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Titre : | Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering |
Auteurs : | Situ Rong, Auteur |
Type de document : | texte imprimé |
Editeur : | New York : Springer, 2005 |
ISBN/ISSN/EAN : | 978-0-387-25083-0 |
Format : | 434p / 24cm |
Langues: | Anglais |
Catégories : | |
Mots-clés: | Theory ; stochastic differential ; equations ; jumps ; applications |
Résumé : | this book is written for people who are interested in stochastic differential equations (SDEs) and their applications.it shows how to introduce and define the ito integrals,to establish lto's differential rule (the so-called ito formula),to solve the SDEs.it also shows how to solve the filtering problem,to establish the martingale representation theorem,to solve the option pricing problem in a financial market, and to oblain the famous black-scholes formula,along with other results. |
Note de contenu : |
1-stochastic differential equations with jumps in Rd
2-Applications |
Exemplaires (2)
Code-barres | Cote | Support | Localisation | Section | Disponibilité |
---|---|---|---|---|---|
SC024153 | MA06380 | Livre | Magasin des Ouvrages | Mathématique | Exclu du prêt |
SC024154 | MA06381 | Livre | Magasin des Ouvrages | Mathématique | Disponible |