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Author :
Publisher :
ISBN 13 :
Total Pages : 238 pages
Book Rating : 4.:/5 (918 download)
Download or read book Forward-backward Stochastic Differential Equations for the Utility Maximization Problem written by and published by . This book was released on 2011 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Łukasz Delong
Publisher : Springer Science & Business Media
ISBN 13 : 1447153316
Total Pages : 285 pages
Book Rating : 4.4/5 (471 download)
Download or read book Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications written by Łukasz Delong and published by Springer Science & Business Media. This book was released on 2013-06-12 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners.
Author : Jin Ma
Publisher :
ISBN 13 :
Total Pages : 270 pages
Book Rating : 4.:/5 (81 download)
Download or read book Forward-backward Stochastic Differential Equations and Their Applications written by Jin Ma and published by . This book was released on 1999 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : N El Karoui
Publisher : CRC Press
ISBN 13 : 9780582307339
Total Pages : 236 pages
Book Rating : 4.3/5 (73 download)
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.
Author : Jianfeng Zhang
Publisher : Springer
ISBN 13 : 1493972561
Total Pages : 392 pages
Book Rating : 4.4/5 (939 download)
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.
Author : Felix Stenau
Publisher :
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (17 download)
Download or read book Backward Stochastic Differential Equations with Applications to Stochastic Control Problems and Generalized Stochastic Differential Utility written by Felix Stenau and published by . This book was released on 2009 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laurent Decreusefond
Publisher : Springer Science & Business Media
ISBN 13 : 146122022X
Total Pages : 414 pages
Book Rating : 4.4/5 (612 download)
Download or read book Stochastic Analysis and Related Topics VI written by Laurent Decreusefond and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the contributions of the participants of the Sixth Oslo-Silivri Workshop on Stochastic Analysis, held in Geilo from July 29 to August 6, 1996. There are two main lectures " Stochastic Differential Equations with Memory, by S.E.A. Mohammed, " Backward SDE's and Viscosity Solutions of Second Order Semilinear PDE's, by E. Pardoux. The main lectures are presented at the beginning of the volume. There is also a review paper at the third place about the stochastic calculus of variations on Lie groups. The contributing papers vary from SPDEs to Non-Kolmogorov type probabilistic models. We would like to thank " VISTA, a research cooperation between Norwegian Academy of Sciences and Letters and Den Norske Stats Oljeselskap (Statoil), " CNRS, Centre National de la Recherche Scientifique, " The Department of Mathematics of the University of Oslo, " The Ecole Nationale Superieure des Telecommunications, for their financial support. L. Decreusefond J. Gjerde B. 0ksendal A.S. Ustunel PARTICIPANTS TO THE 6TH WORKSHOP ON STOCHASTIC ANALYSIS Vestlia HØyfjellshotell, Geilo, Norway, July 28 -August 4, 1996. E-mail: [email protected] Aureli ALABERT Departament de Matematiques Laurent DECREUSEFOND Universitat Autonoma de Barcelona Ecole Nationale Superieure des Telecom 08193-Bellaterra munications CATALONIA (Spain) Departement Reseaux E-mail: [email protected] 46, rue Barrault Halvard ARNTZEN 75634 Paris Cedex 13 Dept. of Mathematics FRANCE University of Oslo E-mail: [email protected] Box 1053 Blindern Laurent DENIS N-0316 Oslo C.M.I
Author : Jean-François Chassagneux
Publisher : Springer
ISBN 13 : 3319631152
Total Pages : 108 pages
Book Rating : 4.3/5 (196 download)
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.
Author : 林柏佐
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (821 download)
Download or read book Linear Forward-backward Stochastic Differential Equations and a Riccati Type Equation written by 林柏佐 and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jin Ma
Publisher : Springer
ISBN 13 : 3540488316
Total Pages : 285 pages
Book Rating : 4.5/5 (44 download)
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 : University of Minnesota. Institute for Mathematics and Its Applications
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (123 download)
Download or read book Linear Forward-backward Stochastic Differential Equations written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : University of Minnesota. Institute for Mathematics and Its Applications
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (123 download)
Download or read book Finding Adapted Solutions of Forward-backward Stochastic Differential Equations - Method of Continuation written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : University of Minnesota. Institute for Mathematics and Its Applications
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (123 download)
Download or read book Solving Forward-backward Stochastic Differential Equations Explicitly - a Four-step Scheme written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1993 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Samarjit Kar
Publisher : Springer
ISBN 13 : 9811078149
Total Pages : 399 pages
Book Rating : 4.8/5 (11 download)
Download or read book Operations Research and Optimization written by Samarjit Kar and published by Springer. This book was released on 2018-04-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses recent developments in the vast domain of optimization. Featuring papers presented at the 1st International Conference on Frontiers in Optimization: Theory and Applications (FOTA 2016), held at the Heritage Institute of Technology, Kolkata, on 24–26 December 2016, it opens new avenues of research in all topics related to optimization, such as linear and nonlinear optimization; combinatorial-, stochastic-, dynamic-, fuzzy-, and uncertain optimization; optimal control theory; as well as multi-objective, evolutionary and convex optimization and their applications in intelligent information and technology, systems science, knowledge management, information and communication, supply chain and inventory control, scheduling, networks, transportation and logistics and finance. The book is a valuable resource for researchers, scientists and engineers from both academia and industry.
Author : J. Douglas
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (897 download)
Download or read book Numerical Methods for Forward-backward Stochastic Differential Equations written by J. Douglas and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Samuel N. Cohen
Publisher : Springer Nature
ISBN 13 : 3030222853
Total Pages : 300 pages
Book Rating : 4.0/5 (32 download)
Download or read book Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications written by Samuel N. Cohen and published by Springer Nature. This book was released on 2019-08-31 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics. This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.
Author : University of Minnesota. Institute for Mathematics and Its Applications
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (123 download)
Download or read book Approximate Solvability of Forward-backward Stochastic Differential Equations written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1997 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
