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Stochastic Processes and Related Topics de Jeff Englebert

Stochastic Processes and Related Topics: Stochastics Monographs

Autor Jeff Englebert
en Limba Engleză Hardback – 9 feb 1996
The aim of this volume is to make accessible to a greater audience papers given at the 10th Winterschool on Stochastic Processes in Siegmundsburg, Germany, March 1994. The papers include developments in stochastic analysis, applications to finance mathematics, Markov processes and diffusion processes, stochastic differential equations and stochastic partial differential equations.
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Specificații

ISBN-13: 9782884490696
ISBN-10: 2884490698
Pagini: 182
Dimensiuni: 152 x 229 x 21 mm
Greutate: 0.49 kg
Ediția:1
Editura: CRC Press
Colecția CRC Press
Seria Stochastics Monographs

Public țintă

Professional

Cuprins

Generalized Ito formula and derivation of Bellman's equation; robustness of hedging strategies for European options; on the laws of orthogonal projectors on eigenspaces of Lyapunov exponents of linear stochastic differential equations; generalized second order partial differential operators in analysis and probability; on the limit of stochastic integrals of differential forms; asymptotic properties of stochastic equations with boundary and pointwise noise; the Follmer-Schweizer decomposition; the stochastic maximum principle; a brief survey and an application; Sobolov spaces of functions on an infinite-dimensional domain; diffusion in a medium with semi-transparent diaphragms; anticipative Stratonovich equation via Zvonkin method; on continuous-time models of term structure of interest rates; pricing options by dynamic programming; list of participants; list of talks.

Descriere

The aim of this volume is to make accessible to a greater audience papers given at the 10th Winterschool on Stochastic Processes in Siegmundsburg, Germany, March 1994