Random Evolutions and their Applications

Name: Random Evolutions and their Applications
Brand: Springer Netherlands
SKU: 9780792362647
Price: 38571 HUF
Availability: InStock

New Trends

Szerző: A. Swishchuk

Nyelv:

Kötés: Kemény kötésű

Kiadó: Springer Netherlands

Elérhetőség: Beszállítói készleten

Küldés 10-13 napon belül

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The book is devoted to the new trends in random evolutions and their various applications to stochas...

Információk a könyvről

Szerző

A. Swishchuk

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2000

oldal

294

EAN

9780792362647

ISBN

0792362640

Enbook ID

01396374

Kiadó

Springer Netherlands

Súly

621

Méretek

160 x 240 x 19

Teljes leírás

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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Random Evolutions and their Applications

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Teljes leírás

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