Random Evolutions and their Applications

Name: Random Evolutions and their Applications
Brand: Springer Netherlands
SKU: 9789048154418
Price: 105.93 EUR
Availability: InStock

New Trends

Autor: Anatoly Swishchuk

Jazyk:

Väzba: Brožovaná

Vydavateľ: Springer Netherlands

Dostupnosť: Skladom u dodávateľa v malom množstve

Odosielame za 11-15 dní

105.93 €

The book is devoted to the new trends in random evolutions and their various applications to stochas...

Informácie o knihe

Autor

Anatoly Swishchuk

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2010

Stránok

294

EAN

9789048154418

ISBN

9048154413

Enbook ID

05322544

Vydavateľ

Springer Netherlands

Hmotnosť

531

Rozmery

160 x 240 x 16

Kompletný popis

The book is devoted to the new trends in random evolutions and their various applications to stochastic evolutionary sytems (SES). Such new developments as the analogue of Dynkin's formulae, boundary value problems, stochastic stability and optimal control of random evolutions, stochastic evolutionary equations driven by martingale measures are considered. The book also contains such new trends in applied probability as stochastic models of financial and insurance mathematics in an incomplete market. In the famous classical financial mathematics Black-Scholes model of a (B,S) market for securities prices, which is used for the description of the evolution of bonds and stocks prices and also for their derivatives, such as options, futures, forward contracts, etc., it is supposed that the dynamic of bonds and stocks prices are set by a linear differential and linear stochastic differential equations, respectively, with interest rate, appreciation rate and volatility such that they are predictable processes. Also, in the Arrow-Debreu economy, the securities prices which support a Radner dynamic equilibrium are a combination of an Ito process and a random point process, with the all coefficients and jumps being predictable processes.

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Random Evolutions and their Applications

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