Stochastics

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.

The book combines both rigor and intuition to derive most of the classical results of linear and nonlinear filtering and beyond.

This volume is a collection of research papers on nonlinear partial differential equations and related areas, representing many aspects of the most recent developments in these important areas.

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes.

AIDS (autoimmune deficiency syndrome) is a devastating human disease caused by HIV, a human immunodeficiency virus, which may be transmitted by either sexual or other contacts in which body fluids are exchanged.

This book extends the dynamic and stochastic analysis of economic efficiency by using the recent techniques of data envelopment analysis.

Hiroshi Tanaka is noted for his discovery of the "e;Tanaka formula"e;, which is a generalization of the Ito formula in stochastic analysis.

In October 1998 a conference was held in Lisbon to celebrate Ludwig Streit's 60th birthday.

There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory.

This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance.

A random field is a mathematical model of evolutional fluctuating complex systems parametrized by a multi-dimensional manifold like a curve or a surface.

This volume contains recent research papers presented at the international workshop on "e;Probabilistic Methods in Fluids"e; held in Swansea.

This volume includes new topics such as the stochastic limit approach to nonequilibrium states, a new algebraic approach to relativistic nonequilibrium local states, classical and quantum features of weak chaos, transports in quantum billiards, the Welcher-Weg puzzle with a decaying atom, and the topics related to the quantum Zeno effect.

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering.

This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.

This book is representative of the work of Chinese probabilists on probability theory and its applications in physics.

The book collects a series of papers centered on two main streams: Feynman path integral approach to Quantum Mechanics and statistical mechanics of quantum open systems.

This volume contains 27 refereed research articles and survey papers written by experts in the field of stochastic analysis and related topics.

Markov Chain Monte Carlo (MCMC) originated in statistical physics, but has spilled over into various application areas, leading to a corresponding variety of techniques and methods.

Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance.

This volume includes papers by leading mathematicians in the fields of stochastic analysis, white noise theory and quantum information, together with their applications.

This book provides recent results on the stochastic approximation of systems by weak convergence techniques.

Rigorous error estimates for amplitude equations are well known for deterministic PDEs, and there is a large body of literature over the past two decades.

This volume consists of 15 articles written by experts in stochastic analysis.

This volume is devoted to the study of asymptotic properties of wide classes of stochastic systems arising in mathematical statistics, percolation theory, statistical physics and reliability theory.

This volume presents the most recent applied and methodological issues in stochastic modeling and data analysis.

This volume contains the contributions to a conference that is among the most important meetings in financial mathematics.

This volume collects articles in pure and applied analysis, partial differential equations, geometric analysis and stochastic and infinite-dimensional analysis.

This volume highlights recent developments of stochastic analysis with a wide spectrum of applications, including stochastic differential equations, stochastic geometry, and nonlinear partial differential equations.

This volume contains current work at the frontiers of research in infinite dimensional stochastic analysis.

The ideas and principles of stochastic analysis have managed to penetrate into various fields of pure and applied mathematics in the last 15 years; it is particularly true for mathematical physics.

Operations research uses quantitative models to analyze and predict the behavior of systems and to provide information for decision makers.

The book presents a coherent treatment of Markov random walks and Markov additive processes together with their applications.

This book contains the general description of the mathematical pendulum subject to constant torque, periodic and random forces.

Stochastic dynamical systems and stochastic analysis are of great interests not only to mathematicians but also to scientists in other areas.

Reliability theory and applications become major concerns of engineers and managers engaged in making high quality products and designing highly reliable systems.

With the advance of new computing technology, simulation is becoming very popular for designing large, complex and stochastic engineering systems, since closed-form analytical solutions generally do not exist for such problems.

The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space.

This volume contains current work at the frontiers of research in quantum probability, infinite dimensional stochastic analysis, quantum information and statistics.

This book introduces some advanced topics in probability theories - both pure and applied - is divided into two parts.

This book provides a broad introduction to the generalized inverses, Moore-Penrose inverses, Drazin inverses and T-S outer generalized inverses and their perturbation analyses in the spaces of infinite-dimensional.

Stochastic analysis on Riemannian manifolds without boundary has been well established.

The study of measure-valued processes in random environments has seen some intensive research activities in recent years whereby interesting nonlinear stochastic partial differential equations (SPDEs) were derived.

Weak convergence of stochastic processes is one of most important theories in probability theory.

This volume contains the current research in quantum probability, infinite dimensional analysis and related topics.

This book shows the breadth and depth of stochastic programming applications.

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management.

This book presents a systematic treatment of Markov chains, diffusion processes and state space models, as well as alternative approaches to Markov chains through stochastic difference equations and stochastic differential equations.

The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields.

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