in an ad hoc manner. We compare two pricing methods: one from Carr and Madan [Carr e Madan, 1999], which uses fast Fourier transform and characteristic function, and asymptotic expantion for low values of the volatility of variance. To analyze the applicability of this method, we select periods of high volatility in the market, related to the subprime crisis of 2008, and of low volatility, correspondent to the following period. In addition, we study the use of variance swaps to improve the calibration of the model
Blackmore, Robert Sidney. "Theoretical studies in stochastic processes." Thesis, University of British Columbia, 1985. http://hdl.handle.net/2429/25554.
Science, Faculty of
Chemistry, Department of
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Cole, D. J. "Stochastic branching processes in biology." Thesis, University of Kent, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270684.
Herbert, Julian Richard. "Stochastic processes for parasite dynamics." Thesis, University College London (University of London), 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368164.
Gillespie, Colin Stevenson. "Counting statistics of stochastic processes." Thesis, University of Strathclyde, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.273432.
Ortgiese, Marcel. "Stochastic processes in random environment." Thesis, University of Bath, 2009. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507234.
Turner, Amanda Georgina. "Scaling limits of stochastic processes." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612995.
Книги з теми "Stochastic processes":
Bhat, U. Narayan. Elements of applied stochastic processes. 3rd ed. Hoboken, N.J: Wiley-Interscience, 2002.
Parzen, Emanuel. Stochastic processes. Philadelphia, Pa: Society for Industrial and Applied Mathematics, 1999.
Bass, Richard F. Stochastic processes. Cambridge: Cambridge University Press, 2011.
Cambanis, Stamatis, Jayanta K. Ghosh, Rajeeva L. Karandikar, and Pranab K. Sen, eds. Stochastic Processes. New York, NY: Springer New York, 1993. http://dx.doi.org/10.1007/978-1-4615-7909-0.
Rao, M. M. Stochastic Processes. Boston, MA: Springer US, 2000. http://dx.doi.org/10.1007/978-1-4757-6596-0.
Borodin, Andrei N. Stochastic Processes. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-62310-8.
Itô, Kiyosi. Stochastic Processes. Edited by Ole E. Barndorff-Nielsen and Ken-iti Sato. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-662-10065-3.
Nakagawa, Toshio. Stochastic Processes. London: Springer London, 2011. http://dx.doi.org/10.1007/978-0-85729-274-2.
Paul, Wolfgang, and Jörg Baschnagel. Stochastic Processes. Heidelberg: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-00327-6.
Ross, Sheldon M. Stochastic processes. 2nd ed. New York: Wiley, 1996.
Частини книг з теми "Stochastic processes":
Aksamit, Anna, and Monique Jeanblanc. "Stochastic Processes." In SpringerBriefs in Quantitative Finance, 1–27. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41255-9_1.
Stamatescu, I. O. "Stochastic Processes." In Decoherence and the Appearance of a Classical World in Quantum Theory, 433–43. Berlin, Heidelberg: Springer Berlin Heidelberg, 2003. http://dx.doi.org/10.1007/978-3-662-05328-7_16.
Jost, Jürgen. "Stochastic Processes." In Mathematical Methods in Biology and Neurobiology, 59–88. London: Springer London, 2014. http://dx.doi.org/10.1007/978-1-4471-6353-4_3.
Röman, Jan R. M. "Stochastic Processes." In Analytical Finance: Volume II, 291–305. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-52584-6_11.
Kisielewicz, Michał. "Stochastic Processes." In Springer Optimization and Its Applications, 1–65. New York, NY: Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-6756-4_1.
Höhle, Ulrich. "Stochastic Processes." In Many Valued Topology and its Applications, 279–315. Boston, MA: Springer US, 2001. http://dx.doi.org/10.1007/978-1-4615-1617-0_9.
Jarrow, Robert A. "Stochastic Processes." In Continuous-Time Asset Pricing Theory, 3–17. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-77821-1_1.
Koller, Michael. "Stochastic Processes." In Stochastic Models in Life Insurance, 7–20. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-28439-7_2.
Lax, Melvin. "Stochastic Processes." In Mathematical Tools for Physicists, 513–63. Weinheim, FRG: Wiley-VCH Verlag GmbH & Co. KGaA, 2006. http://dx.doi.org/10.1002/3527607773.ch15.
Capasso, Vincenzo, and David Bakstein. "Stochastic Processes." In An Introduction to Continuous-Time Stochastic Processes, 77–186. New York, NY: Springer New York, 2015. http://dx.doi.org/10.1007/978-1-4939-2757-9_2.
Тези доповідей конференцій з теми "Stochastic processes":
Debbasch, F., and C. Chevalier. "Relativistic Stochastic Processes." In NONEQUILIBRIUM STATISTICAL MECHANICS AND NONLINEAR PHYSICS: XV Conference on Nonequilibrium Statistical Mechanics and Nonlinear Physics. AIP, 2007. http://dx.doi.org/10.1063/1.2746722.
Spring, William Joseph, and Alexander Lvovsky. "Quantum Stochastic Processes." In QUANTUM COMMUNICATION, MEASUREMENT AND COMPUTING (QCMC): Ninth International Conference on QCMC. AIP, 2009. http://dx.doi.org/10.1063/1.3131370.
"Sessions: stochastic processes." In 1988 IEEE International Symposium on Information Theory. IEEE, 1988. http://dx.doi.org/10.1109/isit.1988.22240.
Albeverio, S., G. Casati, U. Cattaneo, D. Merlini, and R. Moresi. "Stochastic Processes, Physics and Geometry." In International Conference on Stochastic Processes, Physics and Geometry. WORLD SCIENTIFIC, 1990. http://dx.doi.org/10.1142/9789814541107.
Miamee, A. G. "Nonstationary Stochastic Processes and Their Applications." In Workshop on Nonstationary Stochastic Processes and Their Applications. WORLD SCIENTIFIC, 1992. http://dx.doi.org/10.1142/9789814537223.
Zhang, Jinping. "Interval-valued Stochastic Processes and Stochastic Integrals." In Second International Conference on Innovative Computing, Informatio and Control (ICICIC 2007). IEEE, 2007. http://dx.doi.org/10.1109/icicic.2007.365.
Baake, Ellen, and Robert Bialowons. "Ancestral processes with selection: Branching and Moran models." In Stochastic Models in Biological Sciences. Warsaw: Institute of Mathematics Polish Academy of Sciences, 2008. http://dx.doi.org/10.4064/bc80-0-2.
Gillespie, Daniel T. "Non-Markovian stochastic processes." In Unsolved problems of noise and fluctuations. AIP, 2000. http://dx.doi.org/10.1063/1.60002.
SPRING, WILLIAM J. "MULTIPARAMETER QUANTUM STOCHASTIC PROCESSES." In Proceedings of the 30th Conference. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814338745_0019.
Godelle, Jérôme. "Phase intermittency in jet atomization processes." In Stochastic and chaotic dynamics in the lakes. AIP, 2000. http://dx.doi.org/10.1063/1.1302429.
Звіти організацій з теми "Stochastic processes":
Cambanis, Stamatis, Raymond J. Carroll, Gopinath Kallianpur, and M. R. Leadbetter. Research in Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, October 1988. http://dx.doi.org/10.21236/ada205183.
Cambanis, Stamatis, Raymond J. Carroll, Gopinath Kallianpur, and M. R. Leadbetter. Research in Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, August 1988. http://dx.doi.org/10.21236/ada209935.
Carroll, Raymond J., Gopinath Kallianpur, and M. R. Leadbetter. Research in Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, September 1985. http://dx.doi.org/10.21236/ada162393.
Cambanis, Stamatis, M. R. Leadbetter, and Gopinath Kallianpur. Research in Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, August 1991. http://dx.doi.org/10.21236/ada244601.
Ledbetter, M. R., and Holger Rootzen. External Theory for Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, November 1985. http://dx.doi.org/10.21236/ada179145.
Karr, Alan F. Statistical Inference for Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, October 1987. http://dx.doi.org/10.21236/ada190491.
Berman, Simeon M. Sojourns and Extremes of Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, September 1989. http://dx.doi.org/10.21236/ada245005.
Kallianpur, Gopinath, and Amites Dasgupta. Research in Stochastic Processes and their Applications. Fort Belvoir, VA: Defense Technical Information Center, March 1997. http://dx.doi.org/10.21236/ada332960.
Basseville, Michele, Albert Benveniste, Kenneth C. Chou, Stuart A. Golden, Ramine Nikoukhah, and Alan S. Willsky. Modeling and Estimation of Multiresolution Stochastic Processes. Fort Belvoir, VA: Defense Technical Information Center, March 1991. http://dx.doi.org/10.21236/ada459289.
Hudson, W. N. Stochastic Integrals and Processes with Independent Increments. Fort Belvoir, VA: Defense Technical Information Center, March 1985. http://dx.doi.org/10.21236/ada158939.