Download or read book Stability Stationarity and Boundedness of Some Implicit Numerical Methods for Stochastic Differential Equations and Applications written by Henri Schurz and published by . This book was released on 1997 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Differential Equations and Processes written by Mounir Zili and published by Springer Science & Business Media. This book was released on 2011-09-24 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Selected papers submitted by participants of the international Conference “Stochastic Analysis and Applied Probability 2010” ( www.saap2010.org ) make up the basis of this volume. The SAAP 2010 was held in Tunisia, from 7-9 October, 2010, and was organized by the “Applied Mathematics & Mathematical Physics” research unit of the preparatory institute to the military academies of Sousse (Tunisia), chaired by Mounir Zili. The papers cover theoretical, numerical and applied aspects of stochastic processes and stochastic differential equations. The study of such topic is motivated in part by the need to model, understand, forecast and control the behavior of many natural phenomena that evolve in time in a random way. Such phenomena appear in the fields of finance, telecommunications, economics, biology, geology, demography, physics, chemistry, signal processing and modern control theory, to mention just a few. As this book emphasizes the importance of numerical and theoretical studies of the stochastic differential equations and stochastic processes, it will be useful for a wide spectrum of researchers in applied probability, stochastic numerical and theoretical analysis and statistics, as well as for graduate students. To make it more complete and accessible for graduate students, practitioners and researchers, the editors Mounir Zili and Daria Filatova have included a survey dedicated to the basic concepts of numerical analysis of the stochastic differential equations, written by Henri Schurz.
Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2011-06-15 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Download or read book Stochastic Differential Equations with Markovian Switching written by Xuerong Mao and published by Imperial College Press. This book was released on 2006 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic principles at an introductory level but emphasizes current advanced level research trends. The material takes into account all the features of Ito equations, Markovian switching, interval systems and time-lag. The theory developed is applicable in different and complicated situations in many branches of science and industry.
Download or read book Modeling with It Stochastic Differential Equations written by E. Allen and published by Springer Science & Business Media. This book was released on 2007-03-08 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains a procedure for constructing realistic stochastic differential equation models for randomly varying systems in biology, chemistry, physics, engineering, and finance. Introductory chapters present the fundamental concepts of random variables, stochastic processes, stochastic integration, and stochastic differential equations. These concepts are explained in a Hilbert space setting which unifies and simplifies the presentation.
Download or read book Fluids and Waves written by Fernanda Botelho and published by American Mathematical Soc.. This book was released on 2007 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a series of articles on wave phenomena and fluid dynamics, highlighting recent advances in these two areas of mathematics. The collection is based on lectures presented at the conference Fluids and Waves--Recent Trends in Applied Analysis and features a rich spectrum of mathematical techniques in analysis and applications to engineering, neuroscience, physics, and biology. The mathematical topics discussed range from partial differential equations, dynamical systems and stochastic processes, to areas of classical analysis. This volume is intended as an introduction to major topics of interest and state-of-the-art analytical research in wave motion and fluid flows.
Download or read book Asymptotic Analysis for Functional Stochastic Differential Equations written by Jianhai Bao and published by Springer. This book was released on 2016-11-19 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity.This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.
Download or read book Modelling and Simulation of Stochastic Volatility in Finance written by Christian Kahl and published by Universal-Publishers. This book was released on 2008 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its core assumptions is that the volatility of the underlying asset is constant. It was realised early that one has to specify a dynamic on the volatility itself to get closer to market behaviour. There are mainly two aspects making this fact apparent. Considering historical evolution of volatility by analysing time series data one observes erratic behaviour over time. Secondly, backing out implied volatility from daily traded plain vanilla options, the volatility changes with strike. The most common realisations of this phenomenon are the implied volatility smile or skew. The natural question arises how to extend the Black-Scholes model appropriately. Within this book the concept of stochastic volatility is analysed and discussed with special regard to the numerical problems occurring either in calibrating the model to the market implied volatility surface or in the numerical simulation of the two-dimensional system of stochastic differential equations required to price non-vanilla financial derivatives. We introduce a new stochastic volatility model, the so-called Hyp-Hyp model, and use Watanabe's calculus to find an analytical approximation to the model implied volatility. Further, the class of affine diffusion models, such as Heston, is analysed in view of using the characteristic function and Fourier inversion techniques to value European derivatives.
Download or read book SIAM Journal on Numerical Analysis written by and published by . This book was released on 2000-03 with total page 1100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Download or read book Discrete and Continuous Dynamical Systems written by and published by . This book was released on 2008 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book SIAM Journal on Scientific Computing written by and published by . This book was released on 2008 with total page 920 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Noise in Complex Systems and Stochastic Dynamics written by and published by . This book was released on 2005 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Noise and Fluctuations in Econophysics and Finance written by Derek Abbott and published by SPIE-International Society for Optical Engineering. This book was released on 2005 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings of SPIE present the original research papers presented at SPIE conferences and other high-quality conferences in the broad-ranging fields of optics and photonics. These books provide prompt access to the latest innovations in research and technology in their respective fields. Proceedings of SPIE are among the most cited references in patent literature.
Download or read book Dynamical Systems and Differential Equations written by Shouchuan Hu and published by . This book was released on 2005 with total page 976 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
