Стохастические модели процентных ставок, Геннадий Медведев
Автор: Kuo Название: Introduction to Stochastic Integration ISBN: 0387287205 ISBN-13(EAN): 9780387287201 Издательство: Springer Рейтинг: Цена: 4674 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The theory of stochastic integration, also called the Ito calculus, has a large spectrum of applications in virtually every scientific area involving random functions, but it can be a very difficult subject for people without much mathematical background. The Ito calculus was originally motivated by the construction of Markov diffusion processes from infinitesimal generators. Previously, the construction of such processes required several steps, whereas Ito constructed these diffusion processes directly in a single step as the solutions of stochastic integral equations associated with the infinitesimal generators. Moreover, the properties of these diffusion processes can be derived from the stochastic integral equations and the Ito formula. This introductory textbook on stochastic integration provides a concise introduction to the Ito calculus, and covers the following topics:* Constructions of Brownian motion;* Stochastic integrals for Brownian motion and martingales;* The Ito formula;* Multiple Wiener-Ito integrals;* Stochastic differential equations;* Applications to finance, filtering theory, and electric circuits.The reader should have a background in advanced calculus and elementary probability theory, as well as a basic knowledge of measure theory and Hilbert spaces. Each chapter ends with a variety of exercises designed to help the reader further understand the material.Hui-Hsiung Kuo is the Nicholson Professor of Mathematics at Louisiana State University. He has delivered lectures on stochastic integration at Louisiana State University, Cheng Kung University, Meijo University, and University of Rome "Tor Vergata," among others. He is also the author of Gaussian Measures in Banach Spaces (Springer 1975), and White Noise Distribution Theory (CRC Press 1996), and a memoir of his childhood growing up in Taiwan, An Arrow Shot into the Sun (Abridge Books 2004).
Автор: Kisielewicz, Michal Название: Stochastic Differential Inclusions and Applications ISBN: 1461467551 ISBN-13(EAN): 9781461467557 Издательство: Springer Рейтинг: Цена: 11219 р. Наличие на складе: Есть (1 шт.) Описание: This book develops the theory of stochastic functional inclusions and applications for describing solutions of initial and boundary value problems for partial differential inclusions. Uses new, original methods to characterize stochastic functional inclusions.
Описание: Presents at an introductory level some stochastic models applied in economics, finance and insurance. This book uses Markov chains, random walks, stochastic differential equations and other stochastic processes throughout and systematically applies them to economic and financial applications.
Описание: Includes the proof of the fundamental Doob-Meyer decomposition theorem. This book contains the more general version of the Girsanov theorem due to Lenglart and martingale representation, including both the Jacod-Yor theory and Emery`s examples of martingales that actually have martingale representation.
Описание: Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differential equations. Key theorems of modern stochastic analysis (existence and limit theorems for stochastic flows, Freidlin-Wentzell theory, the Stroock-Varadhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (Wong-Zakai, McShane's counterexample) receive 'obvious' rough path explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.
Автор: Bichteler Название: Stochastic Integration with Jumps ISBN: 0521811295 ISBN-13(EAN): 9780521811293 Издательство: Cambridge Academ Рейтинг: Цена: 13427 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.
Автор: Kelly Название: Stochastic Networks ISBN: 1107691702 ISBN-13(EAN): 9781107691704 Издательство: Cambridge Academ Рейтинг: Цена: 1872 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Communication networks underpin our modern world, and provide fascinating and challenging examples of large-scale stochastic systems. Randomness arises in communication systems at many levels: for example, the initiation and termination times of calls in a telephone network, or the statistical structure of the arrival streams of packets at routers in the Internet. How can routing, flow control and connection acceptance algorithms be designed to work well in uncertain and random environments? This compact introduction illustrates how stochastic models can be used to shed light on important issues in the design and control of communication networks. It will appeal to readers with a mathematical background wishing to understand this important area of application, and to those with an engineering background who want to grasp the underlying mathematical theory. Each chapter ends with exercises and suggestions for further reading.
Автор: N.G. Van Kampen Название: Stochastic Processes in Physics and Chemistry, ISBN: 0444529659 ISBN-13(EAN): 9780444529657 Издательство: Elsevier Science Рейтинг: Цена: 9350 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The third edition of Van Kampen's standard work has been revised and updated. The main difference with the second edition is that the contrived application of the quantum master equation in section 6 of chapter XVII has been replaced with a satisfactory treatment of quantum fluctuations. Apart from that throughout the text corrections have been made and a number of references to later developments have been included. From the recent textbooks the following are the most relevant.C.W.Gardiner, Quantum Optics (Springer, Berlin 1991)D.T. Gillespie, Markov Processes (Academic Press, San Diego 1992)W.T. Coffey, Yu.P.Kalmykov, and J.T.Waldron, The Langevin Equation (2nd edition, World Scientific, 2004)
Автор: Krickeberg, K., Ziezold, H. Название: Stochastische Methoden ISBN: 3540577920 ISBN-13(EAN): 9783540577928 Издательство: Springer Цена: 2180 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Im Vordergrund dieser v llig berarbeiteten und erweiterten Neuauflage stehen die eigentlichen "stochastischen" Ideen und ihre praktischen Anwendungen, insbesondere in der Statistik, ohne da mathematische Strenge und Sch nheit zu kurz kommen. ber die blichen Grundlagen hinaus finden sich Kapitel ber Simulation, nichtparametrische Statistik und Regressions- und Varianzanalyse, die in "geometrischer" Form dargestellt wird. Besonderer Anziehungspunkt dieses Buches ist die "genetische" Entwicklung der verschiedenen Typen von Wahrscheinlichkeitsverteilungen, ausgehend von der hypergeometrischen Verteilung, wie sie in nat rlicher Weise in der Stichprobentheorie auftritt. Au erdem wird auch das Thema "exakte" statistische Verfahren ausf hrlich behandelt, das insbesondere durch den Gebrauch von Rechenprogrammen immer wichtiger wird.
Описание: This book demonstrates the structural characteristics of the optimal control policies in various stochastic supply chains and to shows how to make use of these characteristics to construct easy-to-operate sub-optimal policies.
Автор: Karatzas Название: Brownian Motion and Stochastic Calculus ISBN: 0387976558 ISBN-13(EAN): 9780387976556 Издательство: Springer Рейтинг: Цена: 4670 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.
Автор: Da Prato Название: Stochastic Equations in Infinite Dimensions ISBN: 1107055849 ISBN-13(EAN): 9781107055841 Издательство: Cambridge Academ Рейтинг: Цена: 9366 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Now in its second edition, this book gives a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. In the first part the authors give a self-contained exposition of the basic properties of probability measure on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes. The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof. This revised edition includes two brand new chapters surveying recent developments in the area and an even more comprehensive bibliography, making this book an essential and up-to-date resource for all those working in stochastic differential equations.
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