Stochastic Processes and Related Topics: Stochastics Monographs
Autor Jeff Engleberten Limba Engleză Hardback – 9 feb 1996
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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
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
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Public țintă
ProfessionalCuprins
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