Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures 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 Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures PDF full book. Access full book title Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures by Aleksander Janicki. Download full books in PDF and EPUB format.
Author: Aleksander Janicki
Publisher:
ISBN: 9788390658704
Category : Stochastic differential equations
Languages : en
Pages : 247
Get Book
Book Description
Author: Aleksander Janicki
Publisher:
ISBN: 9788390658704
Category : Stochastic differential equations
Languages : en
Pages : 247
Get Book
Book Description
Author: Simo Särkkä
Publisher: Cambridge University Press
ISBN: 1316510085
Category : Business & Economics
Languages : en
Pages : 327
Get Book
Book Description
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Author: Eckhard Platen
Publisher: Springer Science & Business Media
ISBN: 364213694X
Category : Mathematics
Languages : en
Pages : 868
Get Book
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: D. Kannan
Publisher: CRC Press
ISBN: 1482294702
Category : Mathematics
Languages : en
Pages : 808
Get Book
Book Description
An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Author: Peter E. Kloeden
Publisher: Springer Science & Business Media
ISBN: 3662126168
Category : Mathematics
Languages : en
Pages : 666
Get Book
Book Description
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Author: S. S. Artemiev
Publisher: Walter de Gruyter
ISBN: 3110944669
Category : Mathematics
Languages : en
Pages : 185
Get Book
Book Description
This text deals with numerical analysis of systems of both ordinary and stochastic differential equations. It covers numerical solution problems of the Cauchy problem for stiff ordinary differential equations (ODE) systems by Rosenbrock-type methods (RTMs).
Author: Marcin Marek Kaminski
Publisher: Springer Science & Business Media
ISBN: 1846280494
Category : Technology & Engineering
Languages : en
Pages : 434
Get Book
Book Description
Computational Mechanics of Composite Materials lays stress on the advantages of combining theoretical advancements in applied mathematics and mechanics with the probabilistic approach to experimental data in meeting the practical needs of engineers. Features: Programs for the probabilistic homogenisation of composite structures with finite numbers of components allow composites to be treated as homogeneous materials with simpler behaviours. Treatment of defects in the interfaces within heterogeneous materials and those arising in composite objects as a whole by stochastic modelling. New models for the reliability of composite structures. Novel numerical algorithms for effective Monte-Carlo simulation. Computational Mechanics of Composite Materials will be of interest to academic and practising civil, mechanical, electronic and aerospatial engineers, to materials scientists and to applied mathematicians requiring accurate and usable models of the behaviour of composite materials.
Author:
Publisher: World Scientific
ISBN: 9812835636
Category : Mathematics
Languages : en
Pages : 1497
Get Book
Book Description
International ISAAC (International Society for Analysis, its Applications and Computation) Congresses have been held every second year since 1997. The proceedings report on a regular basis on the progresses of the field in recent years, where the most active areas in analysis, its applications and computation are covered. Plenary lectures also highlight recent results. This volume concentrates mainly on partial differential equations, but also includes function spaces, operator theory, integral transforms and equations, potential theory, complex analysis and generalizations, stochastic analysis, inverse problems, homogenization, continuum mechanics, mathematical biology and medicine. With over 350 participants attending the congress, the book comprises 140 papers from 211 authors. The volume also serves for transferring personal information about the ISAAC and its members. This volume includes citations for O. Besov, V. Burenkov and R.P. Gilbert on the occasion of their anniversaries.
Author: Heinrich G W Begehr
Publisher: World Scientific
ISBN: 9814469688
Category : Mathematics
Languages : en
Pages : 1497
Get Book
Book Description
International ISAAC (International Society for Analysis, its Applications and Computation) Congresses have been held every second year since 1997. The proceedings report on a regular basis on the progresses of the field in recent years, where the most active areas in analysis, its applications and computation are covered. Plenary lectures also highlight recent results. This volume concentrates mainly on partial differential equations, but also includes function spaces, operator theory, integral transforms and equations, potential theory, complex analysis and generalizations, stochastic analysis, inverse problems, homogenization, continuum mechanics, mathematical biology and medicine. With over 350 participants attending the congress, the book comprises 140 papers from 211 authors.The volume also serves for transferring personal information about the ISAAC and its members. This volume includes citations for O Besov, V Burenkov and R P Gilbert on the occasion of their anniversaries.
Author: Vasily E. Tarasov
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110570998
Category : Mathematics
Languages : en
Pages : 437
Get Book
Book Description
This multi-volume handbook is the most up-to-date and comprehensive reference work in the field of fractional calculus and its numerous applications. This fifth volume collects authoritative chapters covering several applications of fractional calculus in physics, including electrodynamics, statistical physics and physical kinetics, and quantum theory.
