Brownian Motion: A Guide to Random Processes and Stochastic Calculus, Rene L. Schilling
Автор: Karatzas Название: Brownian Motion and Stochastic Calculus ISBN: 0387976558 ISBN-13(EAN): 9780387976556 Издательство: Springer Рейтинг: Цена: 46540.00 T Наличие на складе: Есть у поставщика Поставка под заказ. 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: Rene L. Schilling, Lothar Partzsch Название: Brownian Motion: An Introduction to Stochastic Processes ISBN: 3110307294 ISBN-13(EAN): 9783110307290 Издательство: Walter de Gruyter Цена: 42450.00 T Наличие на складе: Нет в наличии. Описание: Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance. Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors’ aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs. This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.
Автор: Biagini, Francesca Hu, Yaozhong Oksendal, Bernt Zh Название: Stochastic calculus for fractional brownian motion and applications ISBN: 1852339969 ISBN-13(EAN): 9781852339968 Издательство: Springer Рейтинг: Цена: 102480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This book presents an account of different definitions of stochastic integration for fBm, and to give applications of the resulting theory. It is suitable for students of mathematics, biology, and meteorology.
Автор: Schilling Renй L. Название: Brownian Motion: A Guide to Random Processes and Stochastic Calculus ISBN: 3110741253 ISBN-13(EAN): 9783110741254 Издательство: Walter de Gruyter Рейтинг: Цена: 65280.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Stochastic processes occur everywhere in the sciences, economics and engineering, and they need to be understood by (applied) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian motion plays a special role, since it shaped the whole subject, displays most random phenomena while being still easy to treat, and is used in many real-life models. Im this new edition, much material is added, and there are new chapters on ''Wiener Chaos and Iterated Itф Integrals'' and ''Brownian Local Times''.
Автор: Le Gall, Jean-francois Название: Brownian motion, martingales, and stochastic calculus ISBN: 3319310887 ISBN-13(EAN): 9783319310886 Издательство: Springer Рейтинг: Цена: 53100.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales.
Автор: Peng Shige Название: Nonlinear Expectations and Stochastic Calculus Under Uncertainty: With Robust Clt and G-Brownian Motion ISBN: 3662599058 ISBN-13(EAN): 9783662599051 Издательство: Springer Рейтинг: Цена: 111790.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations.
Автор: Francesca Biagini; Yaozhong Hu; Bernt ?ksendal; Tu Название: Stochastic Calculus for Fractional Brownian Motion and Applications ISBN: 1849969949 ISBN-13(EAN): 9781849969949 Издательство: Springer Рейтинг: Цена: 79190.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory.
Автор: Le Gall Jean-Franзois Название: Brownian Motion, Martingales, and Stochastic Calculus ISBN: 331980961X ISBN-13(EAN): 9783319809618 Издательство: Springer Рейтинг: Цена: 53100.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Gaussian variables and Gaussian processes.- Brownian motion.- Filtrations and martingales.- Continuous semimartingales.- Stochastic integration.- General theory of Markov processes.- Brownian motion and partial differential equations.- Stochastic differential equations.- Local times.- The monotone class lemma.- Discrete martingales.- References.
Автор: Edward Nelson Название: Dynamical Theories of Brownian Motion ISBN: 0691219613 ISBN-13(EAN): 9780691219615 Издательство: Walter de Gruyter Рейтинг: Цена: 65640.00 T Наличие на складе: Нет в наличии.
Автор: Wiersema Название: Brownian Motion Calculus ISBN: 0470021705 ISBN-13(EAN): 9780470021705 Издательство: Wiley Рейтинг: Цена: 39020.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: There are not many calculus books that are very accessible to students without a strong mathematical background and the large majority of financial derivatives students do not have a strong quantitative background. This book provides a short introduction to the subject with examples of its use in mathematical finance e. g pricing of derivatives.
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