Theory of Stochastic Differential Equations with Jumps and Applications

This book PDF is perfect for those who love Technology & Engineering genre, written by Rong SITU and published by Springer Science & Business Media which was released on 06 May 2006 with total hardcover pages 444. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Theory of Stochastic Differential Equations with Jumps and Applications books below.

Theory of Stochastic Differential Equations with Jumps and Applications

Author	: Rong SITU
File Size	: 50,8 Mb
Publisher	: Springer Science & Business Media
Language	: English
Release Date	: 06 May 2006
ISBN	: 9780387251752
Pages	: 444 pages

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Theory of Stochastic Differential Equations with Jumps and Applications by Rong SITU Book PDF Summary

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.

Theory of Stochastic Differential Equations with Jumps and Applications by Rong SITU

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Reflecting Stochastic Differential Equations with Jumps and Applications by Situ Rong

Many important physical variables satisfy certain dynamic evolution systems and can take only non-negative values. Therefore, one can study such variables by studying these dynamic systems. One can put some conditions on the coefficients to ensure non-negative values in deterministic cases. However, as a random process disturbs the system, the

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Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications by Łukasz Delong

Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and

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Numerical Solution of Stochastic Differential Equations by Peter E. Kloeden,Eckhard Platen

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many

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Stochastic Differential Equations by Ludwig Arnold

Fundamentals of probability theory; Markov processes and diffusion processes; Wiener process and white noise; Stochastic integrals; The stochastic integral as a stochastic process, stochastic differentials; Stochastic differential equations, existence and uniqueness of solutions; Properties of the solutions of stochastic differential equations; Linear stochastic differentials equations; The solutions of stochastic differentail

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Stochastic Calculus of Variations by Yasushi Ishikawa

This book is a concise introduction to the stochastic calculus of variations for processes with jumps. The author provides many results on this topic in a self-contained way for e.g., stochastic differential equations (SDEs) with jumps. The book also contains some applications of the stochastic calculus for processes with

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Numerical Solution of Stochastic Differential Equations with Jumps in Finance by Eckhard Platen,Nicola Bruti-Liberati

In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution

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Stochastic Differential Equations by Bernt Oksendal

From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these

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