Theory of Stochastic Differential Equations with Jumps and Applications
Mathematical and Analytical Techniques with Applications to Engineering
Besorgungstitel - wird vorgemerkt | Lieferzeit: Besorgungstitel - Lieferbar innerhalb von 10 Werktagen I
338,25 €*
Alle Preise inkl. MwSt.|Versandkostenfrei
ISBN-13:
9780387250830
Veröffentl:
2005
Erscheinungsdatum:
20.04.2005
Seiten:
434
Autor:
Rong Situ
Gewicht:
812 g
Format:
234x156x25 mm
Sprache:
Englisch
Beschreibung:
This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito's differential rule (the so-called Ito formula), to solve the SDEs, and to establish Girsanov's theorem and obtain weak solutions of SDEs. It also shows how to solve the filtering problem, to establish the martingale representation theorem, to solve the option pricing problem in a financial market, and to obtain the famous Black-Scholes formula, along with other results.
Derivation of Ito's formulas, Girsanov's theorems and martingale representation theorem for stochastic DEs with jumps
Stochastic Differential Equations with Jumps in Rd.- Martingale Theory and the Stochastic Integral for Point Processes.- Brownian Motion, Stochastic Integral and Ito's Formula.- Stochastic Differential Equations.- Some Useful Tools in Stochastic Differential Equations.- Stochastic Differential Equations with Non-Lipschitzian Coefficients.- Applications.- How to Use the Stochastic Calculus to Solve SDE.- Linear and Non-linear Filtering.- Option Pricing in a Financial Market and BSDE.- Optimal Consumption by H-J-B Equation and Lagrange Method.- Comparison Theorem and Stochastic Pathwise Control.- Stochastic Population Control and Reflecting SDE.- Maximum Principle for Stochastic Systems with Jumps.
Kunden Rezensionen
Mehr zum Thema
Folgen Sie uns auf:
