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Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics

Stochastic Complexity In Statistical Inquiry (Paperback, New edition): Jorma Rissanen Stochastic Complexity In Statistical Inquiry (Paperback, New edition)
Jorma Rissanen
R1,115 Discovery Miles 11 150 Out of stock

This book describes how model selection and statistical inference can be founded on the shortest code length for the observed data, called the stochastic complexity. This generalization of the algorithmic complexity not only offers an objective view of statistics, where no prejudiced assumptions of 'true' data generating distributions are needed, but it also in one stroke leads to calculable expressions in a range of situations of practical interest and links very closely with mainstream statistical theory. The search for the smallest stochastic complexity extends the classical maximum likelihood technique to a new global one, in which models can be compared regardless of their numbers of parameters. The result is a natural and far reaching extension of the traditional theory of estimation, where the Fisher information is replaced by the stochastic complexity and the Cramer-Rao inequality by an extension of the Shannon-Kullback inequality. Ideas are illustrated with applications from parametric and non-parametric regression, density and spectrum estimation, time series, hypothesis testing, contingency tables, and data compression.

Applied Stochastic Control of Jump Diffusions (Paperback, 2nd ed. 2007): Bernt Oksendal, Agnes Sulem Applied Stochastic Control of Jump Diffusions (Paperback, 2nd ed. 2007)
Bernt Oksendal, Agnes Sulem
R1,765 R1,067 Discovery Miles 10 670 Save R698 (40%) Out of stock

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Levy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed."

Stochastic Analysis and Related Topics V - The Silivri Workshop, 1994 (Hardcover, 1996 ed.): H. Körezlioglu, B. Oksendal, A.S.... Stochastic Analysis and Related Topics V - The Silivri Workshop, 1994 (Hardcover, 1996 ed.)
H. Körezlioglu, B. Oksendal, A.S. Üstünel
R2,116 R1,954 Discovery Miles 19 540 Save R162 (8%) Out of stock
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