Theory of Stochastic Differential Equations with Jumps and Applications

Theory of Stochastic Differential Equations with Jumps and Applications
Author: Rong SITU
Publisher: Springer Science & Business Media
Total Pages: 444
Release: 2006-05-06
Genre: Technology & Engineering
ISBN: 0387251758
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Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere.


Theory of Stochastic Differential Equations with Jumps and Applications
Language: en
Pages: 444

Theory of Stochastic Differential Equations with Jumps and Applications

Authors: Rong SITU
Categories: Technology & Engineering
Type: BOOK - Published: 2006-05-06 - Publisher: Springer Science & Business Media

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Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic
Reflecting Stochastic Differential Equations with Jumps and Applications
Language: en
Pages: 228

Reflecting Stochastic Differential Equations with Jumps and Applications

Authors: Situ Rong
Categories: Mathematics
Type: BOOK - Published: 1999-08-05 - Publisher: CRC Press

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Many important physical variables satisfy certain dynamic evolution systems and can take only non-negative values. Therefore, one can study such variables by st
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
Language: en
Pages: 285

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications

Authors: Łukasz Delong
Categories: Mathematics
Type: BOOK - Published: 2013-06-12 - Publisher: Springer Science & Business Media

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Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BS
Numerical Solution of Stochastic Differential Equations
Language: en
Pages: 666

Numerical Solution of Stochastic Differential Equations

Authors: Peter E. Kloeden
Categories: Mathematics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

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The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an eas
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Language: en
Pages: 868

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Authors: Eckhard Platen
Categories: Mathematics
Type: BOOK - Published: 2010-07-23 - Publisher: Springer Science & Business Media

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In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of