Diffusion Processes, Jump Processes, and Stochastic Differential Equations PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Diffusion Processes, Jump Processes, and Stochastic Differential Equations PDF full book. Access full book title Diffusion Processes, Jump Processes, and Stochastic Differential Equations by Wojbor A. Woyczyński. Download full books in PDF and EPUB format.
Author: Wojbor A. Woyczyński
Publisher: CRC Press
ISBN: 1000475352
Category : Mathematics
Languages : en
Pages : 138
Get Book Here
Book Description
Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.
Author: Wojbor A. Woyczyński
Publisher: CRC Press
ISBN: 1000475352
Category : Mathematics
Languages : en
Pages : 138
Get Book Here
Book Description
Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.
Author: Nikita Ratanov
Publisher: Springer Nature
ISBN: 3662658275
Category : Mathematics
Languages : en
Pages : 451
Get Book Here
Book Description
This book provides an extensive, systematic overview of the modern theory of telegraph processes and their multidimensional counterparts, together with numerous fruitful applications in financial modelling. Focusing on stochastic processes of bounded variation instead of classical diffusion, or more generally, Lévy processes, has two obvious benefits. First, the mathematical technique is much simpler, which helps to concentrate on the key problems of stochastic analysis and applications, including financial market modelling. Second, this approach overcomes some shortcomings of the (parabolic) nature of classical diffusions that contradict physical intuition, such as infinite propagation velocity and infinite total variation of paths. In this second edition, some sections of the previous text are included without any changes, while most others have been expanded and significantly revised. These are supplemented by predominantly new results concerning piecewise linear processes with arbitrary sequences of velocities, jump amplitudes, and switching intensities. The chapter on functionals of the telegraph process has been significantly expanded by adding sections on exponential functionals, telegraph meanders and running extrema, the times of the first passages of telegraph processes with alternating random jumps, and distribution of the Euclidean distance between two independent telegraph processes. A new chapter on the multidimensional counterparts of the telegraph processes is also included. The book is intended for graduate students in mathematics, probability, statistics and quantitative finance, and for researchers working at academic institutions, in industry and engineering. It can also be used by university lecturers and professionals in various applied areas.
Author: Andreas E. Kyprianou
Publisher: Springer Science & Business Media
ISBN: 3540313435
Category : Mathematics
Languages : en
Pages : 382
Get Book Here
Book Description
This textbook forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness.
Author: Peter Tankov
Publisher: CRC Press
ISBN: 1135437947
Category : Business & Economics
Languages : en
Pages : 552
Get Book Here
Book Description
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
Author: Andrew Pole
Publisher: John Wiley & Sons
ISBN: 1118160738
Category : Business & Economics
Languages : en
Pages : 230
Get Book Here
Book Description
While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
Author: Elena Celledoni
Publisher: Springer
ISBN: 3030015939
Category : Mathematics
Languages : en
Pages : 734
Get Book Here
Book Description
The Abel Symposia volume at hand contains a collection of high-quality articles written by the world’s leading experts, and addressing all mathematicians interested in advances in deterministic and stochastic dynamical systems, numerical analysis, and control theory. In recent years we have witnessed a remarkable convergence between individual mathematical disciplines that approach deterministic and stochastic dynamical systems from mathematical analysis, computational mathematics and control theoretical perspectives. Breakthrough developments in these fields now provide a common mathematical framework for attacking many different problems related to differential geometry, analysis and algorithms for stochastic and deterministic dynamics. In the Abel Symposium 2016, which took place from August 16-19 in Rosendal near Bergen, leading researchers in the fields of deterministic and stochastic differential equations, control theory, numerical analysis, algebra and random processes presented and discussed the current state of the art in these diverse fields. The current Abel Symposia volume may serve as a point of departure for exploring these related but diverse fields of research, as well as an indicator of important current and future developments in modern mathematics.
Author: Marida Bertocchi
Publisher: Springer Science & Business Media
ISBN: 1441995862
Category : Business & Economics
Languages : en
Pages : 480
Get Book Here
Book Description
This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.
Author: Joseph L. Doob
Publisher: American Mathematical Soc.
ISBN: 0821814311
Category : Mathematics
Languages : en
Pages : 178
Get Book Here
Book Description
Author: Samuel Kotz
Publisher: Springer Science & Business Media
ISBN: 9780817641665
Category : Mathematics
Languages : en
Pages : 372
Get Book Here
Book Description
This book describes the inferential and modeling advantages that this distribution, together with its generalizations and modifications, offers. The exposition systematically unfolds with many examples, tables, illustrations, and exercises. A comprehensive index and extensive bibliography also make this book an ideal text for a senior undergraduate and graduate seminar on statistical distributions, or for a short half-term academic course in statistics, applied probability, and finance.
Author: Gabriela Slavcheva
Publisher: Springer Science & Business Media
ISBN: 3642124917
Category : Science
Languages : en
Pages : 338
Get Book Here
Book Description
The fundamental concept of quantum coherence plays a central role in quantum physics, cutting across disciplines of quantum optics, atomic and condensed matter physics. Quantum coherence represents a universal property of the quantum s- tems that applies both to light and matter thereby tying together materials and p- nomena. Moreover, the optical coherence can be transferred to the medium through the light-matter interactions. Since the early days of quantum mechanics there has been a desire to control dynamics of quantum systems. The generation and c- trol of quantum coherence in matter by optical means, in particular, represents a viable way to achieve this longstanding goal and semiconductor nanostructures are the most promising candidates for controllable quantum systems. Optical generation and control of coherent light-matter states in semiconductor quantum nanostructures is precisely the scope of the present book. Recently, there has been a great deal of interest in the subject of quantum coh- ence. We are currently witnessing parallel growth of activities in different physical systems that are all built around the central concept of manipulation of quantum coherence. The burgeoning activities in solid-state systems, and semiconductors in particular, have been strongly driven by the unprecedented control of coherence that previously has been demonstrated in quantum optics of atoms and molecules, and is now taking advantage of the remarkable advances in semiconductor fabrication technologies. A recent impetus to exploit the coherent quantum phenomena comes from the emergence of the quantum information paradigm.
