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Author : H. Niemi
Publisher : VSP
ISBN 13 : 9789067641562
Total Pages : 308 pages
Book Rating : 4.6/5 (415 download)
Download or read book Frontiers in Pure and Applied Probability written by H. Niemi and published by VSP. This book was released on 1993 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu. Kabanov
Publisher : Springer Science & Business Media
ISBN 13 : 3540307885
Total Pages : 659 pages
Book Rating : 4.5/5 (43 download)
Download or read book From Stochastic Calculus to Mathematical Finance written by Yu. Kabanov and published by Springer Science & Business Media. This book was released on 2007-04-03 with total page 659 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
Author : Nicolai Victorovich Norin
Publisher : World Scientific
ISBN 13 : 9814499307
Total Pages : 274 pages
Book Rating : 4.8/5 (144 download)
Download or read book The Extended Stochastic Integral In Linear Spaces With Differentiable Measures And Related Topics written by Nicolai Victorovich Norin and published by World Scientific. This book was released on 1996-08-30 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume discusses the extended stochastic integral (ESI) (or Skorokhod-Hitsuda Integral) and its relation to the logarithmic derivative of differentiable measure along the vector or operator field. In addition, the theory of surface measures and the theory of heat potentials in infinite-dimensional spaces are discussed. These theories are closely related to ESI.It starts with an account of classic stochastic analysis in the Wiener spaces; and then discusses in detail the ESI for the Wiener measure including properties of this integral understood as a process. Moreover, the ESI with a nonrandom kernel is investigated.Some chapters are devoted to the definition and the investigation of properties of the ESI for Gaussian and differentiable measures.Surface measures in Banach spaces and heat potentials theory in Hilbert space are also discussed.
Author : Alexander Melnikov
Publisher : Springer Nature
ISBN 13 : 3031253264
Total Pages : 214 pages
Book Rating : 4.0/5 (312 download)
Download or read book A Course of Stochastic Analysis written by Alexander Melnikov and published by Springer Nature. This book was released on 2023-04-02 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main subject of the book is stochastic analysis and its various applications to mathematical finance and statistics of random processes. The main purpose of the book is to present, in a short and sufficiently self-contained form, the methods and results of the contemporary theory of stochastic analysis and to show how these methods and results work in mathematical finance and statistics of random processes. The book can be considered as a textbook for both senior undergraduate and graduate courses on this subject. The book can be helpful for undergraduate and graduate students, instructors and specialists on stochastic analysis and its applications.
Author : Vladimir I. Bogachev
Publisher : American Mathematical Soc.
ISBN 13 : 147041869X
Total Pages : 450 pages
Book Rating : 4.4/5 (74 download)
Download or read book Gaussian Measures written by Vladimir I. Bogachev and published by American Mathematical Soc.. This book was released on 2015-01-26 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a systematic exposition of the modern theory of Gaussian measures. It presents with complete and detailed proofs fundamental facts about finite and infinite dimensional Gaussian distributions. Covered topics include linear properties, convexity, linear and nonlinear transformations, and applications to Gaussian and diffusion processes. Suitable for use as a graduate text and/or a reference work, this volume contains many examples, exercises, and an extensive bibliography. It brings together many results that have not appeared previously in book form.
Author :
Publisher :
ISBN 13 :
Total Pages : 1294 pages
Book Rating : 4.3/5 (91 download)
Download or read book International Books in Print written by and published by . This book was released on 1998 with total page 1294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Albert N. Shiryaev
Publisher : World Scientific
ISBN 13 : 9812385193
Total Pages : 852 pages
Book Rating : 4.8/5 (123 download)
Download or read book Essentials of Stochastic Finance written by Albert N. Shiryaev and published by World Scientific. This book was released on 1999 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
Author : Michael Kohlmann
Publisher : Springer Science & Business Media
ISBN 13 : 9783764365530
Total Pages : 380 pages
Book Rating : 4.3/5 (655 download)
Download or read book Mathematical Finance written by Michael Kohlmann and published by Springer Science & Business Media. This book was released on 2001-06 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lvy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in portfolio selection irreversible investment risk sensitive asset allocation capital asset pricing hedging contingent claims option pricing interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.
Author : Soeren Asmussen
Publisher : Springer Science & Business Media
ISBN 13 : 0387215255
Total Pages : 451 pages
Book Rating : 4.3/5 (872 download)
Download or read book Applied Probability and Queues written by Soeren Asmussen and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book is a highly recommendable survey of mathematical tools and results in applied probability with special emphasis on queueing theory....The second edition at hand is a thoroughly updated and considerably expended version of the first edition.... This book and the way the various topics are balanced are a welcome addition to the literature. It is an indispensable source of information for both advanced graduate students and researchers." --MATHEMATICAL REVIEWS
Author : Samuel N. Cohen
Publisher : World Scientific
ISBN 13 : 9814383317
Total Pages : 605 pages
Book Rating : 4.8/5 (143 download)
Download or read book Stochastic Processes, Finance and Control written by Samuel N. Cohen and published by World Scientific. This book was released on 2012 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
Author : Takeyuki Hida
Publisher : World Scientific
ISBN 13 : 9789812380203
Total Pages : 212 pages
Book Rating : 4.3/5 (82 download)
Download or read book Quantum Information IV written by Takeyuki Hida and published by World Scientific. This book was released on 2002 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Annotation. ...study on the Power of Potential fluctuation in living cells...some properties of measure-valued processes with singular branching rate and other papers.
Author : Svante Janson
Publisher : Cambridge University Press
ISBN 13 : 0521561280
Total Pages : 358 pages
Book Rating : 4.5/5 (215 download)
Download or read book Gaussian Hilbert Spaces written by Svante Janson and published by Cambridge University Press. This book was released on 1997-06-12 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book treats the very special and fundamental mathematical properties that hold for a family of Gaussian (or normal) random variables. Such random variables have many applications in probability theory, other parts of mathematics, statistics and theoretical physics. The emphasis throughout this book is on the mathematical structures common to all these applications. This will be an excellent resource for all researchers whose work involves random variables.
Author : Rama Cont
Publisher : John Wiley & Sons
ISBN 13 : 0470456809
Total Pages : 312 pages
Book Rating : 4.4/5 (74 download)
Download or read book Frontiers in Quantitative Finance written by Rama Cont and published by John Wiley & Sons. This book was released on 2009-03-09 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Petit D'euner de la Finance–which author Rama Cont has been co-organizing in Paris since 1998–is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.
Author : Michael Craig Cranston
Publisher : American Mathematical Soc.
ISBN 13 : 0821802895
Total Pages : 634 pages
Book Rating : 4.8/5 (218 download)
Download or read book Stochastic Analysis written by Michael Craig Cranston and published by American Mathematical Soc.. This book was released on 1995 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with current developments in stochastic analysis and its interfaces with partial differential equations, dynamical systems, mathematical physics, differential geometry, and infinite-dimensional analysis. The origins of stochastic analysis can be found in Norbert Wiener's construction of Brownian motion and Kiyosi Itô's subsequent development of stochastic integration and the closely related theory of stochastic (ordinary) differential equations. The papers in this volume indicate the great strides that have been made in recent years, exhibiting the tremendous power and diversity of stochastic analysis while giving a clear indication of the unsolved problems and possible future directions for development. The collection represents the proceedings of the AMS Summer Institute on Stochastic Analysis, held in July 1993 at Cornell University. Many of the papers are largely expository in character while containing new results.
Author : Andrei N. Borodin
Publisher : Springer Science & Business Media
ISBN 13 : 9783764367053
Total Pages : 710 pages
Book Rating : 4.3/5 (67 download)
Download or read book Handbook of Brownian Motion - Facts and Formulae written by Andrei N. Borodin and published by Springer Science & Business Media. This book was released on 2015-07-14 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.
Author :
Publisher :
ISBN 13 :
Total Pages : 542 pages
Book Rating : 4.3/5 (91 download)
Download or read book Mathematical Methods of Statistics written by and published by . This book was released on 1998 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alison Etheridge
Publisher : Cambridge University Press
ISBN 13 : 9780521483193
Total Pages : 356 pages
Book Rating : 4.4/5 (831 download)
Download or read book Stochastic Partial Differential Equations written by Alison Etheridge and published by Cambridge University Press. This book was released on 1995-07-13 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consists of papers given at the ICMS meeting held in 1994 on this topic, and brings together some of the world's best known authorities on stochastic partial differential equations.
