Buch, Englisch, 434 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 1790 g
Reihe: Mathematical and Analytical Techniques with Applications to Engineering
Mathematical and Analytical Techniques with Applications to Engineering
Buch, Englisch, 434 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 1790 g
Reihe: Mathematical and Analytical Techniques with Applications to Engineering
ISBN: 978-0-387-25083-0
Verlag: Springer Us
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.
Zielgruppe
Professional/practitioner
Autoren/Hrsg.
Fachgebiete
- Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
- Technische Wissenschaften Technik Allgemein Computeranwendungen in der Technik
- Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
- Mathematik | Informatik EDV | Informatik Angewandte Informatik Computeranwendungen in Wissenschaft & Technologie
- Technische Wissenschaften Maschinenbau | Werkstoffkunde Technische Mechanik | Werkstoffkunde Strömungslehre
- Naturwissenschaften Physik Physik Allgemein Theoretische Physik, Mathematische Physik, Computerphysik
- Wirtschaftswissenschaften Volkswirtschaftslehre Öffentliche Finanzwirtschaft, Besteuerung
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Naturwissenschaften Physik Mechanik Kontinuumsmechanik, Strömungslehre
- Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Mathematik | Informatik EDV | Informatik Professionelle Anwendung Computer-Aided Design (CAD)
Weitere Infos & Material
Stochastic Differential Equations with Jumps in Rd.- Martingale Theory and the Stochastic Integral for Point Processes.- Brownian Motion, Stochastic Integral and Ito's Formula.- Stochastic Differential Equations.- Some Useful Tools in Stochastic Differential Equations.- Stochastic Differential Equations with Non-Lipschitzian Coefficients.- Applications.- How to Use the Stochastic Calculus to Solve SDE.- Linear and Non-linear Filtering.- Option Pricing in a Financial Market and BSDE.- Optimal Consumption by H-J-B Equation and Lagrange Method.- Comparison Theorem and Stochastic Pathwise Control.- Stochastic Population Control and Reflecting SDE.- Maximum Principle for Stochastic Systems with Jumps.
