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Applied Stochastic Control of Jump Diffusions
The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump …
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 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 Differential Equations
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 …
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 …
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 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 …
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 Partial Differential Equations
This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some …
Stochastic Analysis and Related Topics VI
This volume contains the contributions of the participants of the Sixth Oslo-Silivri Workshop on Stochastic Analysis, held in Geilo from July 29 to August 6, 1996. There are two …
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 …