An Informal Introduction to Stochastic Calculus with Applications: Second Edition, Ovidiu Calin

Автор: Calin Ovidiu
Название: Informal Introduction To Stochastic Calculus With Applications, An
ISBN: 9814689912 ISBN-13(EAN): 9789814689915
Издательство: World Scientific Publishing
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Цена: 42240.00 T
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Описание: The Goal Of This Book Is To Present Stochastic Calculus At An Introductory Level And Not At Its Maximum Mathematical Detail. The Author Aims To Capture As Much As Possible The Spirit Of Elementary Deterministic Calculus, At Which Students Have Been Already Exposed. This Assumes A Presentation That Mimics Similar Properties Of Deterministic Calculus, Which Facilitates Understanding Of More Complicated Topics Of Stochastic Calculus.

Автор: Calin Ovidiu
Название: Informal Introduction To Stochastic Calculus With Applications, An
ISBN: 9814678937 ISBN-13(EAN): 9789814678933
Издательство: World Scientific Publishing
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Цена: 85530.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The Goal Of This Book Is To Present Stochastic Calculus At An Introductory Level And Not At Its Maximum Mathematical Detail. The Author Aims To Capture As Much As Possible The Spirit Of Elementary Deterministic Calculus, At Which Students Have Been Already Exposed. This Assumes A Presentation That Mimics Similar Properties Of Deterministic Calculus, Which Facilitates Understanding Of More Complicated Topics Of Stochastic Calculus.

Автор: Klebaner Fima C
Название: Introduction to Stochastic Calculus with Applications
ISBN: 1848168322 ISBN-13(EAN): 9781848168329
Издательство: World Scientific Publishing
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Цена: 50690.00 T
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Описание: Presents a treatment of stochastic calculus. This title gives its main applications in finance, biology and engineering. It presents the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability.

Автор: Klebaner Fima C
Название: Introduction To Stochastic Calculus With Applications (3Rd Edition)
ISBN: 1848168314 ISBN-13(EAN): 9781848168312
Издательство: World Scientific Publishing
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Цена: 85530.00 T
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Описание: Presents a treatment of stochastic calculus. This title gives its main applications in finance, biology and engineering. It presents the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability.

Автор: Karatzas
Название: Brownian Motion and Stochastic Calculus
ISBN: 0387976558 ISBN-13(EAN): 9780387976556
Издательство: Springer
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Цена: 46540.00 T
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Описание: This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

Автор: Capasso Vincenzo, Bakstein David
Название: An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine
ISBN: 3030696529 ISBN-13(EAN): 9783030696528
Издательство: Springer
Цена: 51230.00 T
Наличие на складе: Невозможна поставка.
Описание: This textbook, now in its fourth edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations.

Автор: Lord
Название: An Introduction to Computational Stochastic PDEs
ISBN: 0521899907 ISBN-13(EAN): 9780521899901
Издательство: Cambridge Academ
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Цена: 121440.00 T
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Описание: This comprehensive introduction to stochastic partial differential equations incorporates the effects of randomness into real-world models, offering graduate students and researchers powerful tools for understanding uncertainty quantification for risk analysis. MATLAB (R) codes are included, so that readers can perform computations themselves and solve the test problems discussed.

Автор: Lord
Название: An Introduction to Computational Stochastic PDEs
ISBN: 0521728525 ISBN-13(EAN): 9780521728522
Издательство: Cambridge Academ
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Цена: 60190.00 T
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Описание: This comprehensive introduction to stochastic partial differential equations incorporates the effects of randomness into real-world models, offering graduate students and researchers powerful tools for understanding uncertainty quantification for risk analysis. MATLAB (R) codes are included, so that readers can perform computations themselves and solve the test problems discussed.

Название: Stochastic Calculus and Applications
ISBN: 149392866X ISBN-13(EAN): 9781493928668
Издательство: Springer
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Цена: 65210.00 T
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Описание: Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance.

Автор: Meyer, Michael
Название: Continuous Stochastic Calculus with Applications to Finance
ISBN: 0367455439 ISBN-13(EAN): 9780367455439
Издательство: Taylor&Francis
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Цена: 63280.00 T
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Описание: The prolonged boom in the U.S. and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all of the tools rea

Автор: Claude Le Bris, Pierre-Louis Lions
Название: Parabolic Equations with Irregular Data and Related Issues: Applications to Stochastic Differential Equations
ISBN: 3110633132 ISBN-13(EAN): 9783110633139
Издательство: Walter de Gruyter
Цена: 107790.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The series is devoted to the publication of high-level monographs and specialized graduate texts which cover the whole spectrum of applied mathematics, including its numerical aspects. The focus of the series is on the interplay between mathematical and numerical analysis, and also on its applications to mathematical models in the physical and life sciences. The aim of the series is to be an active forum for the dissemination of up-to-date information in the form of authoritative works that will serve the applied mathematics community as the basis for further research. Editorial Board Remi Abgrall, Universitat Zurich, Switzerland Jose Antonio Carrillo de la Plata, Imperial College London, UK Jean-Michel Coron, Universite Pierre et Marie Curie, Paris, France Athanassios S. Fokas, Cambridge University, UK Irene Fonseca, Carnegie Mellon University, Pittsburgh, USA

Автор: Desmond J. Higham, Peter E. Kloeden
Название: An Introduction to the Numerical Simulation of Stochastic Differential Equations
ISBN: 1611976421 ISBN-13(EAN): 9781611976427
Издательство: Mare Nostrum (Eurospan)
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Цена: 66050.00 T
Наличие на складе: Нет в наличии.
Описание: This book provides a lively and accessible introduction to the numerical solution of stochastic differential equations with the aim of making this subject available to the widest possible readership. It presents an outline of the underlying convergence and stability theory while avoiding technical details. Key ideas are illustrated with numerous computational examples and computer code is listed at the end of each chapter. The authors include 150 exercises, with solutions available online, and 40 programming tasks.Although introductory, the book covers a range of modern research topics, including It? versus Stratonovich calculus, implicit methods, stability theory, nonconvergence on nonlinear problems, multilevel Monte Carlo, approximation of double stochastic integrals, and tau leaping for chemical and biochemical reaction networks.An Introduction to the Numerical Simulation of Stochastic Differential Equations is appropriate for undergraduates and postgraduates in mathematics, engineering, physics, chemistry, finance, and related disciplines, as well as researchers in these areas. The material assumes only a competence in algebra and calculus at the level reached by a typical first-year undergraduate mathematics class, and prerequisites are kept to a minimum. Some familiarity with basic concepts from numerical analysis and probability is also desirable but not necessary.