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008 150903s2005 xxu| o |||| 0|eng d
020 _a9780387251752
_9978-0-387-25175-2
024 7 _a10.1007/b106901
_2doi
035 _avtls000330121
039 9 _a201509030233
_bVLOAD
_c201405070459
_dVLOAD
_c201401311330
_dstaff
_c201401311154
_dstaff
_y201401291448
_zstaff
_wmsplit0.mrc
_x541
050 4 _aTA329-348
100 1 _aSitu, Rong.
_eautor
_9302668
245 1 0 _aTheory of Stochastic Differential Equations with Jumps and Applications :
_bMathematical and Analytical Techniques with Applications to Engineering /
_cby Rong Situ.
264 1 _aBoston, MA :
_bSpringer US,
_c2005.
300 _aXX, 434 páginas,
_brecurso en línea.
336 _atexto
_btxt
_2rdacontent
337 _acomputadora
_bc
_2rdamedia
338 _arecurso en línea
_bcr
_2rdacarrier
347 _aarchivo de texto
_bPDF
_2rda
500 _aSpringer eBooks
505 0 _aStochastic 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.
520 _aThis 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 theorem and obtain weak solutions of SDEs. It also shows how to solve the filtering problem, to establish the martingale representation theorem, to solve the option pricing problem in a financial market, and to obtain the famous Black-Scholes formula, along with other results. In particular, the book will provide the reader with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, and science. Theory of Stochastic Differential Equations with Jumps and Applications will be a valuable reference for grad students and professionals in physics, chemistry, biology, engineering, finance and mathematics who are interested in problems such as the following: mathematical description and analysis of stocks and shares; option pricing, optimal consumption, arbitrage-free markets; control theory and stochastic control theory and their applications; non-linear filtering problems with jumps; population control.
590 _aPara consulta fuera de la UANL se requiere clave de acceso remoto.
710 2 _aSpringerLink (Servicio en línea)
_9299170
776 0 8 _iEdición impresa:
_z9780387250830
856 4 0 _uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/b106901
_zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
942 _c14
999 _c278797
_d278797