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Author : Werner Römisch
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (46 download)
Download or read book On convergence rates of approximate solutions of stochastic equations written by Werner Römisch and published by . This book was released on 1987 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : W. Römisch
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (255 download)
Download or read book Convergence Rates of Approximate Solutions of Stochastic Differential Equations written by W. Römisch and published by . This book was released on 1983 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S. Kanagawa
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (897 download)
Download or read book The Rate of Convergence for Approximate Solutions of Stochastic Differential Equations written by S. Kanagawa and published by . This book was released on 1985 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shuya Kanagawa
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (459 download)
Download or read book The rate of convergence for approximate solutions of stochastic differential equations written by Shuya Kanagawa and published by . This book was released on 1985 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 1482294702
Total Pages : 808 pages
Book Rating : 4.4/5 (822 download)
Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Author : Eckhard Platen
Publisher : Springer Science & Business Media
ISBN 13 : 364213694X
Total Pages : 868 pages
Book Rating : 4.6/5 (421 download)
Download or read book Numerical Solution of Stochastic Differential Equations with Jumps in Finance written by Eckhard Platen and published by Springer Science & Business Media. This book was released on 2010-07-23 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.
Author : Peter E. Kloeden
Publisher : Springer Science & Business Media
ISBN 13 : 3662126168
Total Pages : 666 pages
Book Rating : 4.6/5 (621 download)
Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Author : Mounir Zili
Publisher : Springer Science & Business Media
ISBN 13 : 3642223680
Total Pages : 273 pages
Book Rating : 4.6/5 (422 download)
Download or read book Stochastic Differential Equations and Processes written by Mounir Zili and published by Springer Science & Business Media. This book was released on 2011-09-24 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Selected papers submitted by participants of the international Conference “Stochastic Analysis and Applied Probability 2010” ( www.saap2010.org ) make up the basis of this volume. The SAAP 2010 was held in Tunisia, from 7-9 October, 2010, and was organized by the “Applied Mathematics & Mathematical Physics” research unit of the preparatory institute to the military academies of Sousse (Tunisia), chaired by Mounir Zili. The papers cover theoretical, numerical and applied aspects of stochastic processes and stochastic differential equations. The study of such topic is motivated in part by the need to model, understand, forecast and control the behavior of many natural phenomena that evolve in time in a random way. Such phenomena appear in the fields of finance, telecommunications, economics, biology, geology, demography, physics, chemistry, signal processing and modern control theory, to mention just a few. As this book emphasizes the importance of numerical and theoretical studies of the stochastic differential equations and stochastic processes, it will be useful for a wide spectrum of researchers in applied probability, stochastic numerical and theoretical analysis and statistics, as well as for graduate students. To make it more complete and accessible for graduate students, practitioners and researchers, the editors Mounir Zili and Daria Filatova have included a survey dedicated to the basic concepts of numerical analysis of the stochastic differential equations, written by Henri Schurz.
Author : Shinzo Watanabe
Publisher : World Scientific
ISBN 13 : 9814548634
Total Pages : 528 pages
Book Rating : 4.8/5 (145 download)
Download or read book Probability Theory And Mathematical Statistics - Proceedings Of The 7th Japan-russia Symposium written by Shinzo Watanabe and published by World Scientific. This book was released on 1996-07-29 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume contains 46 papers presented at the Seventh Symposium in Tokyo. They represent the most recent research activity in Japan, Russia, Ukraina, Lithuania, Georgia and some other countries on diverse topics of the traditionally strong fields in these countries — probability theory and mathematical statistics.
Author : Martino Bardi
Publisher : Springer Science & Business Media
ISBN 13 : 0817647554
Total Pages : 588 pages
Book Rating : 4.8/5 (176 download)
Download or read book Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations written by Martino Bardi and published by Springer Science & Business Media. This book was released on 2009-05-21 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt: This softcover book is a self-contained account of the theory of viscosity solutions for first-order partial differential equations of Hamilton–Jacobi type and its interplay with Bellman’s dynamic programming approach to optimal control and differential games. It will be of interest to scientists involved in the theory of optimal control of deterministic linear and nonlinear systems. The work may be used by graduate students and researchers in control theory both as an introductory textbook and as an up-to-date reference book.
Author : Sooppawat Thipyarat
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (143 download)
Download or read book Approximation Theorems for Lévy-driven Marcus (canonical) Stochastic Differential Equations written by Sooppawat Thipyarat and published by . This book was released on 2024* with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we consider the problem of the numerical approximation of the Marcus (canonical) stochastic differential equations (SDEs) driven by a Brownian motion and an independent the pure jump Lévy process. The numerical scheme used in this thesis is the non-linear discrete time approximation based on the Wong-Zakai approximation scheme. The main results of this thesis are presented in two parts. In the first part, we prove the uniform strong approximation theorem for solutions of the Marcus SDEs. This result is an extension of the approximation results known for Stratonovich SDEs driven by a Brownian motion. We also estimate the convergence rate of strong approximations. The approximation scheme requires the explicit knowledge of the increments of the pure jump Lévy process. In the second part, we apply the method suggested by Asmussen and Rosiński, and approximate the increments of the pure jump Lévy process by a sum of Gaussian and a compound Poisson random variables that can be simulated explicitly. Hence, we examine the weak and strong convergence of the modified Wong-Zakai approximations and also determine the convergence rates. We illustrate our results by a numerical example.
Author : Simo Särkkä
Publisher : Cambridge University Press
ISBN 13 : 1316510085
Total Pages : 327 pages
Book Rating : 4.3/5 (165 download)
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.
Author : Harold Joseph Kushner
Publisher : MIT Press
ISBN 13 : 9780262110907
Total Pages : 296 pages
Book Rating : 4.1/5 (19 download)
Download or read book Approximation and Weak Convergence Methods for Random Processes, with Applications to Stochastic Systems Theory written by Harold Joseph Kushner and published by MIT Press. This book was released on 1984 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control and communications engineers, physicists, and probability theorists, among others, will find this book unique. It contains a detailed development of approximation and limit theorems and methods for random processes and applies them to numerous problems of practical importance. In particular, it develops usable and broad conditions and techniques for showing that a sequence of processes converges to a Markov diffusion or jump process. This is useful when the natural physical model is quite complex, in which case a simpler approximation la diffusion process, for example) is usually made. The book simplifies and extends some important older methods and develops some powerful new ones applicable to a wide variety of limit and approximation problems. The theory of weak convergence of probability measures is introduced along with general and usable methods (for example, perturbed test function, martingale, and direct averaging) for proving tightness and weak convergence. Kushner's study begins with a systematic development of the method. It then treats dynamical system models that have state-dependent noise or nonsmooth dynamics. Perturbed Liapunov function methods are developed for stability studies of nonMarkovian problems and for the study of asymptotic distributions of non-Markovian systems. Three chapters are devoted to applications in control and communication theory (for example, phase-locked loops and adoptive filters). Smallnoise problems and an introduction to the theory of large deviations and applications conclude the book. Harold J. Kushner is Professor of Applied Mathematics and Engineering at Brown University and is one of the leading researchers in the area of stochastic processes concerned with analysis and synthesis in control and communications theory. This book is the sixth in The MIT Press Series in Signal Processing, Optimization, and Control, edited by Alan S. Willsky.
Author : Heinz W. Engl
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (255 download)
Download or read book Weak Convergence of Approximate Solutions of Stochastic Equations with Applications to Random Differential and Integral Equations written by Heinz W. Engl and published by . This book was released on 1985 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frederi Viens
Publisher : Springer Science & Business Media
ISBN 13 : 1461459060
Total Pages : 580 pages
Book Rating : 4.4/5 (614 download)
Download or read book Malliavin Calculus and Stochastic Analysis written by Frederi Viens and published by Springer Science & Business Media. This book was released on 2013-02-15 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stochastic calculus of variations of Paul Malliavin (1925 - 2010), known today as the Malliavin Calculus, has found many applications, within and beyond the core mathematical discipline. Stochastic analysis provides a fruitful interpretation of this calculus, particularly as described by David Nualart and the scores of mathematicians he influences and with whom he collaborates. Many of these, including leading stochastic analysts and junior researchers, presented their cutting-edge research at an international conference in honor of David Nualart's career, on March 19-21, 2011, at the University of Kansas, USA. These scholars and other top-level mathematicians have kindly contributed research articles for this refereed volume.
Author : Harold Joseph Kushner
Publisher :
ISBN 13 : 9783540903413
Total Pages : 261 pages
Book Rating : 4.9/5 (34 download)
Download or read book Stochastic Approximation Methods for Constrained and Unconstrained Systems written by Harold Joseph Kushner and published by . This book was released on 1978 with total page 261 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.
