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

Автор: Platen
Название: Numerical Solution of Stochastic Differential Equations with Jumps in Finance
ISBN: 3642120571 ISBN-13(EAN): 9783642120572
Издательство: Springer
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Цена: 84780.00 T
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Описание: It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability.

Автор: Rong SITU
Название: Theory of Stochastic Differential Equations with Jumps and Applications
ISBN: 1441937714 ISBN-13(EAN): 9781441937711
Издательство: Springer
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Цена: 174130.00 T
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Описание: 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.

Автор: Xie
Название: Differential Equations for Engineers
ISBN: 1107632951 ISBN-13(EAN): 9781107632950
Издательство: Cambridge Academ
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Цена: 63360.00 T
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Описание: Xie presents a systematic introduction to differential equations for engineering students. The relevance of differential equations in engineering applications motivates readers, and studies of various types of differential equations are determined by engineering applications. The theory and techniques for solving differential equations are then applied to solve practical engineering problems.

Автор: ?ukasz Delong
Название: Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
ISBN: 1447153308 ISBN-13(EAN): 9781447153306
Издательство: Springer
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Цена: 46570.00 T
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Описание: This book will help make backward stochastic differential equations (BSDEs) more accessible to those interested in applying these equations to actuarial and financial problems.

Автор: Zhongqiang Zhang; George Em Karniadakis
Название: Numerical Methods for Stochastic Partial Differential Equations with White Noise
ISBN: 3319575104 ISBN-13(EAN): 9783319575100
Издательство: Springer
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Цена: 102480.00 T
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Описание: This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made.

Автор: Joseph L. McCauley
Название: Stochastic Calculus and Differential Equations for Physics and Finance
ISBN: 0521763401 ISBN-13(EAN): 9780521763400
Издательство: Cambridge Academ
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Цена: 132000.00 T
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Описание: Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice.

Автор: Xiaoying Han; Peter E. Kloeden
Название: Random Ordinary Differential Equations and Their Numerical Solution
ISBN: 9811062641 ISBN-13(EAN): 9789811062643
Издательство: Springer
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Цена: 93160.00 T
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Описание: This book is intended to make recent results on the derivation of higher order numerical schemes for random ordinary differential equations (RODEs) available to a broader readership, and to familiarize readers with RODEs themselves as well as the closely associated theory of random dynamical systems.

Автор: Protter Philip E.
Название: Stochastic Integration and Differential Equations / Second Edition, Version 2.1
ISBN: 3540003134 ISBN-13(EAN): 9783540003137
Издательство: Springer
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Цена: 79190.00 T
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Описание: Includes the proof of the fundamental Doob-Meyer decomposition theorem. This book contains the more general version of the Girsanov theorem due to Lenglart and martingale representation, including both the Jacod-Yor theory and Emery`s examples of martingales that actually have martingale representation.

Автор: Giuseppe Da Prato; Luciano Tubaro
Название: Stochastic Partial Differential Equations and Applications
ISBN: 3540172114 ISBN-13(EAN): 9783540172116
Издательство: Springer
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Цена: 41920.00 T
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Автор: Lototsky, Sergey V. Rozovsky, Boris L.
Название: Stochastic partial differential equations
ISBN: 3319586459 ISBN-13(EAN): 9783319586458
Издательство: Springer
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Цена: 65210.00 T
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Описание: Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs.