Theory of Stochastic Differential Equations with Jumps and Applications

Mathematical and Analytical Techniques with Applications to Engineering

Rong Situ (Autor)

Buch | Softcover

434 Seiten

2010 | Softcover reprint of hardcover 1st ed. 2005
Springer-Verlag New York Inc.
978-1-4419-3771-1 (ISBN)

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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.

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.

Erscheint lt. Verlag	8.12.2010
Reihe/Serie	Mathematical and Analytical Techniques with Applications to Engineering
Zusatzinfo	XX, 434 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Informatik ► Weitere Themen ► CAD-Programme
	Mathematik / Informatik ► Mathematik ► Analysis
	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Naturwissenschaften ► Physik / Astronomie
	Technik ► Maschinenbau
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
ISBN-10	1-4419-3771-4 / 1441937714
ISBN-13	978-1-4419-3771-1 / 9781441937711
Zustand	Neuware