Stability Of Stochastic Differential Equations Driven By General Semimartingales
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Stability Of Stochastic Differential Equations Driven By General Semimartingales
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Author : Leszek Słomiński
language : en
Publisher:
Release Date : 1996
Stability Of Stochastic Differential Equations Driven By General Semimartingales written by Leszek Słomiński and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Semimartingales (Mathematics) categories.
Stability Of Stochastic Differential Equations Driven By General Semimartingales
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Author : Leszek Slomiński
language : en
Publisher:
Release Date : 1996
Stability Of Stochastic Differential Equations Driven By General Semimartingales written by Leszek Slomiński and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Stochastic Processes And Applications To Mathematical Finance
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Author : Jiro Akahori
language : en
Publisher: World Scientific
Release Date : 2006
Stochastic Processes And Applications To Mathematical Finance written by Jiro Akahori and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Mathematics categories.
Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance. Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles. Contents: Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications (E Barucci et al.); Hedging of Credit Derivatives in Models with Totally Unexpected Default (T R Bielecki et al.); A Large Trader-Insider Model (A Kohatsu-Higa & A Sulem); [GLP & MEMM] Pricing Models and Related Problems (Y Miyahara); Topics Related to Gamma Processes (M Yamazato); On Stochastic Differential Equations Driven by Symmetric Stable Processes of Index a (H Hashimoto et al.); Martingale Representation Theorem and Chaos Expansion (S Watanabe). Readership: Graduate students, researchers and practitioners in the field of stochastic processes and mathematical finance.
Simulation And Chaotic Behavior Of Alpha Stable Stochastic Processes
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Author : Aleksand Janicki
language : en
Publisher: CRC Press
Release Date : 2021-07-29
Simulation And Chaotic Behavior Of Alpha Stable Stochastic Processes written by Aleksand Janicki and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-29 with Mathematics categories.
Presents new computer methods in approximation, simulation, and visualization for a host of alpha-stable stochastic processes.
Stochastic Integration And Differential Equations
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Author : Philip Protter
language : en
Publisher: Springer
Release Date : 2013-12-21
Stochastic Integration And Differential Equations written by Philip Protter and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-21 with Mathematics categories.
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery’s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.
L Vy Matters Vi
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Author : Franziska Kühn
language : en
Publisher: Springer
Release Date : 2017-10-05
L Vy Matters Vi written by Franziska Kühn and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-05 with Mathematics categories.
Presenting some recent results on the construction and the moments of Lévy-type processes, the focus of this volume is on a new existence theorem, which is proved using a parametrix construction. Applications range from heat kernel estimates for a class of Lévy-type processes to existence and uniqueness theorems for Lévy-driven stochastic differential equations with Hölder continuous coefficients. Moreover, necessary and sufficient conditions for the existence of moments of Lévy-type processes are studied and some estimates on moments are derived. Lévy-type processes behave locally like Lévy processes but, in contrast to Lévy processes, they are not homogeneous in space. Typical examples are processes with varying index of stability and solutions of Lévy-driven stochastic differential equations. This is the sixth volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters. Each volume describes a number of important topics in the theory or applications of Lévy processes and pays tribute to the state of the art of this rapidly evolving subject, with special emphasis on the non-Brownian world.
Journal Of The Mathematical Society Of Japan
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Author : Nihon Sūgakkai
language : en
Publisher:
Release Date : 2005
Journal Of The Mathematical Society Of Japan written by Nihon Sūgakkai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Mathematics categories.
Stochastic Pdes And Modelling Of Multiscale Complex System
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Author : Xiaopeng Chen
language : en
Publisher: World Scientific
Release Date : 2019-05-07
Stochastic Pdes And Modelling Of Multiscale Complex System written by Xiaopeng Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-07 with Mathematics categories.
This volume is devoted to original research results and survey articles reviewing recent developments in reduction for stochastic PDEs with multiscale as well as application to science and technology, and to present some future research direction. This volume includes a dozen chapters by leading experts in the area, with a broad audience in mind. It should be accessible to graduate students, junior researchers and other professionals who are interested in the subject. We also take this opportunity to celebrate the contributions of Professor Anthony J Roberts, an internationally leading figure on the occasion of his 60th years birthday in 2017.
L Vy Processes And Stochastic Calculus
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Author : David Applebaum
language : en
Publisher: Cambridge University Press
Release Date : 2009-04-30
L Vy Processes And Stochastic Calculus written by David Applebaum 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 2009-04-30 with Mathematics categories.
Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Lévy processes, then leading on to develop the stochastic calculus for Lévy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.
L Vy Processes
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Author : Ole E Barndorff-Nielsen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
L Vy Processes written by Ole E Barndorff-Nielsen 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 2012-12-06 with Mathematics categories.
A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.