Backward Stochastic Differential Equations With Jumps And Applications
DOWNLOAD
Download Backward Stochastic Differential Equations With Jumps And Applications PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Backward Stochastic Differential Equations With Jumps And Applications book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Backward Stochastic Differential Equations With Jumps And Their Actuarial And Financial Applications
DOWNLOAD
Author : Łukasz Delong
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-12
Backward Stochastic Differential Equations With Jumps And Their Actuarial And Financial Applications written by Łukasz Delong and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-12 with Mathematics categories.
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.
Backward Stochastic Differential Equations With Jumps And Applications
DOWNLOAD
Author : Rong Situ
language : en
Publisher:
Release Date : 2000
Backward Stochastic Differential Equations With Jumps And Applications written by Rong Situ and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Stochastic differential eqations categories.
Theory Of Stochastic Differential Equations With Jumps And Applications
DOWNLOAD
Author : Rong SITU
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-04-20
Theory Of Stochastic Differential Equations With Jumps And Applications written by Rong SITU and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-20 with Mathematics categories.
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.
Contributions To Quadratic Backward Stochastic Differential Equations With Jumps And Applications
DOWNLOAD
Author : Rym Salhi
language : en
Publisher:
Release Date : 2019
Contributions To Quadratic Backward Stochastic Differential Equations With Jumps And Applications written by Rym Salhi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This thesis focuses on backward stochastic differential equation with jumps and their applications. In the first chapter, we study a backward stochastic differential equation (BSDE for short) driven jointly by a Brownian motion and an integer valued random measure that may have infinite activity with compensator being possibly time inhomogeneous. In particular, we are concerned with the case where the driver has quadratic growth and unbounded terminal condition. The existence and uniqueness of the solution are proven by combining a monotone approximation technics and a forward approach. Chapter 2 is devoted to the well-posedness of generalized doubly reflected BSDEs (GDRBSDE for short) with jumps under weaker assumptions on the data. In particular, we study the existence of a solution for a one-dimensional GDRBSDE with jumps when the terminal condition is only measurable with respect to the related filtration and when the coefficient has general stochastic quadratic growth. We also show, in a suitable framework, the connection between our class of backward stochastic differential equations and risk sensitive zero-sum game. In chapter 3, we investigate a general class of fully coupled mean field forward-backward under weak monotonicity conditions without assuming any non-degeneracy assumption on the forward equation. We derive existence and uniqueness results under two different sets of conditions based on proximation schema weither on the forward or the backward equation. Later, we give an application for storage in smart grids.
Backward Stochastic Differential Equations
DOWNLOAD
Author : Jianfeng Zhang
language : en
Publisher: Springer
Release Date : 2017-08-22
Backward Stochastic Differential Equations written by Jianfeng Zhang and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-22 with Mathematics categories.
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.
Proceedings Of The International Conference On Stochastic Analysis And Applications
DOWNLOAD
Author : Sergio Albeverio
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-07-28
Proceedings Of The International Conference On Stochastic Analysis And Applications written by Sergio Albeverio and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-28 with Mathematics categories.
Stochastic analysis is a field of mathematical research having numerous interactions with other domains of mathematics such as partial differential equations, riemannian path spaces, dynamical systems, optimization. It also has many links with applications in engineering, finance, quantum physics, and other fields. This book covers recent and diverse aspects of stochastic and infinite-dimensional analysis. The included papers are written from a variety of standpoints (white noise analysis, Malliavin calculus, quantum stochastic calculus) by the contributors, and provide a broad coverage of the subject. This volume will be useful to graduate students and research mathematicians wishing to get acquainted with recent developments in the field of stochastic analysis.
From Particle Systems To Partial Differential Equations Iii
DOWNLOAD
Author : Patrícia Gonçalves
language : en
Publisher: Springer
Release Date : 2016-07-16
From Particle Systems To Partial Differential Equations Iii written by Patrícia Gonçalves and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-16 with Mathematics categories.
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.
Applied Stochastic Control Of Jump Diffusions
DOWNLOAD
Author : Bernt Øksendal
language : en
Publisher: Springer
Release Date : 2019-04-17
Applied Stochastic Control Of Jump Diffusions written by Bernt Øksendal and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-17 with Business & Economics categories.
The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton–Jacobi–Bellman equation and/or (quasi-)variational inequalities are formulated. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations. The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures. Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games.
Statistical Methods And Applications In Insurance And Finance
DOWNLOAD
Author : M'hamed Eddahbi
language : en
Publisher: Springer
Release Date : 2016-04-08
Statistical Methods And Applications In Insurance And Finance written by M'hamed Eddahbi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-08 with Mathematics categories.
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.
Proceedings Of The International Congress Of Mathematicians 2010 Icm 2010 In 4 Volumes Vol I Plenary Lectures And Ceremonies Vols Ii Iv Invited Lectures
DOWNLOAD
Author : Rajendra Bhatia
language : en
Publisher: World Scientific
Release Date : 2011-06-06
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 has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-06 with Mathematics categories.
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.