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 w
Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
β Scribed by Rong SITU
- Publisher
- Springer
- Year
- 2005
- Tongue
- English
- Leaves
- 443
- Series
- Mathematical and analytical techniques with applications to engineering
- Edition
- 1
- Category
- Library
No coin nor oath required. For personal study only.
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<p><p>Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance.</p><p>Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated
This book explains a procedure for constructing realistic stochastic differential equation models for randomly varying systems in biology, chemistry, physics, engineering, and finance. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integr