Random Evolutions and their Applications

Name: Random Evolutions and their Applications
Brand: Springer Netherlands
SKU: 9789048154418
Price: 115.89 EUR
Availability: InStock

New Trends

Автор: Anatoly Swishchuk

Език:

Корици: С меки корици

Издател: Springer Netherlands

Наличност: Външен склад в ограничено количество

Изпращаме след 11-15 дни

115.89 € 226.67 лв

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

Информация за книгата

Автор

Anatoly Swishchuk

Език

Английски език

Корици

Книга - С меки корици

Издадена

2010

страници

294

EAN

9789048154418

ISBN

9048154413

Enbook ID

05322544

Издател

Springer Netherlands

Теглоt

531

Размери

160 x 240 x 16

Пълно описание

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

New Trends

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Пълно описание

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