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This volume studies characteristic functions--which play an essential role in probability and statistics-- for their intrinsic, mathematical interest.
The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
This book contains basic information on characteristic functions and moment sequences that is frequently used in probability theory. Characteristic functions and moment sequences are viewed as special cases of positive definite functions. Positive definite functions occur in diverse parts of mathematics, e.g. in operator theory, moment problems, complex function theory, embedding problems, integral equations, and other areas. However, the area of mathematics in which the largest number of people use positive definite functions (some without knowing it) seems to be that of probability theory.
In a certain sense characteristic functions and correlation functions are the same, the common underlying concept is positive definiteness. Many results in probability theory, mathematical statistics and stochastic processes can be derived by using these functions. While there are books on characteristic functions of one variable, books devoting some sections to the multivariate case, and books treating the general case of locally compact groups, interestingly there is no book devoted entirely to the multidimensional case which is extremely important for applications. This book is intended to fill this gap at least partially. It makes the basic concepts and results on multivariate characteristic and correlation functions easily accessible to both students and researchers in a comprehensive manner. The first chapter presents basic results and should be read carefully since it is essential for the understanding of the subsequent chapters. The second chapter is devoted to correlation functions, their applications to stationary processes and some connections to harmonic analysis. In Chapter 3 we deal with several special properties, Chapter 4 is devoted to the extension problem while Chapter 5 contains a few applications. A relatively large appendix comprises topics like infinite products, functional equations, special functions or compact operators.
Transfer functions and characteristic functions proved to be key in operator theory and system theory. Moshe Livic played a major role in developing these functions, and this book of papers dedicated to his memory covers a wide variety of topics in the field.
Tables are presented containing 69,000 values of a set of characteristic functions which first arose in problems of supersonic wing-body interference. The tables are useful in problems of supersonic flow involving aerodynamic shapes which are wholly or in part quasi-cylinders of nearly circular cross section. A number of uses are described in the aerodynamics of bodies alone, body-body or shock-body interference, wing-body interference, the vortex-panel interference. Three illustrative examples are worked out in detail. First, the pressure field due to fuselage indentation is calculated and presented in a form independent of Mach number. Secondly, the tables are applied to a problem involving a previously unpublished solution to the Navier-Stokes equations; namely, the boundary-layer profiles of a circular cylinder moved impulsively with a constant axial force in a viscous incompressible fluid. In the final example, the wave drag of corrugated circular cylinders is calculated as a function of the number of corrugations and their wave length. Several nonaerodynamic applications are pointed out in the fields of acoustics and heat conduction. Generally speaking, the tables are applicable to boundary-value problems of the second kind involving the wave equation in three dimensions with approximately circular cylindrical boundaries or involving the unsteady heat-conduction equation in two space dimensions with nearly circular boundaries.
This introduction can be used, at the beginning graduate level, for a one-semester course on probability theory or for self-direction without benefit of a formal course; the measure theory needed is developed in the text. It will also be useful for students and teachers in related areas such as finance theory, electrical engineering, and operations research. The text covers the essentials in a directed and lean way with 28 short chapters, and assumes only an undergraduate background in mathematics. Readers are taken right up to a knowledge of the basics of Martingale Theory, and the interested student will be ready to continue with the study of more advanced topics, such as Brownian Motion and Ito Calculus, or Statistical Inference.
THE COMPLETE COLLECTION NECESSARY FOR A CONCRETE UNDERSTANDING OF PROBABILITY Written in a clear, accessible, and comprehensive manner, the Handbook of Probability presents the fundamentals of probability with an emphasis on the balance of theory, application, and methodology. Utilizing basic examples throughout, the handbook expertly transitions between concepts and practice to allow readers an inclusive introduction to the field of probability. The book provides a useful format with self-contained chapters, allowing the reader easy and quick reference. Each chapter includes an introduction, historical background, theory and applications, algorithms, and exercises. The Handbook of Probability offers coverage of: Probability Space Probability Measure Random Variables Random Vectors in Rn Characteristic Function Moment Generating Function Gaussian Random Vectors Convergence Types Limit Theorems The Handbook of Probability is an ideal resource for researchers and practitioners in numerous fields, such as mathematics, statistics, operations research, engineering, medicine, and finance, as well as a useful text for graduate students.