Stochastic Models with Power-Law Tails, Dariusz Buraczewski; Ewa Damek; Thomas Mikosch
Автор: Oksendal Название: Stochastic Differential Equations ISBN: 3540047581 ISBN-13(EAN): 9783540047582 Издательство: Springer Рейтинг: Цена: 8223.00 р. Наличие на складе: Есть (1 шт.) Описание: Gives an introduction to the basic theory of stochastic calculus and its applications. This book offers examples in order to motivate and illustrate the theory and show its importance for many applications in for example economics, biology and physics.
Описание: Shows how the tools of stochastic control can be applied to dynamic problems of decision making under uncertainty when fixed costs are present. This book provides a treatment of two types of models, impulse and instantaneous control. It is suitable for graduate students and researchers in macroeconomics.
Автор: Gulisashvili Название: Analytically Tractable Stochastic Stock Price Models ISBN: 3642312136 ISBN-13(EAN): 9783642312137 Издательство: Springer Цена: 5576.00 р. 7965.00-30% Наличие на складе: Есть (1 шт.) Описание: For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.
Автор: Buraczewski Название: Stochastic Models with Power-Law Tails ISBN: 3319296787 ISBN-13(EAN): 9783319296784 Издательство: Springer Рейтинг: Цена: 16769.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: In this monograph the authors give a systematic approach to theprobabilistic properties of the fixed point equation X=AX+B. Aprobabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_tfor real- and matrix-valued random variables A_t, where (A_t,B_t) constitute aniid sequence, is provided. The classical theory for these equations, includingthe existence and uniqueness of a stationary solution, the tail behavior withspecial emphasis on power law behavior, moments and support, is presented. Theauthors collect recent asymptotic results on extremes, point processes, partialsums (central limit theory with special emphasis on infinite variance stablelimit theory), large deviations, in the univariate and multivariate cases, andthey further touch on the related topics of smoothing transforms, regularlyvarying sequences and random iterative systems.The text gives an introduction to the Kesten-Goldie theory forstochastic recurrence equations of the type X_t=A_tX_{t-1}+B_t. It provides the classical results ofKesten, Goldie, Guivarc'h, and others, and gives an overview of recentresults on the topic. It presents the state-of-the-art results in the field ofaffine stochastic recurrence equations and shows relations with non-affinerecursions and multivariate regular variation.
Описание: This book is an up-to-date, unified and rigorous treatment of theoretical, computational and applied research on Markov decision process models. The concentration of the book is on infinite-horizon discrete-time models, and it also discusses arbitrary state spaces, finite-horizon and continuous-time discrete-state models.
Автор: Harrison Название: Brownian Models of Performance and Control ISBN: 1107018390 ISBN-13(EAN): 9781107018396 Издательство: Cambridge Academ Рейтинг: Цена: 7286.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book from one of the field`s leaders covers Brownian motion and stochastic calculus at the graduate level, and illustrates the use of that theory in various application domains, emphasizing business and economics. Aimed at non-mathematicians who build and analyze stochastic models, it contains many concrete formulas and worked examples.
Автор: Karatzas Название: Brownian Motion and Stochastic Calculus ISBN: 0387976558 ISBN-13(EAN): 9780387976556 Издательство: Springer Рейтинг: Цена: 6981.00 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.
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