Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes

by Aleksand Janicki, A. Weron

Overview

Presents new computer methods in approximation, simulation, and visualization for a host of alpha-stable stochastic processes.

Product Details

ISBN-13:	9781000447804
Publisher:	CRC Press
Publication date:	07/28/2021
Series:	Chapman & Hall/CRC Pure and Applied Mathematics
Sold by:	Barnes & Noble
Format:	eBook
Pages:	376
File size:	19 MB
Note:	This product may take a few minutes to download.

About the Author

Janicki, Aleksand; Weron, A.

Table of Contents

Preliminary remarks; Brownian motion, poisson process, alpha-stable Levy motion; computer simulation of alpha-stable random variables; stochastic integration; spectral representations of stationary processes; computer approximations of continuous time processes; examples of alpha-stable stochastic modelling; convergence of approximate methods; chaotic behaviour of stationary processes; hierarchy of chaos for stable and ID stationary processes. Appendix - a guide to simulation.

Editorial Reviews

". . .it is remarkably complete and includes full references to recent literature. "
—-The Royal Statistical Society
"Throughout the book there are many references to the literature and a wealth of useful and interesting examples exhibiting various types of behavior. A C program presented in an appendix was used to carry out the simulations."
—-Zentralblatt fur Mathematik, 2000

From the Publisher