The theory of singular perturbations has evolved as a response to the need to find approximate solutions (in an analytical form) to complex problems. Typically, such problems are expressed in terms of differential equations which contain at least one small parameter, and they can arise in many field
Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
β Scribed by Rong SITU
- Book ID
- 127426329
- Publisher
- Springer
- Year
- 2005
- Tongue
- English
- Weight
- 3 MB
- Series
- Mathematical and analytical techniques with applications to engineering
- Edition
- 1
- Category
- Library
- City
- New York
- ISBN
- 0387251758
No coin nor oath required. For personal study only.
β¦ Synopsis
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,Β and can also be applied to research in many other problems in nature, science and elsewhere.
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Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. 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 by step proc
Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. 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 by step proc