Catálogo de publicaciones - libros
Theory of Stochastic Differential Equations with Jumps and Applications: Mathematical and Analytical Techniques with Applications to Engineering
Rong Situ
Resumen/Descripción – provisto por la editorial
No disponible.
Palabras clave – provistas por la editorial
No disponibles.
Disponibilidad
Institución detectada | Año de publicación | Navegá | Descargá | Solicitá |
---|---|---|---|---|
No detectada | 2005 | SpringerLink |
Información
Tipo de recurso:
libros
ISBN impreso
978-0-387-25083-0
ISBN electrónico
978-0-387-25175-2
Editor responsable
Springer Nature
País de edición
Reino Unido
Fecha de publicación
2005
Información sobre derechos de publicación
© Springer Science+Business Media, Inc. 2005
Cobertura temática
Tabla de contenidos
Martingale Theory and the Stochastic Integral for Point Processes
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part I - Stochastic Differential Equations with Jumps in | Pp. 3-38
Brownian Motion, Stochastic Integral and Ito's Formula
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part I - Stochastic Differential Equations with Jumps in | Pp. 39-74
Stochastic Differential Equations
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part I - Stochastic Differential Equations with Jumps in | Pp. 75-101
Some Useful Tools in Stochastic Differential Equations
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part I - Stochastic Differential Equations with Jumps in | Pp. 103-137
Stochastic Differential Equations with Non-Lipschitzian Coefficients
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part I - Stochastic Differential Equations with Jumps in | Pp. 139-160
How to Use the Stochastic Calculus to Solve SDE
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part II - Applications | Pp. 163-168
Linear and Non-linear Filtering
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part II - Applications | Pp. 169-204
Option Pricing in a Financial Market and BSDE
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part II - Applications | Pp. 205-275
Optimal Consumption by H-J-B Equation and Lagrange Method
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part II - Applications | Pp. 277-290
Comparison Theorem and Stochastic Pathwise Control
Rong Situ
In the previous chapters I described observational research projects that can be done using equipment that is commonly available in the amateur astronomer’s toolkit, or which can be added at modest expense. I avoided projects that require the use of math beyond standard high-school algebra. There are, of course, valuable projects that go outside these arbitrary boundaries. The purpose of this chapter is to identify additional projects that may be of interest to the amateur researcher. If you are willing to invest in some specialized equipment, or do some more complex math, then these projects can be brought within the boundaries of your universe. The equipment needed for some of them is likely to cost you a couple of thousand dollars, and may also require that you do some custom design, construction, and de-bugging. Depending on your budget and your enthusiasm for a particular area of research, these can be extremely rewarding investments in your hobby.
Part II - Applications | Pp. 291-327