Monte Carlo Methods and Applications
Ivan Dimov, Karl K. Sabelfeld
InnbundetEngelsk
Del av serien De Gruyter Proceedings in Mathematics
Hopp til hovedinnholdet
Backward Stochastic Differential Equations
Av Jianfeng Zhang, 2017.Del av serien Probability Theory and Stochastic Modelling.
From Linear to Fully Nonlinear Theory
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included.
The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.
InnbundetEngelsk
Normalpris: 1 249,-
1 124,-
Spar 125,-
Ikke tilgjengelig for Klikk&Hent
Midlertidig tomt på lager
Bestillingsvare. Forventes sendt om ca 20 dager
Backward Stochastic Differential Equations
Av Jianfeng Zhang, 2017.Del av serien Probability Theory and Stochastic Modelling.
From Linear to Fully Nonlinear Theory
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included.
The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.
Normalpris: 1 249,-
1 124,-
Spar 125,-
InnbundetEngelsk
Ikke tilgjengelig for Klikk&Hent
Midlertidig tomt på lager
Bestillingsvare. Forventes sendt om ca 20 dager
1 124,-
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