About: Stochastic process is a(n) research topic. Over the lifetime, 31227 publication(s) have been published within this topic receiving 898736 citation(s). The topic is also known as: random process & stochastic processes.
Papers published on a yearly basis
01 Jan 2001
TL;DR: In this paper, the clssical filleting and prediclion problem is re-examined using the Bode-Shannon representation of random processes and the?stat-tran-sition? method of analysis of dynamic systems.
Abstract: The clssical filleting and prediclion problem is re-examined using the Bode-Shannon representation of random processes and the ?stat-tran-sition? method of analysis of dynamic systems. New result are: (1) The formulation and Methods of solution of the problm apply, without modification to stationary and nonstationary stalistics end to growing-memory and infinile -memory filters. (2) A nonlinear difference (or differential) equalion is dericed for the covariance matrix of the optimal estimalion error. From the solution of this equation the coefficients of the difference, (or differential) equation of the optimal linear filter are obtained without further caleulations. (3) Tke fillering problem is shoum to be the dual of the nois-free regulator problem. The new method developed here, is applied to do well-known problems, confirming and extending, earlier results. The discussion is largely, self-contatained, and proceeds from first principles; basic concepts of the theory of random processes are reviewed in the Appendix.
01 Jan 2002
TL;DR: In this paper, the meaning of probability and random variables are discussed, as well as the axioms of probability, and the concept of a random variable and repeated trials are discussed.
Abstract: Part 1 Probability and Random Variables 1 The Meaning of Probability 2 The Axioms of Probability 3 Repeated Trials 4 The Concept of a Random Variable 5 Functions of One Random Variable 6 Two Random Variables 7 Sequences of Random Variables 8 Statistics Part 2 Stochastic Processes 9 General Concepts 10 Random Walk and Other Applications 11 Spectral Representation 12 Spectral Estimation 13 Mean Square Estimation 14 Entropy 15 Markov Chains 16 Markov Processes and Queueing Theory
03 Jan 2007-Journal of Chemical Physics
TL;DR: In this paper, the authors present a new molecular dynamics algorithm for sampling the canonical distribution, where the velocities of all the particles are rescaled by a properly chosen random factor.
Abstract: The authors present a new molecular dynamics algorithm for sampling the canonical distribution. In this approach the velocities of all the particles are rescaled by a properly chosen random factor. The algorithm is formally justified and it is shown that, in spite of its stochastic nature, a quantity can still be defined that remains constant during the evolution. In numerical applications this quantity can be used to measure the accuracy of the sampling. The authors illustrate the properties of this new method on Lennard-Jones and TIP4P water models in the solid and liquid phases. Its performance is excellent and largely independent of the thermostat parameter also with regard to the dynamic properties.
01 Jun 1992
TL;DR: In this article, a time-discrete approximation of deterministic Differential Equations is proposed for the stochastic calculus, based on Strong Taylor Expansions and Strong Taylor Approximations.
Abstract: 1 Probability and Statistics- 2 Probability and Stochastic Processes- 3 Ito Stochastic Calculus- 4 Stochastic Differential Equations- 5 Stochastic Taylor Expansions- 6 Modelling with Stochastic Differential Equations- 7 Applications of Stochastic Differential Equations- 8 Time Discrete Approximation of Deterministic Differential Equations- 9 Introduction to Stochastic Time Discrete Approximation- 10 Strong Taylor Approximations- 11 Explicit Strong Approximations- 12 Implicit Strong Approximations- 13 Selected Applications of Strong Approximations- 14 Weak Taylor Approximations- 15 Explicit and Implicit Weak Approximations- 16 Variance Reduction Methods- 17 Selected Applications of Weak Approximations- Solutions of Exercises- Bibliographical Notes
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