| Vorliegende Sprache |
eng |
| Hinweise auf parallele Ausgaben |
118327259 Buchausg. u.d.T.: ‡Situ, Rong: Theory of stochastic differential equations with jumps and applications |
| ISBN |
978-0-387-25083-0 |
| Name |
Situ, Rong |
| T I T E L |
Theory of Stochastic Differential Equations with Jumps and Applications |
| Zusatz zum Titel |
Mathematical and Analytical Techniques with Applications to Engineering |
| Verlagsort |
Boston, MA |
| Verlag |
Springer Science+Business Media, Inc |
| Erscheinungsjahr |
2005 |
| 2005 |
| Umfang |
Online-Ressource (XX, 434 p, digital) |
| Reihe |
SpringerLink. Bücher |
| Notiz / Fußnoten |
Includes bibliographical references (p. [415]-430) and index |
| Weiterer Inhalt |
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; 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 |
| Titelhinweis |
Buchausg. u.d.T.: ‡Situ, Rong: Theory of stochastic differential equations with jumps and applications |
| ISBN |
ISBN 978-0-387-25175-2 |
| Klassifikation |
MAT003000 |
| *60-02 |
| 60H10 |
| TBJ |
| TEC009000 |
| 519.2 |
| 519 |
| 510 |
| TA329-348 |
| TA640-643 |
| SK 820 |
| Kurzbeschreibung |
Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere. |
| 2. Kurzbeschreibung |
Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere |
| 1. Schlagwortkette |
Stochastische Differentialgleichung |
| ANZEIGE DER KETTE |
Stochastische Differentialgleichung |
| 2. Schlagwortkette |
Stochastische Differentialgleichung |
| ANZEIGE DER KETTE |
Stochastische Differentialgleichung |
| SWB-Titel-Idn |
264333055 |
| Signatur |
Springer E-Book |
| Bemerkungen |
Elektronischer Volltext - Campuslizenz |
| Elektronische Adresse |
$uhttp://dx.doi.org/10.1007/b106901 |
| Internetseite / Link |
Volltext |
| Siehe auch |
Volltext |
| Siehe auch |
Cover |
| Siehe auch |
Inhaltstext |
