Søkt på: Søkeresultat
totalt 10 treff
Stochastic Analysis and Applications
Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic …
Stochastic Partial Differential Equations
The first edition of Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach, gave a comprehensive introduction to SPDEs. In this, the second …
Stochastic Calculus for Fractional Brownian Motion and Applications
Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm …
Stochastic Analysis and Related Topics VII
One of the most challenging subjects of stochastic analysis in relation to physics is the analysis of heat kernels on infinite dimensional manifolds. The simplest nontrivial case …
Applied Stochastic Control of Jump Diffusions
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. …
Stochastic Differential Equations
The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on applications to mathematical finance. I found it natural to include this material as …
Advanced Mathematical Methods for Finance
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected …
Stochastic Analysis and Related Topics VI
Malliavin Calculus for Levy Processes with Applications to Finance
This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the …
Applied Stochastic Control of Jump Diffusions
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. …