Random Evolutions and Their Applications: New Trends - Couverture rigide

Swishchuk, Anatoly

Couverture rigide

ISBN 10 : 0792362640 ISBN 13 : 9780792362647

Editeur : Kluwer Academic Publishers, 2000

Synopsis

The book is devoted to the new trends in random evolutions and their various applications to stochastic evolutionary sytems (SES). Such new developments as the analogue of Dynkin's formulae, boundary value problems, stochastic stability and optimal control of random evolutions, stochastic evolutionary equations driven by martingale measures are considered. The book also contains such new trends in applied probability as stochastic models of financial and insurance mathematics in an incomplete market. In the famous classical financial mathematics Black-Scholes model of a (B, S)- market for securities prices, which is used for the description of the evolution of bonds and stocks prices and also for their derivatives, such as options, futures, forward contracts, etc., it is supposed that the dynamic of bonds and stocks prices are set by a linear differential and linear stochastic differential equations, respectively, with interest rate, appreciation rate and volatility such that they are predictable processes. Also, in the Arrow-Debreu economy, the securities prices which support a Radner dynamic equilibrium are a combination of an Ito process and a random point process, with the all coefficients and jumps being predictable processes.

A propos du livre

Présentation de l'éditeur

This is the first handbook on random evolutions and their applications. Its main purpose is to summarize and order the ideas, methods, results and literature on the theory of random evolutions since 1969 and their applications to the evolutionary stochastic systems in random media, and also to point out some new trends.
Among the subjects that are treated are the problems for different models of random evolutions, multiplicative operator functionals, evolutionary stochastic systems in random media, averaging, merging, diffusion approximation, normal deviations, rates of convergence for random evolutions and their applications. New developments, such as the analogue of Dynkin's formula, boundary value problems, stability and control of random evolutions, stochastic evolutionary equations, driven space-time white noise and random evolutions in financial mathematics are also considered.
Audience: This handbook will be of use to theoretical and practical researchers whose interests include probability theory, functional analysis, operator theory, optimal control or statistics, and who wish to know what kind of information is available in the field of random evolutions and their applications.

Détails de l'édition

• Éditeur: Kluwer Academic Publishers
• Date d'édition: 2000
• Langue: anglais
• ISBN 10: 0792362640
• ISBN 13: 9780792362647
• Reliure: Relié
• Nombre de pages: 310
• Coordonnées du fabricant: non disponible
• Personne responsable: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Allemagne