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Random Evolutions and their Applications: New Trends (Mathematics and Its Applications Book 504) 🔍
Anatoly Swishchuk (auth.) Springer Netherlands : Imprint: Springer, Mathematics and Its Applications 504, 1, 2000
英语 [en] · PDF · 10.8MB · 2000 · 📘 非小说类图书 · 🚀/lgli/lgrs/nexusstc/scihub/zlib · Save
描述
The book is devoted to the new trends in random evolutions and their various applications to stochastic evolutionary sytems (SES). Such new developments as the analogue of Dynkin's formulae, boundary value problems, stochastic stability and optimal control of random evolutions, stochastic evolutionary equations driven by martingale measures are considered. The book also contains such new trends in applied probability as stochastic models of financial and insurance mathematics in an incomplete market. In the famous classical financial mathematics Black-Scholes model of a (B,S) market for securities prices, which is used for the description of the evolution of bonds and stocks prices and also for their derivatives, such as options, futures, forward contracts, etc., it is supposed that the dynamic of bonds and stocks prices are set by a linear differential and linear stochastic differential equations, respectively, with interest rate, appreciation rate and volatility such that they are predictable processes. Also, in the Arrow-Debreu economy, the securities prices which support a Radner dynamic equilibrium are a combination of an Ito process and a random point process, with the all coefficients and jumps being predictable processes.
Erscheinungsdatum: 06.12.2010
备用文件名
lgrsnf/A:\compressed\10.1007%2F978-94-015-9598-8.pdf
备用文件名
nexusstc/Random Evolutions and their Applications/510fae89e46b73ebf6301704eec43829.pdf
备用文件名
scihub/10.1007/978-94-015-9598-8.pdf
备用文件名
zlib/Science (General)/Anatoly Swishchuk (auth.)/Random Evolutions and their Applications: New Trends_2104893.pdf
备选作者
Anatoly Swishchuk; SpringerLink (Online service)
备选作者
Anatoliĭ Vitalʹevich Svishchuk
备选作者
by Anatoly Swishchuk
备选作者
Swishchuk, Anatoly
备用出版商
Springer Science + Business Media BV
备用版本
Mathematics and Its Applications -- 504, Mathematics and Its Applications -- 504, Dordrecht, Netherlands, 2000
备用版本
Mathematics and its applications, v. 504, Dordrecht, 2011
备用版本
Softcover reprint of hardcover 1st ed. 2000, 2010
备用版本
Springer Nature, Dordrecht, 2013
备用版本
Netherlands, Netherlands
元数据中的注释
sm43007951
元数据中的注释
{"edition":"1","isbns":["9048154413","9401595984","9789048154418","9789401595988"],"last_page":294,"publisher":"Springer Netherlands","series":"Mathematics and Its Applications 504"}
元数据中的注释
Online full text is restricted to subscribers.
Also available in print.
Mode of access: World Wide Web.
备用描述
Front Matter....Pages i-xvi
Introduction....Pages 1-20
Random Evolutions (RE)....Pages 21-62
Stochastic Evolutionary Systems....Pages 63-84
Random Evolution Equations Driven by Space-Time White Noise....Pages 85-105
Analogue of Dynkin’s Formula (ADF) for Multiplicative Operator Functionals (MOF), RE and SES....Pages 106-118
Boundary Value Problems (BVP) for RE and SES....Pages 119-126
Stochastic Stability of RE and SES....Pages 127-155
Stochastic Optimal Control of Random Evolutions and SES....Pages 156-179
Statistics of SES....Pages 180-187
Random Evolutions in Financial Mathematics Incomplete Market....Pages 188-224
Random Evolutions in Insurance Mathematics. Incomplete Market....Pages 225-249
Stochastic Stability of Financial and Insurance Stochastic Models....Pages 250-262
Stochastic Optimal Control of Financial and Insurance Stochastic Models....Pages 263-279
Statistics of Financial Stochastic Models....Pages 280-284
Back Matter....Pages 285-294
备用描述
This book is devoted to new trends in random evolution and their applications to the stochastic evolutionary system. It contains new developments such as an analogue of Dynkin's formula, boundary value problems, stability and control of random evolutions, stochastic evolutionary equations, and driven martingale measures. In addition, it treats statistics of random evolutions processes, statistics of financial stochastic models, and stochastic stability and control of financial markets. Audience: This volume will be of interest to research and applied mathematicians working in the fields of applied probability, stochastic processes, and random evolutions, as well as experts in statistics, finance and insurance.
备用描述
<p>This book is devoted to new trends in random evolution and their applications to the shastic evolutionary system. It contains new developments such as an analogue of Dynkin's formula, boundary value problems, stability and control of random evolutions, shastic evolutionary equations, and driven martingale measures. In addition, it treats statistics of random evolutions processes, statistics of financial shastic models, and shastic stability and control of financial markets.<br>
Audience: This volume will be of interest to research and applied mathematicians working in the fields of applied probability, shastic processes, and random evolutions, as well as experts in statistics, finance and insurance.</p>
开源日期
2013-08-01
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