Stochastic differential games. theory and applications, Ramachandran, Kandethody M. Tsokos, Chris P.
Автор: Shreve Название: Stochastic Calculus for Finance I ISBN: 0387401008 ISBN-13(EAN): 9780387401003 Издательство: Springer Рейтинг: Цена: 8384.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Developed for the professional Master`s program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several yearsExercises conclude every chapter;
Описание: In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems.
Автор: Giuseppe Da Prato; Luciano Tubaro Название: Stochastic Partial Differential Equations and Applications ISBN: 3540172114 ISBN-13(EAN): 9783540172116 Издательство: Springer Рейтинг: Цена: 6288.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Автор: David Betounes Название: Differential Equations: Theory and Applications ISBN: 1489982655 ISBN-13(EAN): 9781489982650 Издательство: Springer Рейтинг: Цена: 9077.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a comprehensive introduction to the theory of ordinary differential equations with a focus on mechanics and dynamical systems as important applications of the theory. It also features a complete collection of proofs for the major theorems.
Описание: This research monograph brings together, for the first time, the varied literature on Yosida approximations of stochastic differential equations (SDEs) in infinite dimensions and their applications into a single cohesive work. The author provides a clear and systematic introduction to the Yosida approximation method and justifies its power by presenting its applications in some practical topics such as stochastic stability and stochastic optimal control. The theory assimilated spans more than 35 years of mathematics, but is developed slowly and methodically in digestible pieces.The book begins with a motivational chapter that introduces the reader to several different models that play recurring roles throughout the book as the theory is unfolded, and invites readers from different disciplines to see immediately that the effort required to work through the theory that follows is worthwhile. From there, the author presents the necessary prerequisite material, and then launches the reader into the main discussion of the monograph, namely, Yosida approximations of SDEs, Yosida approximations of SDEs with Poisson jumps, and their applications. Most of the results considered in the main chapters appear for the first time in a book form, and contain illustrative examples on stochastic partial differential equations. The key steps are included in all proofs, especially the various estimates, which help the reader to get a true feel for the theory of Yosida approximations and their use.This work is intended for researchers and graduate students in mathematics specializing in probability theory and will appeal to numerical analysts, engineers, physicists and practitioners in finance who want to apply the theory of stochastic evolution equations. Since the approach is based mainly in semigroup theory, it is amenable to a wide audience including non-specialists in stochastic processes.
Описание: This book will help make backward stochastic differential equations (BSDEs) more accessible to those interested in applying these equations to actuarial and financial problems.
Автор: Boris L. Rozovskii; Richard B. Sowers Название: Stochastic Partial Differential Equations and Their Applications ISBN: 3540552928 ISBN-13(EAN): 9783540552925 Издательство: Springer Рейтинг: Цена: 12157.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The main topics for discussion at the confe-rence were: non-linear SPDE`s and Markov property for randomfields, modern stochastic calculuses, numerical and asympto-tic methods for SPDE`s, applications of SPDE`s with emphasisonnon-linear filtering, stochastic control and statisticalfluid dynamics.
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