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 th...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: SITU, Rong (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer US : Imprint: Springer, 2005.
Edición:1st ed. 2005.
Colección:Mathematical and Analytical Techniques with Applications to Engineering,
Temas:
Engineering mathematics.
Engineering > Data processing.
Mathematical analysis.
Probabilities.
Mathematics.
Mathematical physics.
Fluid mechanics.
Mathematical and Computational Engineering Applications.
Analysis.
Probability Theory.
Applications of Mathematics.
Theoretical, Mathematical and Computational Physics.
Engineering Fluid Dynamics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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