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Stochastic World

Author: Sergey S. Stepanov
Publisher: Springer Science & Business Media
ISBN: 3319000713
Size: 48.15 MB
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This book is an introduction into stochastic processes for physicists, biologists and financial analysts. Using an informal approach, all the necessary mathematical tools and techniques are covered, including the stochastic differential equations, mean values, probability distribution functions, stochastic integration and numerical modeling. Numerous examples of practical applications of the stochastic mathematics are considered in detail, ranging from physics to the financial theory. A reader with basic knowledge of the probability theory should have no difficulty in accessing the book content.

The Woman S Daughter

Author: Dermot Bolger
Publisher: HarperCollins UK
ISBN: 0007447302
Size: 60.77 MB
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A classic Bolger novel, following the lives of three women.

Essentials Of Stochastic Finance

Author: Albert N Shiryaev
Publisher: World Scientific
ISBN: 9814495662
Size: 80.18 MB
Format: PDF
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This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks. Contents:Facts. Models:Main Concepts, Structures, and Instruments. Aims and Problems of Financial Theory and Financial EngineeringStochastic Models. Discrete TimeStochastic Models. Continuous TimeStatistical Analysis of Financial DataTheory:Theory of Arbitrage in Stochastic Financial Models. Discrete TimeTheory of Pricing in Stochastic Financial Models. Discrete TimeTheory of Arbitrage in Stochastic Financial Models. Continuous TimeTheory of Pricing in Stochastic Financial Models. Continuous Time Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos. Keywords:Stochastic Finance;Financial Theory;Financial Engineering;Financial MathematicsReviews: “This is a remarkable text, containing a huge amount of interesting material on modern stochastic finance. Especially the young (novice) researcher in the field will find it a very useful basis of results essential for further research. The set of references is impressive and the level of writing is clear and pedagogically sound … a much more in-depth treatment of a very wide and encompassing range of stochastic models is given. In summary: a text to be recommended warmly.” International Statistical Institute “It is a very comprehensive survey of the results from the theories of stochastic processes, time series and related statistical procedures relevant to finance applications. It also develops classical pricing models and results. It is written in a very lively style, in which the author effortlessly jumps from abstract mathematical frameworks to interesting historical remarks.” Mathematical Reviews “The author's choice of material is outstanding and well worth the time and effort it will require to get through … For anyone interested or working in the field and who have a good mathematical background, this book will be a valuable resource and a rich and stimulating source of intellectual pleasure.” Journal of Applied Mathematics and Stochastic Analysis “… as an encyclopedia of results and methods for financial analysis it is very impressive and certainly very useful as well.” Mathematics Abstracts

Advanced Mathematical Tools For Automatic Control Engineers Volume 2

Author: Alex Poznyak
Publisher: Elsevier
ISBN: 9780080914039
Size: 37.82 MB
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Advanced Mathematical Tools for Automatic Control Engineers, Volume 2: Stochastic Techniques provides comprehensive discussions on statistical tools for control engineers. The book is divided into four main parts. Part I discusses the fundamentals of probability theory, covering probability spaces, random variables, mathematical expectation, inequalities, and characteristic functions. Part II addresses discrete time processes, including the concepts of random sequences, martingales, and limit theorems. Part III covers continuous time stochastic processes, namely Markov processes, stochastic integrals, and stochastic differential equations. Part IV presents applications of stochastic techniques for dynamic models and filtering, prediction, and smoothing problems. It also discusses the stochastic approximation method and the robust stochastic maximum principle. Provides comprehensive theory of matrices, real, complex and functional analysis Provides practical examples of modern optimization methods that can be effectively used in variety of real-world applications Contains worked proofs of all theorems and propositions presented

Stochastic Methods For Estimation And Problem Solving In Engineering

Author: Kadry, Seifedine
Publisher: IGI Global
ISBN: 1522550461
Size: 75.26 MB
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Utilizing mathematical algorithms is an important aspect of recreating real-world problems in order to make important decisions. By generating a randomized algorithm that produces statistical patterns, it becomes easier to find solutions to countless situations. Stochastic Methods for Estimation and Problem Solving in Engineering provides emerging research on the role of random probability systems in mathematical models used in various fields of research. While highlighting topics, such as random probability distribution, linear systems, and transport profiling, this book explores the use and behavior of uncertain probability methods in business and science. This book is an important resource for engineers, researchers, students, professionals, and practitioners seeking current research on the challenges and opportunities of non-deterministic probability models.

Stochastic Modeling

Author: Barry L. Nelson
Publisher: Courier Corporation
ISBN: 0486139948
Size: 44.25 MB
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Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.

Methods Of Mathematical Finance

Author: Ioannis Karatzas
Publisher: Springer
ISBN: 1493968459
Size: 59.45 MB
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This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.

New Trends In Stochastic Analysis And Related Topics

Author: Huaizhong Zhao
Publisher: World Scientific
ISBN: 9814360910
Size: 26.64 MB
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The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.