Stochastic Partial Differential Equations and Applications, Giuseppe Da Prato; Luciano Tubaro
Автор: Platen Название: Numerical Solution of Stochastic Differential Equations with Jumps in Finance ISBN: 3642120571 ISBN-13(EAN): 9783642120572 Издательство: Springer Рейтинг: Цена: 12717.00 р. 18167.00-30% Наличие на складе: Есть (1 шт.) Описание: It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability.
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.
Автор: Ramachandran, Kandethody M. Tsokos, Chris P. Название: Stochastic differential games. theory and applications ISBN: 9462390479 ISBN-13(EAN): 9789462390478 Издательство: Springer Рейтинг: Цена: 11173.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The subject theory is important in finance, economics, investment strategies, health sciences, environment, industrial engineering, etc.
Автор: Lototsky, Sergey V. Rozovsky, Boris L. Название: Stochastic partial differential equations ISBN: 3319586459 ISBN-13(EAN): 9783319586458 Издательство: Springer Рейтинг: Цена: 9781.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs.
Описание: This book analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the resulting mesoscopic equations in detail.
Автор: Y. Rozanov Название: Random Fields and Stochastic Partial Differential Equations ISBN: 0792349849 ISBN-13(EAN): 9780792349846 Издательство: Springer Рейтинг: Цена: 13275.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book considers some models described by means of partial differential equations and boundary conditions with chaotic stochastic disturbance. In a framework of stochastic partial differential equations an approach is suggested to generalize solutions of stochastic boundary problems.
Описание: This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics.
Описание: This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made.
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: 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: Olver Название: Applications of Lie Groups to Differential Equations ISBN: 0387950001 ISBN-13(EAN): 9780387950006 Издательство: Springer Рейтинг: Цена: 6841.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: A solid introduction to applications of Lie groups to differential equations which have proved to be useful in practice. Following an exposition of the applications, the book develops the underlying theory, with many of the topics presented in a novel way, emphasising explicit examples and computations.
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