Download or read book Improved Convergence Rates for the Simulation of Stochastic Differential Equations Driven by Subordinated Levy Processes written by Sylvain Rubenthaler and published by . This book was released on 2003 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Improved Convergence Rate for the Simulation of Stochastic Differential Equations Driven by Subordinated Levy Processes written by Sylvain Rubenthaler and published by . This book was released on 2003 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Reviews written by and published by . This book was released on 2004 with total page 904 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Proceedings of the Conference on Stochastic Differential Equations and Applications written by Jesse David Mason and published by . This book was released on 1977 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Topics Related to Backward Stochastic Differential Equations Driven by L vy Processes written by 周清 and published by . This book was released on 2019 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variational and Ergodic Methods for Stochastic Differential Equations Driven by L vy Processes written by Jan Martin Gairing and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Convergence Rates of Approximate Solutions of Stochastic Differential Equations written by W. Römisch and published by . This book was released on 1983 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Convergence Rates of Adaptive Algorithms for Deterministic and Stochastic Differential Equations written by Kyoung-Sook Moon and published by . This book was released on 2001 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Strong Euler Scheme for Stochastic Differential Equations Driven by L vy Processes written by Arne Løkka and published by . This book was released on 1999 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Rate of Convergence for Approximate Solutions of Stochastic Differential Equations written by S. Kanagawa and published by . This book was released on 1985 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Download or read book Improved Convergence Rates for Intermediate Problems written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1987 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Feynman Kac Formulae written by Pierre Del Moral and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 567 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text takes readers in a clear and progressive format from simple to recent and advanced topics in pure and applied probability such as contraction and annealed properties of non-linear semi-groups, functional entropy inequalities, empirical process convergence, increasing propagations of chaos, central limit, and Berry Esseen type theorems as well as large deviation principles for strong topologies on path-distribution spaces. Topics also include a body of powerful branching and interacting particle methods.
Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Download or read book Introduction to Econophysics written by Rosario N. Mantegna and published by Cambridge University Press. This book was released on 1999-11-13 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
Download or read book Nonlinear Markov Processes and Kinetic Equations written by Vassili N. Kolokoltsov and published by Cambridge University Press. This book was released on 2010-07-15 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: A nonlinear Markov evolution is a dynamical system generated by a measure-valued ordinary differential equation with the specific feature of preserving positivity. This feature distinguishes it from general vector-valued differential equations and yields a natural link with probability, both in interpreting results and in the tools of analysis. This brilliant book, the first devoted to the area, develops this interplay between probability and analysis. After systematically presenting both analytic and probabilistic techniques, the author uses probability to obtain deeper insight into nonlinear dynamics, and analysis to tackle difficult problems in the description of random and chaotic behavior. The book addresses the most fundamental questions in the theory of nonlinear Markov processes: existence, uniqueness, constructions, approximation schemes, regularity, law of large numbers and probabilistic interpretations. Its careful exposition makes the book accessible to researchers and graduate students in stochastic and functional analysis with applications to mathematical physics and systems biology.
Download or read book Simulation and Inference for Stochastic Processes with YUIMA written by Stefano M. Iacus and published by Springer. This book was released on 2018-06-12 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. YUIMA also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of the Malliavin calculus. All models can be multidimensional, multiparametric or non parametric.The book explains briefly the underlying theory for simulation and inference of several classes of stochastic processes and then presents both simulation experiments and applications to real data. Although these processes have been originally proposed in physics and more recently in finance, they are becoming popular also in biology due to the fact the time course experimental data are now available. The YUIMA package, available on CRAN, can be freely downloaded and this companion book will make the user able to start his or her analysis from the first page.
