Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
Author: Avner Friedman
Publsiher: Academic Press
Total Pages: 248
Release: 2014-06-20
ISBN 10: 1483217876
ISBN 13: 9781483217871
Language: EN, FR, DE, ES & NL

Stochastic Differential Equations and Applications Book Review:

Stochastic Differential Equations and Applications, Volume 1 covers the development of the basic theory of stochastic differential equation systems. This volume is divided into nine chapters. Chapters 1 to 5 deal with the basic theory of stochastic differential equations, including discussions of the Markov processes, Brownian motion, and the stochastic integral. Chapter 6 examines the connections between solutions of partial differential equations and stochastic differential equations, while Chapter 7 describes the Girsanov’s formula that is useful in the stochastic control theory. Chapters 8 and 9 evaluate the behavior of sample paths of the solution of a stochastic differential system, as time increases to infinity. This book is intended primarily for undergraduate and graduate mathematics students.

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
Author: X Mao
Publsiher: ISBS
Total Pages: 422
Release: 2008-01-13
ISBN 10: 9781904275343
ISBN 13: 1904275346
Language: EN, FR, DE, ES & NL

Stochastic Differential Equations and Applications Book Review:

Mao (statistics and modeling science, U. of Strathclyde) has thoroughly revised this advanced undergraduate and graduate text, in part to describe several popular stochastic models and applications in population systems and finance. He covers generalized Gronwall inequality and Bihari inequality, Brownian motions and stochastic intervals, analysis of Ito and Feynman-Kac formulas, the Ruzumikhin technique of the Lyapunov method, approximate solutions to stochastic differential equations according to Cauchy-Marayama and Carathedory methods. Appropriate for pure and applied mathematicians, statisticians, engineers in control and communications, information scientists, physicists and economists. Previously published under title Stochastic Differential Equations and their Applications in 1997. Distributed by ISBS. Annotation ©2009 Book News, Inc., Portland, OR (booknews.com)

Stochastic Differential Equations

Stochastic Differential Equations
Author: Bernt Oksendal
Publsiher: Springer Science & Business Media
Total Pages: 208
Release: 2013-03-09
ISBN 10: 3662130505
ISBN 13: 9783662130506
Language: EN, FR, DE, ES & NL

Stochastic Differential Equations Book Review:

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.

Theory of Stochastic Differential Equations with Jumps and Applications

Theory of Stochastic Differential Equations with Jumps and Applications
Author: Rong SITU
Publsiher: Springer Science & Business Media
Total Pages: 434
Release: 2006-05-06
ISBN 10: 0387251758
ISBN 13: 9780387251752
Language: EN, FR, DE, ES & NL

Theory of Stochastic Differential Equations with Jumps and Applications Book Review:

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.

Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance

Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance
Author: Carlos A. Braumann
Publsiher: John Wiley & Sons
Total Pages: 304
Release: 2019-03-08
ISBN 10: 1119166071
ISBN 13: 9781119166078
Language: EN, FR, DE, ES & NL

Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance Book Review:

A comprehensive introduction to the core issues of stochastic differential equations and their effective application Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance offers a comprehensive examination to the most important issues of stochastic differential equations and their applications. The author — a noted expert in the field — includes myriad illustrative examples in modelling dynamical phenomena subject to randomness, mainly in biology, bioeconomics and finance, that clearly demonstrate the usefulness of stochastic differential equations in these and many other areas of science and technology. The text also features real-life situations with experimental data, thus covering topics such as Monte Carlo simulation and statistical issues of estimation, model choice and prediction. The book includes the basic theory of option pricing and its effective application using real-life. The important issue of which stochastic calculus, Itô or Stratonovich, should be used in applications is dealt with and the associated controversy resolved. Written to be accessible for both mathematically advanced readers and those with a basic understanding, the text offers a wealth of exercises and examples of application. This important volume: Contains a complete introduction to the basic issues of stochastic differential equations and their effective application Includes many examples in modelling, mainly from the biology and finance fields Shows how to: Translate the physical dynamical phenomenon to mathematical models and back, apply with real data, use the models to study different scenarios and understand the effect of human interventions Conveys the intuition behind the theoretical concepts Presents exercises that are designed to enhance understanding Offers a supporting website that features solutions to exercises and R code for algorithm implementation Written for use by graduate students, from the areas of application or from mathematics and statistics, as well as academics and professionals wishing to study or to apply these models, Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance is the authoritative guide to understanding the issues of stochastic differential equations and their application.

Stochastic Partial Differential Equations and Applications

Stochastic Partial Differential Equations and Applications
Author: Giuseppe Da Prato,Luciano Tubaro
Publsiher: Springer
Total Pages: 264
Release: 2006-11-15
ISBN 10: 3540474080
ISBN 13: 9783540474081
Language: EN, FR, DE, ES & NL

Stochastic Partial Differential Equations and Applications Book Review:

Forward Backward Stochastic Differential Equations and their Applications

Forward Backward Stochastic Differential Equations and their Applications
Author: Jin Ma,Jiongmin Yong
Publsiher: Springer
Total Pages: 278
Release: 2007-04-24
ISBN 10: 3540488316
ISBN 13: 9783540488316
Language: EN, FR, DE, ES & NL

Forward Backward Stochastic Differential Equations and their Applications Book Review:

This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the 'Four Step Scheme', and the method of continuation are presented in full. Related topics such as backward stochastic PDEs and many applications of FBSDEs are also discussed in detail. The volume is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. It can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.

Stochastic Differential Equations

Stochastic Differential Equations
Author: Jaures Cecconi
Publsiher: Springer Science & Business Media
Total Pages: 249
Release: 2011-06-06
ISBN 10: 9783642110795
ISBN 13: 3642110797
Language: EN, FR, DE, ES & NL

Stochastic Differential Equations Book Review:

C. Doleans-Dade: Stochastic processes and stochastic differential equations.- A. Friedman: Stochastic differential equations and applications.- D.W. Stroock, S.R.S. Varadhan: Theory of diffusion processes.- G.C. Papanicolaou: Wave propagation and heat conduction in a random medium.- C. Dewitt Morette: A stochastic problem in Physics.- G.S. Goodman: The embedding problem for stochastic matrices.

Stochastic Differential Equations

Stochastic Differential Equations
Author: Ludwig Arnold,LUDWIG AUTOR ARNOLD
Publsiher: Wiley-Interscience
Total Pages: 228
Release: 1974-04-23
ISBN 10:
ISBN 13: UOM:39015015707188
Language: EN, FR, DE, ES & NL

Stochastic Differential Equations Book Review:

Fundamentals of probability theory; Markov processes and diffusion processes; Wiener process and white noise; Stochastic integrals; The stochastic integral as a stochastic process, stochastic differentials; Stochastic differential equations, existence and uniqueness of solutions; Properties of the solutions of stochastic differential equations; Linear stochastic differentials equations; The solutions of stochastic differentail equations as Markov and diffusion processes; Questions of modeling and approximation; Stability of stochastic dynamic systems; Optimal filtering of a disturbed signal; Optimal control of stochastic dynamic systems.

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

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
Author: Łukasz Delong
Publsiher: Springer Science & Business Media
Total Pages: 288
Release: 2013-06-12
ISBN 10: 1447153316
ISBN 13: 9781447153313
Language: EN, FR, DE, ES & NL

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications Book Review:

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 BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners.

Reflecting Stochastic Differential Equations with Jumps and Applications

Reflecting Stochastic Differential Equations with Jumps and Applications
Author: Situ Rong
Publsiher: CRC Press
Total Pages: 224
Release: 1999-08-05
ISBN 10: 9781584881254
ISBN 13: 1584881259
Language: EN, FR, DE, ES & NL

Reflecting Stochastic Differential Equations with Jumps and Applications Book Review:

Many important physical variables satisfy certain dynamic evolution systems and can take only non-negative values. Therefore, one can study such variables by studying these dynamic systems. One can put some conditions on the coefficients to ensure non-negative values in deterministic cases. However, as a random process disturbs the system, the components of solutions to stochastic differential equations (SDE) can keep changing between arbitrary large positive and negative values-even in the simplest case. To overcome this difficulty, the author examines the reflecting stochastic differential equation (RSDE) with the coordinate planes as its boundary-or with a more general boundary. Reflecting Stochastic Differential Equations with Jumps and Applications systematically studies the general theory and applications of these equations. In particular, the author examines the existence, uniqueness, comparison, convergence, and stability of strong solutions to cases where the RSDE has discontinuous coefficients-with greater than linear growth-that may include jump reflection. He derives the nonlinear filtering and Zakai equations, the Maximum Principle for stochastic optimal control, and the necessary and sufficient conditions for the existence of optimal control. Most of the material presented in this book is new, including much new work by the author concerning SDEs both with and without reflection. Much of it appears here for the first time. With the application of RSDEs to various real-life problems, such as the stochastic population and neurophysiological control problems-both addressed in the text-scientists dealing with stochastic dynamic systems will find this an interesting and useful work.

Stochastic Differential Equations

Stochastic Differential Equations
Author: Bernt Oksendal
Publsiher: Springer Science & Business Media
Total Pages: 188
Release: 2013-04-17
ISBN 10: 3662025744
ISBN 13: 9783662025741
Language: EN, FR, DE, ES & NL

Stochastic Differential Equations Book Review:

From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these problems and variants thereof and to many other problems to show how the theory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respect to Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications... The book can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about." Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986#1 "The book is well written, gives a lot of nice applications of stochastic differential equation theory, and presents theory and applications of stochastic differential equations in a way which makes the book useful for mathematical seminars at a low level. (...) The book (will) really motivate scientists from non-mathematical fields to try to understand the usefulness of stochastic differential equations in their fields." Metrica#2

Forward Backward Stochastic Differential Equations and Their Applications

Forward Backward Stochastic Differential Equations and Their Applications
Author: Jin Ma,J.-M. Morel,Jiongmin Yong
Publsiher: Springer Science & Business Media
Total Pages: 270
Release: 1999
ISBN 10:
ISBN 13: STANFORD:36105029111999
Language: EN, FR, DE, ES & NL

Forward Backward Stochastic Differential Equations and Their Applications Book Review:

This book is intended to give an introduction to the theory of forwa- backward stochastic di erential equations (FBSDEs, for short) which has received strong attention in recent years because of its interesting structure and its usefulness in various applied elds. The motivation for studying FBSDEs comes originally from stochastic optimal control theory, that is, the adjoint equation in the Pontryagin-type maximum principle. The earliest version of such an FBSDE was introduced by Bismut [1] in 1973, with a decoupled form, namely, a system of a usual (forward)stochastic di erential equation and a (linear) backwardstochastic dieren tial equation (BSDE, for short). In 1983, Bensoussan [1] proved the well-posedness of general linear BSDEs by using martingale representation theorem. The r st well-posedness result for nonlinear BSDEs was proved in 1990 by Pardoux{Peng [1], while studying the general Pontryagin-type maximum principle for stochastic optimal controls. A little later, Peng [4] discovered that the adapted solution of a BSDE could be used as a pr- abilistic interpretation of the solutions to some semilinear or quasilinear parabolic partial dieren tial equations (PDE, for short), in the spirit of the well-known Feynman-Kac formula. After this, extensive study of BSDEs was initiated, and potential for its application was found in applied and t- oretical areas such as stochastic control, mathematical n ance, dieren tial geometry, to mention a few. The study of (strongly) coupled FBSDEs started in early 90s. In his Ph.

Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance

Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance
Author: Carlos A. Braumann
Publsiher: Wiley
Total Pages: 304
Release: 2019-04-29
ISBN 10: 1119166063
ISBN 13: 9781119166061
Language: EN, FR, DE, ES & NL

Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance Book Review:

A comprehensive introduction to the core issues of stochastic differential equations and their effective application Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance offers a comprehensive examination to the most important issues of stochastic differential equations and their applications. The author — a noted expert in the field — includes myriad illustrative examples in modelling dynamical phenomena subject to randomness, mainly in biology, bioeconomics and finance, that clearly demonstrate the usefulness of stochastic differential equations in these and many other areas of science and technology. The text also features real-life situations with experimental data, thus covering topics such as Monte Carlo simulation and statistical issues of estimation, model choice and prediction. The book includes the basic theory of option pricing and its effective application using real-life. The important issue of which stochastic calculus, Itô or Stratonovich, should be used in applications is dealt with and the associated controversy resolved. Written to be accessible for both mathematically advanced readers and those with a basic understanding, the text offers a wealth of exercises and examples of application. This important volume: Contains a complete introduction to the basic issues of stochastic differential equations and their effective application Includes many examples in modelling, mainly from the biology and finance fields Shows how to: Translate the physical dynamical phenomenon to mathematical models and back, apply with real data, use the models to study different scenarios and understand the effect of human interventions Conveys the intuition behind the theoretical concepts Presents exercises that are designed to enhance understanding Offers a supporting website that features solutions to exercises and R code for algorithm implementation Written for use by graduate students, from the areas of application or from mathematics and statistics, as well as academics and professionals wishing to study or to apply these models, Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance is the authoritative guide to understanding the issues of stochastic differential equations and their application.

Applied Stochastic Differential Equations

Applied Stochastic Differential Equations
Author: Simo Särkkä,Arno Solin
Publsiher: Cambridge University Press
Total Pages: 300
Release: 2019-04-30
ISBN 10: 1316510085
ISBN 13: 9781316510087
Language: EN, FR, DE, ES & NL

Applied Stochastic Differential Equations Book Review:

Stochastic differential equations are differential equations whose solutions are stochastic processes. They exhibit appealing mathematical properties that are useful in modeling uncertainties and noisy phenomena in many disciplines. This book is motivated by applications of stochastic differential equations in target tracking and medical technology and, in particular, their use in methodologies such as filtering, smoothing, parameter estimation, and machine learning. It builds an intuitive hands-on understanding of what stochastic differential equations are all about, but also covers the essentials of It calculus, the central theorems in the field, and such approximation schemes as stochastic Runge-Kutta. Greater emphasis is given to solution methods than to analysis of theoretical properties of the equations. The book's practical approach assumes only prior understanding of ordinary differential equations. The numerous worked examples and end-of-chapter exercises include application-driven derivations and computational assignments. MATLAB/Octave source code is available for download, promoting hands-on work with the methods.

An Introduction to Stochastic Differential Equations

An Introduction to Stochastic Differential Equations
Author: Lawrence C. Evans
Publsiher: American Mathematical Soc.
Total Pages: 151
Release: 2012-12-11
ISBN 10: 1470410540
ISBN 13: 9781470410544
Language: EN, FR, DE, ES & NL

An Introduction to Stochastic Differential Equations Book Review:

These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. --Srinivasa Varadhan, New York University This is a handy and very useful text for studying stochastic differential equations. There is enough mathematical detail so that the reader can benefit from this introduction with only a basic background in mathematical analysis and probability. --George Papanicolaou, Stanford University This book covers the most important elementary facts regarding stochastic differential equations; it also describes some of the applications to partial differential equations, optimal stopping, and options pricing. The book's style is intuitive rather than formal, and emphasis is made on clarity. This book will be very helpful to starting graduate students and strong undergraduates as well as to others who want to gain knowledge of stochastic differential equations. I recommend this book enthusiastically. --Alexander Lipton, Mathematical Finance Executive, Bank of America Merrill Lynch This short book provides a quick, but very readable introduction to stochastic differential equations, that is, to differential equations subject to additive ``white noise'' and related random disturbances. The exposition is concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).

Stochastic Partial Differential Equations and Applications II

Stochastic Partial Differential Equations and Applications II
Author: Giuseppe Da Prato,Luciano Tubaro
Publsiher: Springer
Total Pages: 268
Release: 2006-11-14
ISBN 10: 3540482008
ISBN 13: 9783540482000
Language: EN, FR, DE, ES & NL

Stochastic Partial Differential Equations and Applications II Book Review:

Stochastic Differential Equations

Stochastic Differential Equations
Author: K. Sobczyk
Publsiher: Springer Science & Business Media
Total Pages: 400
Release: 2013-12-01
ISBN 10: 9401137129
ISBN 13: 9789401137126
Language: EN, FR, DE, ES & NL

Stochastic Differential Equations Book Review:

'Et moi, ..~ si lavait su CO.llUlJalt en revc:nir, One acMcc matbcmatica bu JaIdcred the human rac:c. It bu put COIDIDOD _ beet je n'y serais point aBe.' Jules Verne wbac it bdoup, 0Jl!be~ IbcII _t to!be dusty cauialcr Iabc & d 'diMardod__ The series is divergent; thc:reforc we may be -'. I!.ticT. Bc:I1 able to do something with it. O. Hcavisidc Mathematics is a tool for thought. A highly necessary tool in a world when: both feedback and non linearities abound. Similarly. all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statcmalts as: 'One service topology has rendered mathematical physics ...-; 'One service logic has rendered c0m puter science ... '; 'One service category theory has rendered mathematics ... '. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series. This series, Mathematics and Its Applications. started in 19n. Now that over one hundred volumes have appeared it seems opportune to reexamine its scope. At the time I wrote "Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However. the 'tree' of knowledge of mathematics and related fields does not grow only by putting forth new branc:hes. It also happens, quite often in fact, that branches which were thought to be completely.

Stability of Infinite Dimensional Stochastic Differential Equations with Applications

Stability of Infinite Dimensional Stochastic Differential Equations with Applications
Author: Kai Liu
Publsiher: CRC Press
Total Pages: 312
Release: 2005-08-23
ISBN 10: 9781420034820
ISBN 13: 1420034820
Language: EN, FR, DE, ES & NL

Stability of Infinite Dimensional Stochastic Differential Equations with Applications Book Review:

Stochastic differential equations in infinite dimensional spaces are motivated by the theory and analysis of stochastic processes and by applications such as stochastic control, population biology, and turbulence, where the analysis and control of such systems involves investigating their stability. While the theory of such equations is well establ

Stochastic Partial Differential Equations and Applications

Stochastic Partial Differential Equations and Applications
Author: Giuseppe Da Prato
Publsiher: Unknown
Total Pages: 286
Release: 1992
ISBN 10:
ISBN 13: UOM:39015051268392
Language: EN, FR, DE, ES & NL

Stochastic Partial Differential Equations and Applications Book Review: