Download or read book Markov Processes Semigroups and Generators written by Vassili N. Kolokoltsov and published by Walter de Gruyter. This book was released on 2011-03-29 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov processes represent a universal model for a large variety of real life random evolutions. The wide flow of new ideas, tools, methods and applications constantly pours into the ever-growing stream of research on Markov processes that rapidly spreads over new fields of natural and social sciences, creating new streamlined logical paths to its turbulent boundary. Even if a given process is not Markov, it can be often inserted into a larger Markov one (Markovianization procedure) by including the key historic parameters into the state space. This monograph gives a concise, but systematic and self-contained, exposition of the essentials of Markov processes, together with recent achievements, working from the "physical picture" - a formal pre-generator, and stressing the interplay between probabilistic (stochastic differential equations) and analytic (semigroups) tools. The book will be useful to students and researchers. Part I can be used for a one-semester course on Brownian motion, Lévy and Markov processes, or on probabilistic methods for PDE. Part II mainly contains the author's research on Markov processes. From the contents: Tools from Probability and Analysis Brownian motion Markov processes and martingales SDE, ψDE and martingale problems Processes in Euclidean spaces Processes in domains with a boundary Heat kernels for stable-like processes Continuous-time random walks and fractional dynamics Complex chains and Feynman integral
Download or read book Modeling Stochastic Control Optimization and Applications written by George Yin and published by Springer. This book was released on 2019-07-16 with total page 593 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.
Download or read book Progress In Analysis And Its Applications Proceedings Of The 7th International Isaac Congress written by Michael Ruzhansky and published by World Scientific. This book was released on 2010-07-29 with total page 668 pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Society for Analysis, its Applications and Computation (ISAAC) has held its international congresses biennially since 1997. This proceedings volume reports on the progress in analysis, applications and computation in recent years as covered and discussed at the 7th ISAAC Congress. This volume includes papers on partial differential equations, function spaces, operator theory, integral transforms and equations, potential theory, complex analysis and generalizations, stochastic analysis, inverse problems, homogenization, continuum mechanics, mathematical biology and medicine. With over 500 participants from almost 60 countries attending the congress, the book comprises a broad selection of contributions in different topics.
Download or read book American Type Options written by Dmitrii S. Silvestrov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2015-03-03 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
Download or read book Advanced Mathematical Methods for Finance written by Julia Di Nunno and published by Springer Science & Business Media. This book was released on 2011-03-29 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Download or read book Issues in Finance Business and Economics Research 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Finance, Business, and Economics Research: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Additional Research. The editors have built Issues in Finance, Business, and Economics Research: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Additional Research in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Finance, Business, and Economics Research: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Download or read book Modern Methods in Operator Theory and Harmonic Analysis written by Alexey Karapetyants and published by Springer Nature. This book was released on 2019-08-28 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume gathers selected, peer-reviewed papers from the "Modern Methods, Problems and Applications of Operator Theory and Harmonic Analysis VIII" (OTHA 2018) conference, which was held in Rostov-on-Don, Russia, in April 2018. The book covers a diverse range of topics in advanced mathematics, including harmonic analysis, functional analysis, operator theory, function theory, differential equations and fractional analysis – all fields that have been intensively developed in recent decades. Direct and inverse problems arising in mathematical physics are studied and new methods for solving them are presented. Complex multiparameter objects that require the involvement of operators with variable parameters and functional spaces, with fractional and even variable exponents, make these approaches all the more relevant. Given its scope, the book will especially benefit researchers with an interest in new trends in harmonic analysis and operator theory, though it will also appeal to graduate students seeking new and intriguing topics for further investigation.
Download or read book Stochastic Processes and Applications to Mathematical Finance written by Jiro Akahori and published by World Scientific. This book was released on 2004 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.
Download or read book The Journal of Derivatives written by and published by . This book was released on 2002 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Processes And Applications To Mathematical Finance Proceedings Of The Ritsumeikan International Symposium written by Jiro Akahori and published by World Scientific. This book was released on 2004-07-06 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
Download or read book Stochastic Processes and Applications to Mathematical Finance written by and published by World Scientific. This book was released on 2004 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"
Download or read book Application of Markov Diffusion Processes in Economics and Finance written by Dmitry Davydov and published by . This book was released on 2000 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.
Download or read book Ruin Probabilities written by S?ren Asmussen and published by World Scientific. This book was released on 2010 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramr?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.
Download or read book Monte Carlo Methods and Models in Finance and Insurance written by Ralf Korn and published by CRC Press. This book was released on 2010-02-26 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Download or read book Markov Processes Semigroups and Generators written by Vassili N. Kolokoltsov and published by Walter de Gruyter. This book was released on 2011 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work offers a highly useful, well developed reference on Markov processes, the universal model for random processes and evolutions. The wide range of applications, in exact sciences as well as in other areas like social studies, require a volume that offers a refresher on fundamentals before conveying the Markov processes and examples for
Download or read book Weak Convergence of Financial Markets written by Jean-Luc Prigent and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
