Stochastic calculus and applications:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Basel]
Birkhäuser
[2015]
|
| Ausgabe: | Second edition |
| Schriftenreihe: | Probability and its applications
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FRO01 TUM01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online Ressource (xxiii, 666 Seiten) Illustrationen |
| ISBN: | 9781493928675 |
| ISSN: | 2297-0371 |
| DOI: | 10.1007/978-1-4939-2867-5 |
Internformat
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Datensatz im Suchindex
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| adam_text | STOCHASTIC CALCULUS AND APPLICATIONS
/ COHEN, SAMUEL N.
: 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PART I: MEASURE THEORETIC PROBABILITY
MEASURE INTEGRAL
PROBABILITIES AND EXPECTATION
PART II: STOCHASTIC PROCESSES
FILTRATIONS, STOPPING TIMES AND STOCHASTIC PROCESSES
MARTINGALES IN DISCRETE TIME
MARTINGALES IN CONTINUOUS TIME
THE CLASSIFICATION OF STOPPING TIMES
THE PROGRESSIVE, OPTIONAL AND PREDICABLE -ALGEBRAS
PART III: STOCHASTIC INTEGRATION
PROCESSES OF FINITE VARIATION
THE DOOB-MEYER DECOMPOSITION
THE STRUCTURE OF SQUARE INTEGRABLE MARTINGALES
QUADRATIC VARIATION AND SEMIMARTINGALES
THE STOCHASTIC INTEGRAL
RANDOM MEASURES
PART IV: STOCHASTIC DIFFERENTIAL EQUATIONS
ITO S DIFFERENTIAL RULE
THE EXPONENTIAL FORMULA AND GIRSANOV S THEOREM
LIPSCHITZ STOCHASTIC DIFFERENTIAL EQUATIONS
MARKOV PROPERTIES OF SDES
WEAK SOLUTIONS OF SDES
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
PART V: APPLICATIONS
CONTROL OF A SINGLE JUMP
OPTIMAL CONTROL OF DRIFTS AND JUMP RATES
FILTERING. PART VI: APPENDICES
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
STOCHASTIC CALCULUS AND APPLICATIONS
/ COHEN, SAMUEL N.
: 2015
ABSTRACT / INHALTSTEXT
COMPLETELY REVISED AND GREATLY EXPANDED, THE NEW EDITION OF THIS TEXT
TAKES READERS WHO HAVE BEEN EXPOSED TO ONLY BASIC COURSES IN ANALYSIS
THROUGH THE MODERN GENERAL THEORY OF RANDOM PROCESSES AND STOCHASTIC
INTEGRALS AS USED BY SYSTEMS THEORISTS, ELECTRONIC ENGINEERS AND, MORE
RECENTLY, THOSE WORKING IN QUANTITATIVE AND MATHEMATICAL FINANCE.
BUILDING UPON THE ORIGINAL RELEASE OF THIS TITLE, THIS TEXT WILL BE OF
GREAT INTEREST TO RESEARCH MATHEMATICIANS AND GRADUATE STUDENTS WORKING
IN THOSE FIELDS, AS WELL AS QUANTS IN THE FINANCE INDUSTRY. NEW FEATURES
OF THIS EDITION INCLUDE: END OF CHAPTER EXERCISES; NEW CHAPTERS ON BASIC
MEASURE THEORY AND BACKWARD SDES; REWORKED PROOFS, EXAMPLES AND
EXPLANATORY MATERIAL; INCREASED FOCUS ON MOTIVATING THE MATHEMATICS;
EXTENSIVE TOPICAL INDEX. SUCH A SELF-CONTAINED AND COMPLETE EXPOSITION
OF STOCHASTIC CALCULUS AND APPLICATIONS FILLS AN EXISTING GAP IN THE
LITERATURE. THE BOOK CAN BE RECOMMENDED FOR FIRST-YEAR GRADUATE STUDIES.
IT WILL BE USEFUL FOR ALL WHO INTEND TO WORK WITH STOCHASTIC CALCULUS AS
WELL AS WITH ITS APPLICATIONS. –ZENTRALBLATT (FROM REVIEW OF THE FIRST
EDITION)
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| discipline | Mathematik |
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| spelling | Cohen, Samuel N. Verfasser (DE-588)1031500766 aut Stochastic calculus and applications Samuel N. Cohen, Robert J. Elliott Second edition [Basel] Birkhäuser [2015] © 2015 1 Online Ressource (xxiii, 666 Seiten) Illustrationen txt rdacontent c rdamedia cr rdacarrier Probability and its applications 2297-0371 Mathematics Partial differential equations Economics, Mathematical Computer mathematics Probabilities Electrical engineering Probability Theory and Stochastic Processes Partial Differential Equations Electrical Engineering Computational Mathematics and Numerical Analysis Quantitative Finance Mathematik Stochastik (DE-588)4121729-9 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 s DE-604 Stochastik (DE-588)4121729-9 s Elliott, Robert J. 1940- Verfasser (DE-588)129338745 aut Erscheint auch als Druck-Ausgabe, Hardcover 978-1-4939-2866-8 Erscheint auch als Druck-Ausgabe, Paperback 978-1-4939-3681-6 https://doi.org/10.1007/978-1-4939-2867-5 Verlag URL des Erstveröffentlichers Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028632919&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028632919&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Cohen, Samuel N. Elliott, Robert J. 1940- Stochastic calculus and applications Mathematics Partial differential equations Economics, Mathematical Computer mathematics Probabilities Electrical engineering Probability Theory and Stochastic Processes Partial Differential Equations Electrical Engineering Computational Mathematics and Numerical Analysis Quantitative Finance Mathematik Stochastik (DE-588)4121729-9 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| subject_GND | (DE-588)4121729-9 (DE-588)4057630-9 |
| title | Stochastic calculus and applications |
| title_auth | Stochastic calculus and applications |
| title_exact_search | Stochastic calculus and applications |
| title_full | Stochastic calculus and applications Samuel N. Cohen, Robert J. Elliott |
| title_fullStr | Stochastic calculus and applications Samuel N. Cohen, Robert J. Elliott |
| title_full_unstemmed | Stochastic calculus and applications Samuel N. Cohen, Robert J. Elliott |
| title_short | Stochastic calculus and applications |
| title_sort | stochastic calculus and applications |
| topic | Mathematics Partial differential equations Economics, Mathematical Computer mathematics Probabilities Electrical engineering Probability Theory and Stochastic Processes Partial Differential Equations Electrical Engineering Computational Mathematics and Numerical Analysis Quantitative Finance Mathematik Stochastik (DE-588)4121729-9 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| topic_facet | Mathematics Partial differential equations Economics, Mathematical Computer mathematics Probabilities Electrical engineering Probability Theory and Stochastic Processes Partial Differential Equations Electrical Engineering Computational Mathematics and Numerical Analysis Quantitative Finance Mathematik Stochastik Stochastischer Prozess |
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