Point Processes And Jump Diffusions

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Point Processes And Jump Diffusions

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Author : Tomas Björk
language : en
Publisher: Cambridge University Press
Release Date : 2021-06-17

Point Processes And Jump Diffusions written by Tomas Björk and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-17 with Business & Economics categories.

Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.

An Introduction To The Theory Of Point Processes

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Author : D.J. Daley
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-11-12

An Introduction To The Theory Of Point Processes written by D.J. Daley 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 2007-11-12 with Mathematics categories.

This is the second volume of the reworked second edition of a key work on Point Process Theory. Fully revised and updated by the authors who have reworked their 1988 first edition, it brings together the basic theory of random measures and point processes in a unified setting and continues with the more theoretical topics of the first edition: limit theorems, ergodic theory, Palm theory, and evolutionary behaviour via martingales and conditional intensity. The very substantial new material in this second volume includes expanded discussions of marked point processes, convergence to equilibrium, and the structure of spatial point processes.

Stochastic Flows And Jump Diffusions

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Author : Hiroshi Kunita
language : en
Publisher: Springer
Release Date : 2019-03-26

Stochastic Flows And Jump Diffusions written by Hiroshi Kunita and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-26 with Mathematics categories.

This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heatequations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.

Applied Stochastic Control Of Jump Diffusions

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Author : Bernt Øksendal
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-26

Applied Stochastic Control Of Jump Diffusions written by Bernt Øksendal 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 2007-04-26 with Mathematics categories.

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Applied Stochastic Processes And Control For Jump Diffusions

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Author : Floyd B. Hanson
language : en
Publisher: Society for Industrial and Applied Mathematics (SIAM)
Release Date : 2007-11-22

Applied Stochastic Processes And Control For Jump Diffusions written by Floyd B. Hanson and has been published by Society for Industrial and Applied Mathematics (SIAM) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-22 with Mathematics categories.

This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science. It emphasises modelling and problem solving, and presents sample applications in financial engineering and biomedical modelling. Contains computational and analytic exercises and examples, with appendices provided on a supplementary Web page.

Stochastic Flows And Stochastic Differential Equations

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Author : Hiroshi Kunita
language : en
Publisher: Cambridge University Press
Release Date : 1990

Stochastic Flows And Stochastic Differential Equations written by Hiroshi Kunita and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Mathematics categories.

The main purpose of this book is to give a systematic treatment of the theory of stochastic differential equations and stochastic flow of diffeomorphisms, and through the former to study the properties of stochastic flows.The classical theory was initiated by K. Itô and since then has been much developed. Professor Kunita's approach here is to regard the stochastic differential equation as a dynamical system driven by a random vector field, including thereby Itô's theory as a special case. The book can be used with advanced courses on probability theory or for self-study.

Applied Stochastic Processes And Control For Jump Diffusions

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Author : Floyd B. Hanson
language : en
Publisher: SIAM
Release Date : 2007-11-22

Applied Stochastic Processes And Control For Jump Diffusions written by Floyd B. Hanson and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-22 with Mathematics categories.

A practical, entry-level text integrating the basic principles of applied mathematics and probability, and computational science.

Handbook Of Heavy Tailed Distributions In Finance

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Author : S.T Rachev
language : en
Publisher: Elsevier
Release Date : 2003-03-05

Handbook Of Heavy Tailed Distributions In Finance written by S.T Rachev and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-05 with Business & Economics categories.

The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series.This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Financial Modelling With Jump Processes

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Author : Rama Cont
language : en
Publisher: CRC Press
Release Date : 2003-12-30

Financial Modelling With Jump Processes written by Rama Cont and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-30 with Business & Economics categories.

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Point Processes And Queues Martingale Dynamics

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Author : Pierre Brémaud
language : en
Publisher:
Release Date : 1981-01-01

Point Processes And Queues Martingale Dynamics written by Pierre Brémaud and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981-01-01 with Files d'attente, Théorie des categories.

From the Introduction: " The emphasis has been placed on topics of interest in systems science at large...The level of exposition and the inclusion of a large number of exercises with complete detailed solutions make this book usable as a text for graduate students in applied probability, electrical engineering, computer science, and operations research. The prerequisites in probability and random processes are recalled in the Appendices."