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Theory of Stochastic Differential Equations with Jumps and Applications By Rong SITU

Theory of Stochastic Differential Equations with Jumps and Applications by Rong SITU

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$273.69
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Summary

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.

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Theory of Stochastic Differential Equations with Jumps and Applications Summary

Theory of Stochastic Differential Equations with Jumps and Applications: Mathematical and Analytical Techniques with Applications to Engineering by Rong SITU

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.

Table of Contents

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.

Additional information

NLS9781441937711
9781441937711
1441937714
Theory of Stochastic Differential Equations with Jumps and Applications: Mathematical and Analytical Techniques with Applications to Engineering by Rong SITU
New
Paperback
Springer-Verlag New York Inc.
2010-12-08
434
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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