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Situ, Rong

Theory of Stochastic Differential Equations with Jumps and Applications

Situ, Rong - Theory of Stochastic Differential Equations with Jumps and Applications, ebook

155,00€

Ebook, PDF with Adobe DRM
ISBN: 9780387251752
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Table of contents

Part I.Stochastic Differential Equations with Jumps in Rd

1. Martingale Theory and the Stochastic Integral for Point Processes
2. Brownian Motion, Stochastic Integral and Ito's Formula
3. Stochastic Differential Equations
4. Some Useful Tools in Stochastic Differential Equations
5. Stochastic Differential Equations with Non-Lipschitzian Coefficients
Part II.Applications

6. How to Use the Stochastic Calculus to Solve SDE
7. Linear and Non-linear Filtering
8. Option Pricing in a Financial Market and BSDE
9. Optimal Consumption by H-J-B Equation and Lagrange Method
10. Comparison Theorem and Stochastic Pathwise Control
11. Stochastic Population Control and Reflecting SDE
12. Maximum Principle for Stochastic Systems with Jumps

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Keywords: TECHNOLOGY & ENGINEERING / General TEC000000

Author(s)
Publisher
Springer
Publication year
2005
Language
en
Edition
1
Category
Technology, Energy, Traffic
Format
Ebook
eISBN (PDF)
9780387251752

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