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Stochastic Control of Hereditary Systems and Applications (Repost)

Posted By: AvaxGenius
Stochastic Control of Hereditary Systems and Applications (Repost)

Stochastic Control of Hereditary Systems and Applications by Mou-Hsiung Chang
English | PDF | 2008 | 418 Pages | ISBN : 0387758054 | 3.1 MB

This research monograph develops the Hamilton-Jacobi-Bellman (HJB) theory through dynamic programming principle for a class of optimal control problems for stochastic hereditary differential systems. It is driven by a standard Brownian motion and with a bounded memory or an infinite but fading memory.

Martingale Methods in Financial Modelling (Repost)

Posted By: AvaxGenius
Martingale Methods in Financial Modelling (Repost)

Martingale Methods in Financial Modelling by Marek Musiela
English | PDF | 2005 | 721 Pages | ISBN : 3540209662 | 6.8 MB

This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model.

Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation

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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation

Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation by Carl Graham
English | PDF(Repost),EPUB | 2013 | 264 Pages | ISBN : 3642393624 | 6.5 MB

In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking.

Numerical Solution of Stochastic Differential Equations

Posted By: AvaxGenius
Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations by Peter E. Kloeden
English | PDF | 1992 | 666 Pages | ISBN : 364208107X | 48.2 MB

The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to peculiarities of stochastic calculus. This book provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications, emphasising the numerical methods needed to solve such equations. It assumes of the reader an undergraduate background in mathematical methods typical of engineers and physicists, though many chapters begin with a descriptive summary.