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Refinar búsquedaHigh Dimensional Probability VI / SpringerLink (Online service) ; Houdré, Christian ; Mason, David M ; Rosinski, Jan ; Wellner, Jon A (2013)
Título : High Dimensional Probability VI : The Banff Volume Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Houdré, Christian ; Mason, David M ; Rosinski, Jan ; Wellner, Jon A Editorial: Basel : Springer Basel Fecha de publicación: 2013 Otro editor: Imprint: Birkhäuser Colección: Progress in Probability, ISSN 1050-6977 num. 66 Número de páginas: XIII, 374 p Il.: online resource ISBN/ISSN/DL: 978-3-0348-0490-5 Idioma : Inglés (eng) Palabras clave: Mathematics Computer science mathematics Calculus of variations Probabilities Probability Theory and Stochastic Processes Mathematical Applications in Science Variations Optimal Control; Optimization Clasificación: 51 Matemáticas Resumen: This is a collection of papers by participants at the High Dimensional Probability VI Meeting held from October 9-14, 2011 at the Banff International Research Station in Banff, Alberta, Canada. High Dimensional Probability (HDP) is an area of mathematics that includes the study of probability distributions and limit theorems in infinite dimensional spaces such as Hilbert spaces and Banach spaces. The most remarkable feature of this area is that it has resulted in the creation of powerful new tools and perspectives, whose range of application has led to interactions with other areas of mathematics, statistics, and computer science. These include random matrix theory, nonparametric statistics, empirical process theory, statistical learning theory, concentration of measure phenomena, strong and weak approximations, distribution function estimation in high dimensions, combinatorial optimization, and random graph theory. The papers in this volume show that HDP theory continues to develop new tools, methods, techniques and perspectives to analyze the random phenomena. Both researchers and advanced students will find this book of great use for learning about new avenues of research En línea: http://dx.doi.org/10.1007/978-3-0348-0490-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32422 High Dimensional Probability VI : The Banff Volume [documento electrónico] / SpringerLink (Online service) ; Houdré, Christian ; Mason, David M ; Rosinski, Jan ; Wellner, Jon A . - Basel : Springer Basel : Imprint: Birkhäuser, 2013 . - XIII, 374 p : online resource. - (Progress in Probability, ISSN 1050-6977; 66) .
ISBN : 978-3-0348-0490-5
Idioma : Inglés (eng)
Palabras clave: Mathematics Computer science mathematics Calculus of variations Probabilities Probability Theory and Stochastic Processes Mathematical Applications in Science Variations Optimal Control; Optimization Clasificación: 51 Matemáticas Resumen: This is a collection of papers by participants at the High Dimensional Probability VI Meeting held from October 9-14, 2011 at the Banff International Research Station in Banff, Alberta, Canada. High Dimensional Probability (HDP) is an area of mathematics that includes the study of probability distributions and limit theorems in infinite dimensional spaces such as Hilbert spaces and Banach spaces. The most remarkable feature of this area is that it has resulted in the creation of powerful new tools and perspectives, whose range of application has led to interactions with other areas of mathematics, statistics, and computer science. These include random matrix theory, nonparametric statistics, empirical process theory, statistical learning theory, concentration of measure phenomena, strong and weak approximations, distribution function estimation in high dimensions, combinatorial optimization, and random graph theory. The papers in this volume show that HDP theory continues to develop new tools, methods, techniques and perspectives to analyze the random phenomena. Both researchers and advanced students will find this book of great use for learning about new avenues of research En línea: http://dx.doi.org/10.1007/978-3-0348-0490-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32422 Ejemplares
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Título : Random Walks, Boundaries and Spectra Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Lenz, Daniel ; Sobieczky, Florian ; Woess, Wolfgang Editorial: Basel : Springer Basel Fecha de publicación: 2011 Colección: Progress in Probability, ISSN 1050-6977 num. 64 Número de páginas: XXVI, 326 p Il.: online resource ISBN/ISSN/DL: 978-3-0346-0244-0 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: These proceedings represent the current state of research on the topics 'boundary theory' and 'spectral and probability theory' of random walks on infinite graphs. They are the result of the two workshops held in Styria (Graz and St. Kathrein am Offenegg, Austria) between June 29th and July 5th, 2009. Many of the participants joined both meetings. Even though the perspectives range from very different fields of mathematics, they all contribute with important results to the same wonderful topic from structure theory, which, by extending a quotation of Laurent Saloff-Coste, could be described by 'exploration of groups by random processes'. Contributors: M. Arnaudon A. Bendikov M. Björklund B. Bobikau D. D’Angeli A. Donno M.J. Dunwoody A. Erschler R. Froese A. Gnedin Y. Guivarc’h S. Haeseler D. Hasler P.E.T. Jorgensen M. Keller I. Krasovsky P. Müller T. Nagnibeda J. Parkinson E.P.J. Pearse C. Pittet C.R.E. Raja B. Schapira W. Spitzer P. Stollmann A. Thalmaier T.S. Turova R.K. Wojciechowski En línea: http://dx.doi.org/10.1007/978-3-0346-0244-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33240 Random Walks, Boundaries and Spectra [documento electrónico] / SpringerLink (Online service) ; Lenz, Daniel ; Sobieczky, Florian ; Woess, Wolfgang . - Basel : Springer Basel, 2011 . - XXVI, 326 p : online resource. - (Progress in Probability, ISSN 1050-6977; 64) .
ISBN : 978-3-0346-0244-0
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: These proceedings represent the current state of research on the topics 'boundary theory' and 'spectral and probability theory' of random walks on infinite graphs. They are the result of the two workshops held in Styria (Graz and St. Kathrein am Offenegg, Austria) between June 29th and July 5th, 2009. Many of the participants joined both meetings. Even though the perspectives range from very different fields of mathematics, they all contribute with important results to the same wonderful topic from structure theory, which, by extending a quotation of Laurent Saloff-Coste, could be described by 'exploration of groups by random processes'. Contributors: M. Arnaudon A. Bendikov M. Björklund B. Bobikau D. D’Angeli A. Donno M.J. Dunwoody A. Erschler R. Froese A. Gnedin Y. Guivarc’h S. Haeseler D. Hasler P.E.T. Jorgensen M. Keller I. Krasovsky P. Müller T. Nagnibeda J. Parkinson E.P.J. Pearse C. Pittet C.R.E. Raja B. Schapira W. Spitzer P. Stollmann A. Thalmaier T.S. Turova R.K. Wojciechowski En línea: http://dx.doi.org/10.1007/978-3-0346-0244-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33240 Ejemplares
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Título : Seminar on Stochastic Analysis, Random Fields and Applications VI : Centro Stefano Franscini, Ascona, May 2008 Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Dalang, Robert ; Dozzi, Marco ; Russo, Francesco Editorial: Basel : Springer Basel Fecha de publicación: 2011 Colección: Progress in Probability, ISSN 1050-6977 num. 63 Número de páginas: XII, 492 p Il.: online resource ISBN/ISSN/DL: 978-3-0348-0021-1 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance. Contributors: S. Albeverio S. Ankirchner V. Bogachev R. Brummelhuis Z. Brzezniak R. Carmona C. Ceci J.M. Corcuera A.B. Cruzeiro G. Da Prato M. Fehr D. Filipovic B. Goldys M. Hairer E. Hausenblas F. Hubalek H. Hulley P. Imkeller A. Jakubowski A. Kohatsu-Higa A. Kovaleva E. Kyprianou C. Léonard J. Lörinczi A. Malyarenko B. Maslowski J.C. Mattingly S. Mazzucchi L. Overbeck E. Platen M. Röckner M. Romito T. Schmidt R. Sircar W. Stannat K.-T. Sturm A. Toussaint L. Vostrikova J. Woerner Y. Xiao J.-C. Zambrini Nota de contenido: Preface -- List of participants -- I Stochastic Analysis and Random Fields -- The trace formula for the heat semigroup with polynomial potential -- Existence results for Fokker–Planck equations in Hilbert spaces -- Uniqueness in law of the Itô integral with respect to Lévy noise -- Statistical inference and Malliavin calculus -- Hydrodynamics, probability and the geometry of the diffeomorphisms group -- On stochastic ergodic control in infinite dimensions -- Yet another look at Harris’ ergodic theorem for Markov chains -- Old and new examples of scale functions for spectrally negative Lévy processes -- A visual criterion for identifying Itô diffusions as martingales or strict local martingales -- Are fractional Brownian motions predictable? -- Control of exit time for Lagrangian systems with weak noise -- A probabilistic deformation of calculus of variations with constraints -- Exponential integrability and DLR consistence of some rough functional -- A family of series representations of the multiparameter fractional Brownian motion -- The martingale problem for Markov solutions to the Navier-Stokes equations -- Functional inequalities for the Wasserstein Dirichlet form -- Entropic measure on multidimensional spaces -- Properties of strong local nondeterminism and local times of stable random fields -- II Stochastic Methods in Financial Models -- Hedging with residual risk: a BSDE approach -- Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1, 1) -- The clean development mechanism and joint price formation for allowances and CERs -- Optimal investment problems with marked point processes -- Doubly stochastic CDO term structures -- A framework for dynamic hedging under convex risk measures -- On the stability of prices of contingent claims in incomplete models under statistical estimations -- Analyzing the fine structure of continous time stochastic processes En línea: http://dx.doi.org/10.1007/978-3-0348-0021-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33250 Seminar on Stochastic Analysis, Random Fields and Applications VI : Centro Stefano Franscini, Ascona, May 2008 [documento electrónico] / SpringerLink (Online service) ; Dalang, Robert ; Dozzi, Marco ; Russo, Francesco . - Basel : Springer Basel, 2011 . - XII, 492 p : online resource. - (Progress in Probability, ISSN 1050-6977; 63) .
ISBN : 978-3-0348-0021-1
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Probability Theory and Stochastic Processes Clasificación: 51 Matemáticas Resumen: This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance. Contributors: S. Albeverio S. Ankirchner V. Bogachev R. Brummelhuis Z. Brzezniak R. Carmona C. Ceci J.M. Corcuera A.B. Cruzeiro G. Da Prato M. Fehr D. Filipovic B. Goldys M. Hairer E. Hausenblas F. Hubalek H. Hulley P. Imkeller A. Jakubowski A. Kohatsu-Higa A. Kovaleva E. Kyprianou C. Léonard J. Lörinczi A. Malyarenko B. Maslowski J.C. Mattingly S. Mazzucchi L. Overbeck E. Platen M. Röckner M. Romito T. Schmidt R. Sircar W. Stannat K.-T. Sturm A. Toussaint L. Vostrikova J. Woerner Y. Xiao J.-C. Zambrini Nota de contenido: Preface -- List of participants -- I Stochastic Analysis and Random Fields -- The trace formula for the heat semigroup with polynomial potential -- Existence results for Fokker–Planck equations in Hilbert spaces -- Uniqueness in law of the Itô integral with respect to Lévy noise -- Statistical inference and Malliavin calculus -- Hydrodynamics, probability and the geometry of the diffeomorphisms group -- On stochastic ergodic control in infinite dimensions -- Yet another look at Harris’ ergodic theorem for Markov chains -- Old and new examples of scale functions for spectrally negative Lévy processes -- A visual criterion for identifying Itô diffusions as martingales or strict local martingales -- Are fractional Brownian motions predictable? -- Control of exit time for Lagrangian systems with weak noise -- A probabilistic deformation of calculus of variations with constraints -- Exponential integrability and DLR consistence of some rough functional -- A family of series representations of the multiparameter fractional Brownian motion -- The martingale problem for Markov solutions to the Navier-Stokes equations -- Functional inequalities for the Wasserstein Dirichlet form -- Entropic measure on multidimensional spaces -- Properties of strong local nondeterminism and local times of stable random fields -- II Stochastic Methods in Financial Models -- Hedging with residual risk: a BSDE approach -- Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1, 1) -- The clean development mechanism and joint price formation for allowances and CERs -- Optimal investment problems with marked point processes -- Doubly stochastic CDO term structures -- A framework for dynamic hedging under convex risk measures -- On the stability of prices of contingent claims in incomplete models under statistical estimations -- Analyzing the fine structure of continous time stochastic processes En línea: http://dx.doi.org/10.1007/978-3-0348-0021-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33250 Ejemplares
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Título : Seminar on Stochastic Analysis, Random Fields and Applications VII : Centro Stefano Franscini, Ascona, May 2011 Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Dalang, Robert C ; Dozzi, Marco ; Russo, Francesco Editorial: Basel : Springer Basel Fecha de publicación: 2013 Otro editor: Imprint: Birkhäuser Colección: Progress in Probability, ISSN 1050-6977 num. 67 Número de páginas: XI, 469 p. 28 illus., 22 illus. in color Il.: online resource ISBN/ISSN/DL: 978-3-0348-0545-2 Idioma : Inglés (eng) Palabras clave: Mathematics Mathematical analysis Analysis (Mathematics) Partial differential equations Probabilities Probability Theory and Stochastic Processes Differential Equations Clasificación: 51 Matemáticas Resumen: This book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2011. The seminar mainly focused on: • stochastic (partial) differential equations, especially with regard to jump processes, construction of solutions and approximations • Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems • stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The notes of the public lecture held by Nicolas Bouleau on the fundamental question of whether there can be an excessive mathematization of the world in an economic context are also included. The book will be a valuable resource for researchers working in stochastic analysis and for professionals interested in stochastic methods in finance. Contributors: R. Balan F.E. Benth F. Biagini N. Bouleau S. Cawston C. Ceci R. Cogo G. Di Nunno R. Eden H. Eyjolfsson B. Ferrario D. Filipovic A. Gombani I. Gyöngy B. Jourdain A. Kohatsu-Higa T. Lim V. Ly Vath V. Mandrekar C. Marinelli L.M. Morato H.-L. Ngo I. Nourdin G. Peccati B. Rüdiger W.J. Runggaldier J.-M. Sahut M. Sbai S. Scotti S. Sjursen R. Speicher S.S. Sritharan W. Stannat P.R. Stinga S. Tappe S. Ugolini A.R.L. Valdez T. Vargiolu F. Viens L. Vostrikova M. Xu Nota de contenido: Foreword -- Public lecture by N. Bouleau, Can there be excessive mathematization of the world? -- Part I: Stochastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise -- G. Di Nunno, S.Sjursen, On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process -- R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations -- B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's -- I. Gyöngy, P.R. Stinga, Rate of convergence of Wong-Zakai approximations for SPDEs -- A. Kohatsu-Higa, H -- L. Ngo, Weak approximations for SDE's driven by Lévy processes -- V. Mandrekar, B. Ruediger, S. Tappe, Itô's formula for Banach space valued jump processes driven by Poisson random measures -- C. Marinelli, Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise -- L.M. Morato, S. Ugolini, Localization of relative entropy in Bose-Einstein condensation of trapped interacting bosons -- I. Nourdin, G. Peccati, R. Speicher, Multidimensional semicircular limits on the free Wigner chaos -- S.S. Sritharan and M. Xu, Malliavin Calculus for stochastic point vortex and Lagrangian models -- W. Stannat, Two remarks on the Wasserstein Dirichlet form -- J. Manuel, Erratum -- Part II: Stochastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets -- F.E. Benth, H. Eyjolfsson, Stochastic modeling of power markets using stationary processes -- S. Cawston, L. Vostrikova, F-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lévy models with a change-point -- C. Ceci, Optimal investment-consumption for partially observed jump-diffusions -- R. Cogo, A. Gombani, W.J. Runggaldier, Stochastic control and pricing under swap measures -- D. Filipovic, Variance swap curve models -- B. Jourdain, M. Sbai. Efficient second order weak scheme for stochastic volatility models -- T. Lim, V. Ly Vath, J -- M. Sahut, S. Scotti, Bid-ask spread modelling, a perturbation approach -- A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regime-switching model En línea: http://dx.doi.org/10.1007/978-3-0348-0545-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32430 Seminar on Stochastic Analysis, Random Fields and Applications VII : Centro Stefano Franscini, Ascona, May 2011 [documento electrónico] / SpringerLink (Online service) ; Dalang, Robert C ; Dozzi, Marco ; Russo, Francesco . - Basel : Springer Basel : Imprint: Birkhäuser, 2013 . - XI, 469 p. 28 illus., 22 illus. in color : online resource. - (Progress in Probability, ISSN 1050-6977; 67) .
ISBN : 978-3-0348-0545-2
Idioma : Inglés (eng)
Palabras clave: Mathematics Mathematical analysis Analysis (Mathematics) Partial differential equations Probabilities Probability Theory and Stochastic Processes Differential Equations Clasificación: 51 Matemáticas Resumen: This book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2011. The seminar mainly focused on: • stochastic (partial) differential equations, especially with regard to jump processes, construction of solutions and approximations • Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems • stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The notes of the public lecture held by Nicolas Bouleau on the fundamental question of whether there can be an excessive mathematization of the world in an economic context are also included. The book will be a valuable resource for researchers working in stochastic analysis and for professionals interested in stochastic methods in finance. Contributors: R. Balan F.E. Benth F. Biagini N. Bouleau S. Cawston C. Ceci R. Cogo G. Di Nunno R. Eden H. Eyjolfsson B. Ferrario D. Filipovic A. Gombani I. Gyöngy B. Jourdain A. Kohatsu-Higa T. Lim V. Ly Vath V. Mandrekar C. Marinelli L.M. Morato H.-L. Ngo I. Nourdin G. Peccati B. Rüdiger W.J. Runggaldier J.-M. Sahut M. Sbai S. Scotti S. Sjursen R. Speicher S.S. Sritharan W. Stannat P.R. Stinga S. Tappe S. Ugolini A.R.L. Valdez T. Vargiolu F. Viens L. Vostrikova M. Xu Nota de contenido: Foreword -- Public lecture by N. Bouleau, Can there be excessive mathematization of the world? -- Part I: Stochastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise -- G. Di Nunno, S.Sjursen, On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process -- R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations -- B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's -- I. Gyöngy, P.R. Stinga, Rate of convergence of Wong-Zakai approximations for SPDEs -- A. Kohatsu-Higa, H -- L. Ngo, Weak approximations for SDE's driven by Lévy processes -- V. Mandrekar, B. Ruediger, S. Tappe, Itô's formula for Banach space valued jump processes driven by Poisson random measures -- C. Marinelli, Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise -- L.M. Morato, S. Ugolini, Localization of relative entropy in Bose-Einstein condensation of trapped interacting bosons -- I. Nourdin, G. Peccati, R. Speicher, Multidimensional semicircular limits on the free Wigner chaos -- S.S. Sritharan and M. Xu, Malliavin Calculus for stochastic point vortex and Lagrangian models -- W. Stannat, Two remarks on the Wasserstein Dirichlet form -- J. Manuel, Erratum -- Part II: Stochastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets -- F.E. Benth, H. Eyjolfsson, Stochastic modeling of power markets using stationary processes -- S. Cawston, L. Vostrikova, F-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lévy models with a change-point -- C. Ceci, Optimal investment-consumption for partially observed jump-diffusions -- R. Cogo, A. Gombani, W.J. Runggaldier, Stochastic control and pricing under swap measures -- D. Filipovic, Variance swap curve models -- B. Jourdain, M. Sbai. Efficient second order weak scheme for stochastic volatility models -- T. Lim, V. Ly Vath, J -- M. Sahut, S. Scotti, Bid-ask spread modelling, a perturbation approach -- A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regime-switching model En línea: http://dx.doi.org/10.1007/978-3-0348-0545-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32430 Ejemplares
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Título : Stochastic Analysis with Financial Applications : Hong Kong 2009 Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Kohatsu-Higa, Arturo ; Privault, Nicolas ; Sheu, Shuenn-Jyi Editorial: Basel : Springer Basel Fecha de publicación: 2011 Colección: Progress in Probability, ISSN 1050-6977 num. 65 Número de páginas: IX, 430 p. 17 illus., 14 illus. in color Il.: online resource ISBN/ISSN/DL: 978-3-0348-0097-6 Idioma : Inglés (eng) Palabras clave: Mathematics Economics, Mathematical Probabilities Probability Theory and Stochastic Processes Quantitative Finance Clasificación: 51 Matemáticas Resumen: Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs. Contributors: T.R. Bielecki N. Bouleau S. Chakraborty T.S. Chiang S.N. Cohen J.M. Corcuera S. Crépey A.B. Cruzeiro L. Denis J. Duan R.J. Elliott S. Fang M. Fukasawa F.Q. Gao B. Goldys S. Han Y. Ishikawa M. Jeanblanc H. Jiang B. Jourdain A. Kohatsu-Higa E.T. Kolkovska H. Lee L. Li J.A. López-Mimbela J. Luo B. Øksendahl J. Ren M. Rutkowski E. Shamarova S.J. Sheu A. Sulem A. Takeuchi N. Vaytis R. Wang J. Wei J. Wu J. Yang H. Yang K. Yasuda X. Zhang En línea: http://dx.doi.org/10.1007/978-3-0348-0097-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33260 Stochastic Analysis with Financial Applications : Hong Kong 2009 [documento electrónico] / SpringerLink (Online service) ; Kohatsu-Higa, Arturo ; Privault, Nicolas ; Sheu, Shuenn-Jyi . - Basel : Springer Basel, 2011 . - IX, 430 p. 17 illus., 14 illus. in color : online resource. - (Progress in Probability, ISSN 1050-6977; 65) .
ISBN : 978-3-0348-0097-6
Idioma : Inglés (eng)
Palabras clave: Mathematics Economics, Mathematical Probabilities Probability Theory and Stochastic Processes Quantitative Finance Clasificación: 51 Matemáticas Resumen: Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs. Contributors: T.R. Bielecki N. Bouleau S. Chakraborty T.S. Chiang S.N. Cohen J.M. Corcuera S. Crépey A.B. Cruzeiro L. Denis J. Duan R.J. Elliott S. Fang M. Fukasawa F.Q. Gao B. Goldys S. Han Y. Ishikawa M. Jeanblanc H. Jiang B. Jourdain A. Kohatsu-Higa E.T. Kolkovska H. Lee L. Li J.A. López-Mimbela J. Luo B. Øksendahl J. Ren M. Rutkowski E. Shamarova S.J. Sheu A. Sulem A. Takeuchi N. Vaytis R. Wang J. Wei J. Wu J. Yang H. Yang K. Yasuda X. Zhang En línea: http://dx.doi.org/10.1007/978-3-0348-0097-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33260 Ejemplares
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