Theory of Stochastic Differential Equations with Jumps and Applications : Mathematical and Analytical Techniques with Applications to Engineering
This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito s differential rule (the so-called Ito formula), to solve the SDEs, and to establish Girsanov s theorem and...
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
New York, NY :
Springer US : Imprint: Springer
[20..].
Cham : Springer Nature |
| Serie: | Mathematical and Analytical Techniques with Applications to Engineering
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| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Theory of stochastic differential equations with jumps and applications, mathematical and analytical techniques with applications to engineering, Rong Situ, 2005, New York, Springer, 1 vol. (XX-434 p.), Mathematical and analytical techniques with applications to engineering, 978-0387-25083-0 |
Sommario:
- Stochastic Differential Equations with Jumps in Rd Martingale Theory and the Stochastic Integral for Point Processes Brownian Motion, Stochastic Integral and Ito's Formula Stochastic Differential Equations Some Useful Tools in Stochastic Differential Equations Stochastic Differential Equations with Non-Lipschitzian Coefficients Applications How to Use the Stochastic Calculus to Solve SDE Linear and Non-linear Filtering Option Pricing in a Financial Market and BSDE Optimal Consumption by H-J-B Equation and Lagrange Method Comparison Theorem and Stochastic Pathwise Control Stochastic Population Control and Reflecting SDE Maximum Principle for Stochastic Systems with Jumps