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Author: Hiroshi Kunita
Publisher: Springer
ISBN: 9811338019
Category : Mathematics
Languages : en
Pages : 352
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Book Description
This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.
Author: Hiroshi Kunita
Publisher: Springer
ISBN: 9811338019
Category : Mathematics
Languages : en
Pages : 352
Get Book Here
Book Description
This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.
Author: Reinhard Wobst
Publisher:
ISBN:
Category : Jump processes
Languages : en
Pages : 60
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Book Description
Author: Ulf Grenander
Publisher: Oxford University Press
ISBN: 0198505701
Category : Computers
Languages : en
Pages : 633
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Book Description
Pattern Theory provides a comprehensive and accessible overview of the modern challenges in signal, data, and pattern analysis in speech recognition, computational linguistics, image analysis and computer vision. Aimed at graduate students in biomedical engineering, mathematics, computer science, and electrical engineering with a good background in mathematics and probability, the text includes numerous exercises and an extensive bibliography. Additional resources including extended proofs, selected solutions and examples are available on a companion website. The book commences with a short overview of pattern theory and the basics of statistics and estimation theory. Chapters 3-6 discuss the role of representation of patterns via condition structure. Chapters 7 and 8 examine the second central component of pattern theory: groups of geometric transformation applied to the representation of geometric objects. Chapter 9 moves into probabilistic structures in the continuum, studying random processes and random fields indexed over subsets of Rn. Chapters 10 and 11 continue with transformations and patterns indexed over the continuum. Chapters 12-14 extend from the pure representations of shapes to the Bayes estimation of shapes and their parametric representation. Chapters 15 and 16 study the estimation of infinite dimensional shape in the newly emergent field of Computational Anatomy. Finally, Chapters 17 and 18 look at inference, exploring random sampling approaches for estimation of model order and parametric representing of shapes.
Author: Eckhard Platen
Publisher: Springer Science & Business Media
ISBN: 364213694X
Category : Mathematics
Languages : en
Pages : 868
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Book Description
In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.
Author: Domingo Tavella
Publisher: John Wiley & Sons
ISBN: 0471274798
Category : Business & Economics
Languages : en
Pages : 304
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Book Description
This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.
Author: Hrishikesh (Rick) D. Vinod
Publisher: John Wiley & Sons
ISBN: 0471686514
Category : Business & Economics
Languages : en
Pages : 316
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Book Description
A timely approach to downside risk and its role in stock market investments When dealing with the topic of risk analysis, most books on investments treat downside and upside risk equally. Preparing for the Worst takes an entirely novel approach by focusing on downside risk and explaining how to incorporate it into investment decisions. Highlighting this asymmetry of the stock market, the authors describe how existing theories miss the downside and follow with explanations of how it can be included. Various techniques for calculating downside risk are demonstrated. This book presents the latest ideas in the field from the ground up, making the discussion accessible to mathematicians and statisticians interested in applications in finance, as well as to finance professionals who may not have a mathematical background. An invaluable resource for anyone wishing to explore the critical issues of finance, portfolio management, and securities pricing, this book: Incorporates Value at Risk into the theoretical discussion Uses many examples to illustrate downside risk in U.S., international, and emerging market investments Addresses downside risk arising from fraud and corruption Includes step-by-step instructions on how to implement the methods introduced in this book Offers advice on how to avoid pitfalls in calculations and computer programming Provides software use information and tips
Author: Vladik Kreinovich
Publisher: Springer
ISBN: 3030042006
Category : Technology & Engineering
Languages : en
Pages : 1157
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Book Description
This book presents recent research on probabilistic methods in economics, from machine learning to statistical analysis. Economics is a very important – and at the same a very difficult discipline. It is not easy to predict how an economy will evolve or to identify the measures needed to make an economy prosper. One of the main reasons for this is the high level of uncertainty: different difficult-to-predict events can influence the future economic behavior. To make good predictions and reasonable recommendations, this uncertainty has to be taken into account. In the past, most related research results were based on using traditional techniques from probability and statistics, such as p-value-based hypothesis testing. These techniques led to numerous successful applications, but in the last decades, several examples have emerged showing that these techniques often lead to unreliable and inaccurate predictions. It is therefore necessary to come up with new techniques for processing the corresponding uncertainty that go beyond the traditional probabilistic techniques. This book focuses on such techniques, their economic applications and the remaining challenges, presenting both related theoretical developments and their practical applications.
Author: Wulfram Gerstner
Publisher: Cambridge University Press
ISBN: 1107060834
Category : Computers
Languages : en
Pages : 591
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Book Description
This solid introduction uses the principles of physics and the tools of mathematics to approach fundamental questions of neuroscience.
Author: Northrop Aircraft, Inc., Hawthorne, Calif
Publisher:
ISBN:
Category : Aerodynamics
Languages : en
Pages : 586
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Book Description
Author: Vladimir Semenovich Koroli?uk
Publisher: World Scientific
ISBN: 9812565914
Category : Technology & Engineering
Languages : en
Pages : 348
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Book Description
This book provides recent results on the stochastic approximation of systems by weak convergence techniques. General and particular schemes of proofs for average, diffusion, and Poisson approximations of stochastic systems are presented, allowing one to simplify complex systems and obtain numerically tractable models.The systems discussed in the book include stochastic additive functionals, dynamical systems, stochastic integral functionals, increment processes and impulsive processes. All these systems are switched by Markov and semi-Markov processes whose phase space is considered in asymptotic split and merging schemes. Most of the results from semi-Markov processes are new and presented for the first time in this book.
