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Finding Adapted Solutions Of Forward Backward Stochastic Differential Equations Method Of Continuation
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Book Synopsis Forward-Backward Stochastic Differential Equations and their Applications by : Jin Ma
Download or read book Forward-Backward Stochastic Differential Equations and their Applications written by Jin Ma and published by Springer. This book was released on 2007-04-24 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the 'Four Step Scheme', and the method of continuation are presented in full. Related topics such as backward stochastic PDEs and many applications of FBSDEs are also discussed in detail. The volume is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. It can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.
Author :CIME-EMS Summer School Publisher :Springer Science & Business Media ISBN 13 :9783540229537 Total Pages :328 pages Book Rating :4.2/5 (295 download)
Book Synopsis Stochastic Methods in Finance by : CIME-EMS Summer School
Download or read book Stochastic Methods in Finance written by CIME-EMS Summer School and published by Springer Science & Business Media. This book was released on 2004 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Forward-Backward SDEs Approach to Pricing in Carbon Markets by : Jean-François Chassagneux
Download or read book A Forward-Backward SDEs Approach to Pricing in Carbon Markets written by Jean-François Chassagneux and published by Springer. This book was released on 2017-10-05 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Mathematical Finance, the authors consider a mathematical model for the pricing of emissions permits. The model has particular applicability to the European Union Emissions Trading System (EU ETS) but could also be used to consider the modeling of other cap-and-trade schemes. As a response to the risk of Climate Change, carbon markets are currently being implemented in regions worldwide and already represent more than $30 billion. However, scientific, and particularly mathematical, studies of these carbon markets are needed in order to expose their advantages and shortcomings, as well as allow their most efficient implementation. This Brief reviews mathematical properties such as the existence and uniqueness of solutions for the pricing problem, stability of solutions and their behavior. These fit into the theory of fully coupled forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. The authors present a numerical algorithm to compute the solution to these non-standard FBSDEs. They also carry out a case study of the UK energy market. This involves estimating the parameters to be used in the model using historical data and then solving a pricing problem using the aforementioned numerical algorithm. The Brief is of interest to researchers in stochastic processes and their applications, and environmental and energy economics. Most sections are also accessible to practitioners in the energy sector and climate change policy-makers.
Book Synopsis Backward Stochastic Differential Equations by : Jianfeng Zhang
Download or read book Backward Stochastic Differential Equations written by Jianfeng Zhang and published by Springer. This book was released on 2017-08-22 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included. The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.
Book Synopsis From Particle Systems to Partial Differential Equations III by : Patrícia Gonçalves
Download or read book From Particle Systems to Partial Differential Equations III written by Patrícia Gonçalves and published by Springer. This book was released on 2016-07-16 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main focus of this book is on different topics in probability theory, partial differential equations and kinetic theory, presenting some of the latest developments in these fields. It addresses mathematical problems concerning applications in physics, engineering, chemistry and biology that were presented at the Third International Conference on Particle Systems and Partial Differential Equations, held at the University of Minho, Braga, Portugal in December 2014. The purpose of the conference was to bring together prominent researchers working in the fields of particle systems and partial differential equations, providing a venue for them to present their latest findings and discuss their areas of expertise. Further, it was intended to introduce a vast and varied public, including young researchers, to the subject of interacting particle systems, its underlying motivation, and its relation to partial differential equations. This book will appeal to probabilists, analysts and those mathematicians whose work involves topics in mathematical physics, stochastic processes and differential equations in general, as well as those physicists whose work centers on statistical mechanics and kinetic theory.
Book Synopsis Theory of Stochastic Differential Equations with Jumps and Applications by : Rong SITU
Download or read book Theory of Stochastic Differential Equations with Jumps and Applications written by Rong SITU and published by Springer Science & Business Media. This book was released on 2005-04-20 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. 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. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere.
Book Synopsis Contract Theory in Continuous-Time Models by : Jakša Cvitanic
Download or read book Contract Theory in Continuous-Time Models written by Jakša Cvitanic and published by Springer Science & Business Media. This book was released on 2012-09-26 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.
Book Synopsis Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions by : Jingrui Sun
Download or read book Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions written by Jingrui Sun and published by Springer Nature. This book was released on 2020-06-29 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.
Book Synopsis Stochastic Analysis, Filtering, and Stochastic Optimization by : George Yin
Download or read book Stochastic Analysis, Filtering, and Stochastic Optimization written by George Yin and published by Springer Nature. This book was released on 2022-04-22 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Book Synopsis Control of Distributed Parameter and Stochastic Systems by : Shuping Chen
Download or read book Control of Distributed Parameter and Stochastic Systems written by Shuping Chen and published by Springer Science & Business Media. This book was released on 1999-03-31 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the mathematical treatment of many problems which arise in physics, economics, engineering, management, etc., the researcher frequently faces two major difficulties: infinite dimensionality and randomness of the evolution process. Infinite dimensionality occurs when the evolution in time of a process is accompanied by a space-like dependence; for example, spatial distribution of the temperature for a heat-conductor, spatial dependence of the time-varying displacement of a membrane subject to external forces, etc. Randomness is intrinsic to the mathematical formulation of many phenomena, such as fluctuation in the stock market, or noise in communication networks. Control theory of distributed parameter systems and stochastic systems focuses on physical phenomena which are governed by partial differential equations, delay-differential equations, integral differential equations, etc., and stochastic differential equations of various types. This has been a fertile field of research with over 40 years of history, which continues to be very active under the thrust of new emerging applications. Among the subjects covered are: Control of distributed parameter systems; Stochastic control; Applications in finance/insurance/manufacturing; Adapted control; Numerical approximation . It is essential reading for applied mathematicians, control theorists, economic/financial analysts and engineers.
Book Synopsis Stochastic Controls by : Jiongmin Yong
Download or read book Stochastic Controls written by Jiongmin Yong and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol lowing: (Q) What is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls? There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.
Book Synopsis Proceedings of the International Congress of Mathematicians 2010 (icm 2010) (in 4 Volumes) - Vol. I: Plenary Lectures and Ceremonies, Vols. Ii-iv: Invited Lectures by :
Download or read book Proceedings of the International Congress of Mathematicians 2010 (icm 2010) (in 4 Volumes) - Vol. I: Plenary Lectures and Ceremonies, Vols. Ii-iv: Invited Lectures written by and published by World Scientific. This book was released on 2011 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Proceedings Of The International Congress Of Mathematicians 2010 (Icm 2010) (In 4 Volumes) - Vol. I: Plenary Lectures And Ceremonies, Vols. Ii-iv: Invited Lectures by : Rajendra Bhatia
Download or read book Proceedings Of The International Congress Of Mathematicians 2010 (Icm 2010) (In 4 Volumes) - Vol. I: Plenary Lectures And Ceremonies, Vols. Ii-iv: Invited Lectures written by Rajendra Bhatia and published by World Scientific. This book was released on 2011-06-06 with total page 4137 pages. Available in PDF, EPUB and Kindle. Book excerpt: ICM 2010 proceedings comprises a four-volume set containing articles based on plenary lectures and invited section lectures, the Abel and Noether lectures, as well as contributions based on lectures delivered by the recipients of the Fields Medal, the Nevanlinna, and Chern Prizes. The first volume will also contain the speeches at the opening and closing ceremonies and other highlights of the Congress.
Book Synopsis Applied Stochastic Differential Equations by : Simo Särkkä
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Book Synopsis Backward Stochastic Differential Equations by : N El Karoui
Download or read book Backward Stochastic Differential Equations written by N El Karoui and published by CRC Press. This book was released on 1997-01-17 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.
Book Synopsis Statistical Methods and Applications in Insurance and Finance by : M'hamed Eddahbi
Download or read book Statistical Methods and Applications in Insurance and Finance written by M'hamed Eddahbi and published by Springer. This book was released on 2016-04-08 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the outcome of the CIMPA School on Statistical Methods and Applications in Insurance and Finance, held in Marrakech and Kelaat M'gouna (Morocco) in April 2013. It presents two lectures and seven refereed papers from the school, offering the reader important insights into key topics. The first of the lectures, by Frederic Viens, addresses risk management via hedging in discrete and continuous time, while the second, by Boualem Djehiche, reviews statistical estimation methods applied to life and disability insurance. The refereed papers offer diverse perspectives and extensive discussions on subjects including optimal control, financial modeling using stochastic differential equations, pricing and hedging of financial derivatives, and sensitivity analysis. Each chapter of the volume includes a comprehensive bibliography to promote further research.
Book Synopsis Statistical Theory and Method Abstracts by :
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1998 with total page 670 pages. Available in PDF, EPUB and Kindle. Book excerpt:
