Filter
Anvendt matematikk
Filter
This edition contains detailed solutions of selected exercises. Many readers have requested this, because it makes the book more suitable for self-study. At the same time new …
In this revised and extended version of his course notes from a 1-year course at Scuola Normale Superiore, Pisa, the author provides an introduction – for an audience knowing basic …
The purpose of this book is to give a streamlined introduction to the theory of (not necessarily symmetric) Dirichlet forms on general state spaces. It includes both the analytic …
We have made small changes throughout the book, including the exercises, and we have tried to correct if not all, then at least most of the typos. We wish to thank the many …
Addressed to both pure and applied probabilitists, including graduate students, this text is a pedagogically-oriented introduction to the Schwartz-Meyer second-order geometry and …
There are already several excellent books on Malliavin calculus. However, most of them deal only with the theory of Malliavin calculus for Brownian motion, with [35] as an …
Since 1972 and the appearance of the famous Black & Scholes option pric ing formula, derivatives have become an integrated part of everyday life in the financial industry. Options …
The numerical solution of stochastic differential equations is becoming an in dispensible worktool in a multitude of disciplines, bridging a long-standing gap between the well …
Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their …
Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this …