Theory of Stochastic Integrals aims to provide an answer to the problem of phenomena that cannot be analyzed through the classical Itō theory by introducing readers to the study of some interpretations of stochastic integrals with respect to stochas...Lasīt vairāk
Theory of Stochastic Integrals aims to provide an answer to the problem of phenomena that cannot be analyzed through the classical Itō theory by introducing readers to the study of some interpretations of stochastic integrals with respect to stochas...Lasīt vairāk
Stochastic analysis tackles randomness in physical systems by blending simulation methods with hands-on problem-solving strategies. It examines key concepts like Markov chains, Gaussian processes, Ito calculus and stochastic differential equations,...Lasīt vairāk
This book organizes and explains, in a systematic and pedagogically effective manner, recent advances in path integral solution techniques with applications in stochastic engineering dynamics. It fills a gap in the literature by introducing to the...Lasīt vairāk
This book offers an introduction to the field of stochastic analysis of Hermite processes. These selfsimilar stochastic processes with stationary increments live in a Wiener chaos and include the fractional Brownian motion, the only Gaussian proce...Lasīt vairāk
Arguin presents a textbook for a course introducing stochasticcalculus to advanced undergraduate mathematics students, and tomasters students in financial engineering. His goal is to makestochastic calculus accessible to students and practitione...Lasīt vairāk
Develops a mathematical theory for finance, based on an intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-...Lasīt vairāk
(Izdošanas datums: 15-Jun-2021, Hardback, Izdevniecība: John Wiley & Sons Inc, ISBN-13: 9781119595496)
A stand-alone introduction to specific integration problems in the probabilistic theory of stochastic calculus Picking up where his previous book, A Modern Theory of Random Variation, left off, Gauge Integral Structures for...Lasīt vairāk
Dmitry G. Arseniev, Vladimir M. Ivanov, Maxim L. Korenevsky
(Izdošanas datums: 09-Jan-2018, Hardback, Izdevniecība: De Gruyter, ISBN-13: 9783110553642)
This monograph develops adaptive stochastic methods in computational mathematics. The authors discuss the basic ideas of the algorithms and ways to analyse their properties and efficiency. Examples of evaluation of multidimensional integrals are show...Lasīt vairāk
This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes...Lasīt vairāk
(Izdošanas datums: 08-Jul-2013, Paperback / softback, Izdevniecība: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, ISBN-13: 9783642376160)
This work starts with the study of those limit theorems in probability theory for which classical methods do not work. In many cases some form of linearization can help to solve the problem, because the linearized version is simpler. But in order to...Lasīt vairāk
(Izdošanas datums: 07-Nov-2012, Paperback / softback, Izdevniecība: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, ISBN-13: 9783642331480)
Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry. It also has numerous applications in the natural and social sciences (for instance in financi...Lasīt vairāk
(Izdošanas datums: 30-Mar-2010, Hardback, Izdevniecība: American Mathematical Society, ISBN-13: 9780821849491)
Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes and applies this theory to various special examples. The initial chapter is devoted to the...Lasīt vairāk
(Izdošanas datums: 26-Jul-2007, Hardback, Izdevniecība: Oxford University Press, ISBN-13: 9780199215256)
This graduate level text covers the theory of stochastic integration, an important area of mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in mathematics, statistics...Lasīt vairāk
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Appropriate for upper-level undergraduates and graduate students, this volume addresses the fundamental concepts of martingales, stochastic integrals, and estimation. Written by an engineer for engineers, it emphasizes applications. ...Lasīt vairāk
Sērija : Encyclopedia of Mathematics and its Applications
(Izdošanas datums: 13-May-2002, Hardback, Izdevniecība: Cambridge University Press, ISBN-13: 9780521811293)
Bichteler (mathematics, U. of Texas at Austin) aims to present the mathematical underpinning of stochastic analysis. Wiener process is treated for economics students and driving terms with jumps are covered to give mathematics students the background...Lasīt vairāk
Presents a new measure theoretic approach to stochastic integration, opening up the field for researchers in measure and integration theory, functional analysis, probability theory, and stochastic processes. First develops a general integration theor...Lasīt vairāk
