Stability of Superimplicit Numerical Methods for Stochastic Differential Equations PDF Download
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Author: Peter Hall
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Author: Peter Hall
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Author: Norbert Hofmann
Publisher:
ISBN:
Category : Stochastic differential equations
Languages : en
Pages : 12
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Book Description
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: Peter E. Kloeden
Publisher: Springer Science & Business Media
ISBN: 3662126168
Category : Mathematics
Languages : en
Pages : 666
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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: Sergej S. Artemiev
Publisher: VSP
ISBN: 9789067642507
Category : Mathematics
Languages : en
Pages : 188
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Book Description
This book deals with numerical analysis of systems of both ordinary and stochastic differential equations. The first chapter is devoted to numerical solution problems of the Cauchy problem for stiff ordinary differential equation (ODE) systems by Rosenbrock-type methods (RTMs). Here, general solutions of consistency equations are obtained, which lead to the construction of RTMs from the first to the fourth order. The second chapter deals with statistical simulation problems of the solution of the Cauchy problem for stochastic differential equation (SDE) systems. The mean-square convergence theorem is considered, as well as Taylor expansions of numerical solutions. Also included are applications of numerical methods of SDE solutions to partial differential equations and to analysis and synthesis problems of automated control of stochastic systems.
Author: D. Kannan
Publisher: CRC Press
ISBN: 1482294702
Category : Mathematics
Languages : en
Pages : 808
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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: Arieh Iserles
Publisher: Cambridge University Press
ISBN: 9780521770880
Category : Computers
Languages : en
Pages : 310
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Book Description
Numerical analysis is the subject of applied mathematics concerned mainly with using computers in evaluating or approximating mathematical models. As such, it is crucial to all applications of mathematics in science and engineering, as well as being an important discipline on its own. Acta Numerica surveys annually the most important developments in numerical analysis and scientific computing. The subjects and authors of the substantive survey articles are chosen by a distinguished international editorial board so as to report the most important developments in the subject in a manner accessible to the wider community of professionals with an interest in scientific computing.
Author: Navaratnam Sri Namachchivaya
Publisher: American Mathematical Soc.
ISBN: 0821802577
Category : Mathematics
Languages : en
Pages : 250
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Book Description
This volume contains the proceedings of the International Symposium on Nonlinear Dynamics and Stochastic Mechanics held at the Fields Institute for Research in Mathematical Sciences from August - September (1993), as part of the 1992-93 Program Year on Dynamical Systems and Bifurcation Theory. In recent years, mathematicians and applied scientists have made significant progress in understanding and have developed powerful tools for the analysis of the complex behaviour of deterministic and stochastic dynamical systems. By moving beyond classical perturbation methods to more general geometrical, computational, and analytical methods, this book is at the forefront in transferring these new mathematical ideas into engineering practice. This work presents the solutions of some specific problems in engineering structures and mechanics and demonstrates by explicit example these new methods of solution.
Author: Mark Cummins
Publisher: Springer Science & Business Media
ISBN: 1461434335
Category : Mathematics
Languages : en
Pages : 213
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Book Description
Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels in the market. The problem of American option pricing is considered next, applying simulation methods combined with regression techniques and discussing convergence properties. Changing focus to integral transform methods, a variety of option pricing problems are considered. The COS method is practically applied for the pricing of options under uncertain volatility, a method developed by the authors that relies on the dynamic programming principle and Fourier cosine series expansions. Efficient approximation methods are next developed for the application of the fast Fourier transform for option pricing under multifactor affine models with stochastic volatility and jumps. Following this, fast and accurate pricing techniques are showcased for the pricing of credit derivative contracts with discrete monitoring based on the Wiener-Hopf factorisation. With an energy theme, a recombining pentanomial lattice is developed for the pricing of gas swing contracts under regime switching dynamics. The book concludes with a linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets.
Author: V. D. Potapov
Publisher: Wiley-Blackwell
ISBN:
Category : Mathematics
Languages : en
Pages : 296
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Book Description
Stability of Stochastic Elastic and Viscoelastic Systems V. D. Potapov Moscow State University of Railway Communication, Russia Numerous structures assembled by civil and mechanical engineers are driven by external forces randomly changing in time and space. These forces include, for example, seismic and wind loads, transport loads and acoustic pressures. The parameters of these forces cannot be precisely measured, but they may have critical effects on fundamental structural characteristics, and hence have significant design implications. Materials used in construction also have an effect on structural behaviour. This book proposes a new approach for the analysis of the stability of different stochastic systems using both analytic (including asymptotic) and numerical methods. For example, constitutive equations used for the description of viscoelastic materials, which can be employed to take account of internal friction in an elastic material are examined, offering new opportunities for analysing the behaviour of real structures. Problems addressed include: * stability of columns and rods subjected to longitudinal random stationary forces * stability of plates in a gas flow subjected to in-plane loads, which are assumed as random stationary processes * stability of cylindrical shells and panels under the action of longitudinal random stationary loads * behaviour of flexible rods, plates and cylindrical panels, subjected to random stationary force and loads, under finite deflections Furthermore, this text develops methods for estimating critical loads, resulting in an accessible and unified account of reliability theory and techniques as applied to engineering structures. All postgraduate students and practitioners of mechanical engineering (applied mechanics), civil engineering (structural mechanics), applied mathematics, and designers of mechanical and civil structures will find this not only a valuable, but an extremely useful book.
