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Random Evolutions and their Applications: New Trends: 504 (Mathematics and Its Applications, 504) - Hardcover
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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.
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Synopsis
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. 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.
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Random Evolutions and their Applications: New Trends (Mathematics and Its Applications, 504)
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Random Evolutions and their Applications: New Trends (Mathematics and Its Applications, 504)
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Random Evolutions and their Applications
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Gebunden. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 . Seller Inventory # 5969287
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Random Evolutions and their Applications
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Random Evolutions and their Applications
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Random Evolutions and their Applications
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Random Evolutions and their Applications
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Springer Netherlands, Springer Netherlands Mai 2000, 2000
ISBN 10: 0792362640
ISBN 13: 9780792362647
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Buch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 316 pp. Englisch. Seller Inventory # 9780792362647
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Random Evolutions and their Applications
Published by
Springer Netherlands Mai 2000, 2000
ISBN 10: 0792362640
ISBN 13: 9780792362647
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 316 pp. Englisch. Seller Inventory # 9780792362647
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Random Evolutions and their Applications : New Trends
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Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9780792362647