Nonlinear Expectations and Stochastic Calculus under Uncertainty, Shige Peng

Автор: Shreve
Название: Stochastic Calculus for Finance I
ISBN: 0387401008 ISBN-13(EAN): 9780387401003
Издательство: Springer
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Описание: Developed for the professional Master`s program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several yearsExercises conclude every chapter;

Автор: Boling Guo, Hongjun Gao, Xueke Pu
Название: Stochastic PDEs and Dynamics
ISBN: 3110495104 ISBN-13(EAN): 9783110495102
Издательство: Walter de Gruyter
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Описание: This book explains mathematical theories of a collection of stochastic partial differential equations and their dynamical behaviors. Based on probability and stochastic process, the authors discuss stochastic integrals, Ito formula and Ornstein-Uhlenbeck processes, and introduce theoretical framework for random attractors. With rigorous mathematical deduction, the book is an essential reference to mathematicians and physicists in nonlinear science. Contents: PreliminariesThe stochastic integral and It formulaOU processes and SDEsRandom attractorsApplicationsBibliographyIndex

Автор: Bogus?aw Bieda
Название: Stochastic Analysis in Production Process and Ecology Under Uncertainty
ISBN: 3642427804 ISBN-13(EAN): 9783642427800
Издательство: Springer
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Описание: Chapter five contains examples of using ecological Life Cycle Assessment (LCA) - a relatively new method of environmental impact assessment - which help in preparing pro-ecological strategy, and which can lead to reducing the amount of wastes produced in the ArcelorMittal Steel Plant production processes.

Автор: Harald Held
Название: Shape Optimization under Uncertainty from a Stochastic Programming Point of View
ISBN: 3834809098 ISBN-13(EAN): 9783834809094
Издательство: Springer
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Цена: 97820.00 T
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Описание: Optimization problems whose constraints involve partial differential equations (PDEs) are relevant in many areas of technical, industrial, and economic app- cations. At the same time, they pose challenging mathematical research problems in numerical analysis and optimization. The present text is among the ?rst in the research literature addressing stochastic uncertainty in the context of PDE constrained optimization. The focus is on shape optimization for elastic bodies under stochastic loading. Analogies to ?nite dim- sional two-stage stochastic programming drive the treatment, with shapes taking the role of nonanticipative decisions.The main results concern level set-based s- chastic shape optimization with gradient methods involving shape and topological derivatives. The special structure of the elasticity PDE enables the numerical - lution of stochastic shape optimization problems with an arbitrary number of s- narios without increasing the computational effort signi?cantly. Both risk neutral and risk averse models are investigated. This monograph is based on a doctoral dissertation prepared during 2004-2008 at the Chair of Discrete Mathematics and Optimization in the Department of Ma- ematics of the University of Duisburg-Essen. The work was supported by the Deutsche Forschungsgemeinschaft (DFG) within the Priority Program "Optimi- tion with Partial Differential Equations." Rudiger Schultz Acknowledgments I owe a great deal to my supervisors, colleagues, and friends who have always supported, encouraged, andenlightenedmethroughtheirownresearch, comments, and questions.

Автор: Stroock, Daniel W.
Название: Elements of stochastic calculus and analysis
ISBN: 3319770373 ISBN-13(EAN): 9783319770376
Издательство: Springer
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Цена: 53100.00 T
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Описание: This book gives a somewhat unconventional introduction to stochastic analysis.

Автор: H.Y. Hu; E. Kreuzer
Название: IUTAM Symposium on Dynamics and Control of Nonlinear Systems with Uncertainty
ISBN: 9401776431 ISBN-13(EAN): 9789401776431
Издательство: Springer
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Цена: 111790.00 T
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Описание: This is a state-of-the-art treatise on the problems of both nonlinearity and uncertainty in the dynamics and control of engineering systems. The concept of dynamics and control implies the combination of dynamic analysis and control synthesis.

Автор: Bo Shen; Zidong Wang; Huisheng Shu
Название: Nonlinear Stochastic Systems with Incomplete Information
ISBN: 1447160002 ISBN-13(EAN): 9781447160007
Издательство: Springer
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Цена: 113180.00 T
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Описание: Nonlinear Stochastic Processes shows the reader how to deal with the issue of network-induced incomplete information. It presents a unified framework for filtering and control problems in complex communication networks with limited bandwidth.

Автор: Jun Hu; Zidong Wang; Huijun Gao
Название: Nonlinear Stochastic Systems with Network-Induced Phenomena
ISBN: 3319359290 ISBN-13(EAN): 9783319359298
Издательство: Springer
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Цена: 95770.00 T
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Описание: Introduction.- Recursive Filtering for Time-Varying Nonlinear Systems with Stochastic Nonlinearities, Multiple Missing Measurements and Quantized Effects.- Recursive Filtering with Random Parameter Matrices, Multiple Fading Measurements, Probabilistic Sensor Delays, Correlated Noises and Gain-Constraint.- Probability-Guaranteed H-infinity Finite-Horizon Filtering for a Class of Nonlinear Time-Varying Systems with Sensor Saturations.- H-infinity Sliding-Mode Observer Design for a Class of Nonlinear Time-Delay Systems.- Robust Sliding-Mode Control for Uncertain Stochastic Systems with Time-Varying Delays, Randomly-Occurring Nonlinearities and Stochastic Nonlinearities.- Robust Sliding-Mode Control for Stochastic Systems with Randomly-Occurring Uncertainties, Randomly Occurring Nonlinearities, Mixed Time Delays and Markovian Jumping Parameters.- Conclusions and Future Work.

Автор: L. Arnold; R. Lefever
Название: Stochastic Nonlinear Systems in Physics, Chemistry, and Biology
ISBN: 3642680402 ISBN-13(EAN): 9783642680403
Издательство: Springer
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Описание: The workshop brought some 25 physicists, chemists, and biologists - who deal with stochastic phenomena - and about an equal number of mathematicians - who are experts in the theory of stochastic processes - together.

Автор: Jorg-Uwe Lobus
Название: Absolute Continuity Under Time Shift of Trajectories and Related Stochastic Calculus
ISBN: 147042603X ISBN-13(EAN): 9781470426033
Издательство: Mare Nostrum (Eurospan)
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Цена: 74850.00 T
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Описание: The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A?A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process.

Автор: Mikosch, Thomas
Название: Elementary Stochastic Calculus, with Finance in View
ISBN: 9810235437 ISBN-13(EAN): 9789810235437
Издательство: World Scientific Publishing
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Описание: An elementary introduction to modelling with Ito integral or stochastic differential equations, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived.

Автор: Shoumei Li; Xia Wang; Yoshiaki Okazaki; Jun Kawabe
Название: Nonlinear Mathematics for Uncertainty and its Applications
ISBN: 3662520389 ISBN-13(EAN): 9783662520383
Издательство: Springer
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Цена: 304750.00 T
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Описание: From the content: Ordinal Preference Models Based on S-Integrals and Their Verification.- Strong Laws of Large Numbers for Bernoulli Experiments under Ambiguity.- Comparative Risk Aversion for g-Expected Utility Maximizers.- Riesz Type Integral Representations for Comonotonically Additive Functionals.- Pseudo-Concave Integrals.- On Spaces of Bochner and Pettis Integrable Functions and Their Set-Valued Counterparts.- Upper Derivatives of Set Functions Represented as the Choquet Indefinite Integral.- On Regularity for Non-Additive Measure.