Estimation d'équations différentielles stochastiques PDF Download
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Author: Veronika Czellàr
Publisher:
ISBN:
Category :
Languages : fr
Pages : 64
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Author: Veronika Czellàr
Publisher:
ISBN:
Category :
Languages : fr
Pages : 64
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Author: Pierre-Yves Glorennec
Publisher:
ISBN:
Category :
Languages : fr
Pages : 144
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Book Description
GENERALITES. DISCRETISATION A INTERVALLES CONSTANTS, CAS "AVEC MEMOIRE". DISCRETISATION ADAPTEE. DISCRETISATION AU 2EME ORDRE. CONVERGENCE EN LOI. ETUDE NUMERIQUE PAR DES METHODES DE SIMULATION
Author: Jaya P. N. Bishwal
Publisher: Springer
ISBN: 3540744487
Category : Mathematics
Languages : en
Pages : 271
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Book Description
Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods.
Author: Thi Thao Nguyen (auteur d'une thèse de mathématiques))
Publisher:
ISBN:
Category :
Languages : fr
Pages : 109
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Author: F. Brodeau
Publisher:
ISBN:
Category :
Languages : fr
Pages : 53
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Author: Stefano M. Iacus
Publisher: Springer Science & Business Media
ISBN: 0387758399
Category : Computers
Languages : en
Pages : 298
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Book Description
This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential equations, the concentration here on inference makes this book stand out. No other direct competitors are known to date. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners and students with minimal mathematical background. What’s more, because of the many R programs, the information here is appropriate for many mathematically well educated practitioners, too.
Author: OULD EIDA.. AHNEDOU
Publisher:
ISBN:
Category :
Languages : fr
Pages : 135
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Book Description
ON ETUDIE DIFFERENTS TYPES D'APPROXIMATION DES EQUATIONS DIFFERENTIELLES STOCHASTIQUES REFLECHIES (EDSR) AU BORD D'UN CONVEXE SELON DIFFERENTS MODES DE CONVERGENCE. POUR UNE SEMIMARTINGALE DIRECTRICE CAD-LAG QUELCONQUE ON OBTIENT LA CONVERGENCE, AVEC UNE ESTIMATION DE L'ORDRE, DE VERSIONS REFLECHIES AU MOYEN D'UNE APPLICATION DETERMINISTE DES APPROXIMATIONS DE PICARD, D'EULER-MARUYAMA ET D'EULER-PEANO, POUR LA NORME TRAJECTORIELLE UNIFORME. LA METHODE DE PICARD PERMET EN PARTICULIER D'ETABLIR L'EXISTENCE ET L'UNICITE DE LA SOLUTION DE L'EDSR. ON ETABLIT LA CONVERGENCE, AVEC DES ESTIMATIONS DE L'ORDRE, POUR DES MODES DE CONVERGENCES FORTS (EN MOYENNE L#P ET TRAJECTORIELLES EN NORME UNIFORME ET DE BESOV) ET FAIBLE (POUR LA NORME DE LEVY PROKHOROV QUI METRISE LA CONVERGENCE EN LOI), DES APPROXIMATIONS REFLECHIES PRECEDENTES ET DES VERSIONS PROJETEES DES METHODES D'EULER-PEANO ET D'EULER-MARUYAMA, SI LA SEMIMARTINGALE VERIFIE UNE CONDITION GENERALISANT LE CAS BROWNIEN. POUR LES MODES DE CONVERGENCE EVOQUES LES VITESSES SONT, COMPARATIVEMENT A CELLES DES METHODES CORRESPONDANTES POUR LES EDS BROWNIENNES CLASSIQUES, LES MEMES POUR LES METHODES REFLECHIES, ET SENSIBLEMENT LES MEMES SI LE DOMAINE EST UN POLYEDRE RESP.(MOITIE SI LE DOMAINE EST QUELCONQUE) POUR LES APPROXIMATIONS PROJETEES. IL N'EST PAS AISE, CONTRAIREMENT AU CAS NON REFLECHI, D'OBTENIR DES APPROXIMATIONS SIMULABLES DONT LA VITESSE EST SUPERIEURE A CELLE DES APPROXIMATIONS D'EULER-MARUYAMA. CEPENDANT, POUR DES EDSR MODELISANTS PLUSIEURS PHENOMENES CONCRETS, UN SCHEMA REFLECHI DE TYPE MILSTEIN SIMULABLE OFFRANT UN MEILLEUR ORDRE EST OBTENU
Author: Imre Csiszar
Publisher: Springer Science & Business Media
ISBN: 1461219809
Category : Mathematics
Languages : en
Pages : 358
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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: Marie-France Allain
Publisher:
ISBN:
Category : Differential equations
Languages : fr
Pages : 81
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Book Description
