Nonlinear Expectations and Stochastic Calculus under Uncertainty, Shige Peng
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;
Автор: Boling Guo, Hongjun Gao, Xueke Pu Название: Stochastic PDEs and Dynamics ISBN: 3110495104 ISBN-13(EAN): 9783110495102 Издательство: Walter de Gruyter Рейтинг: Цена: 18586.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book explains mathematical theories of a collection of stochastic partial differential equations and their dynamical behaviors. Based on probability and stochastic process, the authors discuss stochastic integrals, Ito formula and Ornstein-Uhlenbeck processes, and introduce theoretical framework for random attractors. With rigorous mathematical deduction, the book is an essential reference to mathematicians and physicists in nonlinear science. Contents: PreliminariesThe stochastic integral and It formulaOU processes and SDEsRandom attractorsApplicationsBibliographyIndex
Описание: Chapter five contains examples of using ecological Life Cycle Assessment (LCA) - a relatively new method of environmental impact assessment - which help in preparing pro-ecological strategy, and which can lead to reducing the amount of wastes produced in the ArcelorMittal Steel Plant production processes.
Описание: Optimization problems whose constraints involve partial differential equations (PDEs) are relevant in many areas of technical, industrial, and economic app- cations. At the same time, they pose challenging mathematical research problems in numerical analysis and optimization. The present text is among the ?rst in the research literature addressing stochastic uncertainty in the context of PDE constrained optimization. The focus is on shape optimization for elastic bodies under stochastic loading. Analogies to ?nite dim- sional two-stage stochastic programming drive the treatment, with shapes taking the role of nonanticipative decisions.The main results concern level set-based s- chastic shape optimization with gradient methods involving shape and topological derivatives. The special structure of the elasticity PDE enables the numerical - lution of stochastic shape optimization problems with an arbitrary number of s- narios without increasing the computational effort signi?cantly. Both risk neutral and risk averse models are investigated. This monograph is based on a doctoral dissertation prepared during 2004-2008 at the Chair of Discrete Mathematics and Optimization in the Department of Ma- ematics of the University of Duisburg-Essen. The work was supported by the Deutsche Forschungsgemeinschaft (DFG) within the Priority Program "Optimi- tion with Partial Differential Equations." Rudiger Schultz Acknowledgments I owe a great deal to my supervisors, colleagues, and friends who have always supported, encouraged, andenlightenedmethroughtheirownresearch, comments, and questions.
Автор: Stroock, Daniel W. Название: Elements of stochastic calculus and analysis ISBN: 3319770373 ISBN-13(EAN): 9783319770376 Издательство: Springer Рейтинг: Цена: 7965.00 р. Наличие на складе: Поставка под заказ.
Описание: This book gives a somewhat unconventional introduction to stochastic analysis.
Автор: Shoumei Li; Xia Wang; Yoshiaki Okazaki; Jun Kawabe Название: Nonlinear Mathematics for Uncertainty and its Applications ISBN: 3662520389 ISBN-13(EAN): 9783662520383 Издательство: Springer Рейтинг: Цена: 45712.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: From the content: Ordinal Preference Models Based on S-Integrals and Their Verification.- Strong Laws of Large Numbers for Bernoulli Experiments under Ambiguity.- Comparative Risk Aversion for g-Expected Utility Maximizers.- Riesz Type Integral Representations for Comonotonically Additive Functionals.- Pseudo-Concave Integrals.- On Spaces of Bochner and Pettis Integrable Functions and Their Set-Valued Counterparts.- Upper Derivatives of Set Functions Represented as the Choquet Indefinite Integral.- On Regularity for Non-Additive Measure.
Автор: Jun Hu; Zidong Wang; Huijun Gao Название: Nonlinear Stochastic Systems with Network-Induced Phenomena ISBN: 3319359290 ISBN-13(EAN): 9783319359298 Издательство: Springer Рейтинг: Цена: 14365.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Introduction.- Recursive Filtering for Time-Varying Nonlinear Systems with Stochastic Nonlinearities, Multiple Missing Measurements and Quantized Effects.- Recursive Filtering with Random Parameter Matrices, Multiple Fading Measurements, Probabilistic Sensor Delays, Correlated Noises and Gain-Constraint.- Probability-Guaranteed H-infinity Finite-Horizon Filtering for a Class of Nonlinear Time-Varying Systems with Sensor Saturations.- H-infinity Sliding-Mode Observer Design for a Class of Nonlinear Time-Delay Systems.- Robust Sliding-Mode Control for Uncertain Stochastic Systems with Time-Varying Delays, Randomly-Occurring Nonlinearities and Stochastic Nonlinearities.- Robust Sliding-Mode Control for Stochastic Systems with Randomly-Occurring Uncertainties, Randomly Occurring Nonlinearities, Mixed Time Delays and Markovian Jumping Parameters.- Conclusions and Future Work.
Описание: The first two chapters are devoted to the basic theory of nonlinear functions of stationary Gaussian processes, Hermite polynomials, cumulants and higher order spectra, multiple Wiener-Ito integrals and finally chaotic Wiener-Ito spectral representation of subordinated processes.
Автор: S.K. Mitter; A. Moro Название: Nonlinear Filtering and Stochastic Control ISBN: 3540119760 ISBN-13(EAN): 9783540119760 Издательство: Springer Рейтинг: Цена: 4884.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Автор: L. Arnold; R. Lefever Название: Stochastic Nonlinear Systems in Physics, Chemistry, and Biology ISBN: 3642680402 ISBN-13(EAN): 9783642680403 Издательство: Springer Рейтинг: Цена: 12577.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The workshop brought some 25 physicists, chemists, and biologists - who deal with stochastic phenomena - and about an equal number of mathematicians - who are experts in the theory of stochastic processes - together.
Автор: Mikosch, Thomas Название: Elementary Stochastic Calculus, with Finance in View ISBN: 9810235437 ISBN-13(EAN): 9789810235437 Издательство: World Scientific Publishing Рейтинг: Цена: 7603.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: An elementary introduction to modelling with Ito integral or stochastic differential equations, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived.
Автор: Bo Shen; Zidong Wang; Huisheng Shu Название: Nonlinear Stochastic Systems with Incomplete Information ISBN: 1447160002 ISBN-13(EAN): 9781447160007 Издательство: Springer Рейтинг: Цена: 16977.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Nonlinear Stochastic Processes shows the reader how to deal with the issue of network-induced incomplete information. It presents a unified framework for filtering and control problems in complex communication networks with limited bandwidth.
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