Stochastic π-calculus

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  • This volume contains a collection of articles dedicated to the 70th anniversary of Albert Shiryaev. The majority of contributions are written by his former students, co-authors, colleagues and admirers strongly influenced by Albert’s scientific tastes as well as by his charisma. We believe that the papers of this Festschrift reflect modern trends in stochastic calculus and mathematical finance and open new perspectives of further development in these fascinating fields which attract new and new researchers.

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  • Tham khảo tài liệu 'stochastic calculus and finance', tài chính - ngân hàng, đầu tư chứng khoán phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả

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  • Stochastic Calculus of Variations (or Malliavin Calculus) consists, in brief, in constructing and exploiting natural differentiable structures on abstract probability spaces; in other words, Stochastic Calculus of Variations proceeds from a merging of differential calculus and probability theory. As optimization under a random environment is at the heart of mathematical finance, and as differential calculus is of paramount importance for the search of extrema, it is not surprising that Stochastic Calculus of Variations appears in mathematical finance.

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  • The binomial asset pricing model provides a powerful tool to understand arbitrage pricing theory and probability theory. In this course, we shall use it for both these purposes. In the binomial asset pricing model, we model stock prices in discrete time, assuming that at each step, the stock price will change to one of two possible values. Let us begin with an initial positive stock price S0. There are two positive numbers, d and u, with 0

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  • In this research monograph, we explain the development of a mechanistic, stochastic theory of nonfickian solute dispersion in porous media. We have included sufficient amount of background material related to stochastic calculus and the scale dependency of diffusivity in this book so that it could be read independently.

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  • This book is a final year undergraduate text on stochastic processes, a tool used widely by statisticians and researchers working, for example, in the mathematics of finance. The book will give a detailed treatment of conditional expectation and probability, a topic which is essential as a tool for stochastic processes. Although the book is a final year text, the authors have chosen to use exercises as the main means of explanation for the various topics, hence the course has a strong self-study element.

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  • Tuyển tập báo cáo các nghiên cứu khoa học quốc tế ngành hóa học dành cho các bạn yêu hóa học tham khảo đề tài: Instantaneous Frequency Estimation Using Stochastic Calculus and Bootstrapping

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  • We have attempted to explain the concepts which have been used and developed to model the stochastic dynamics of natural and biological systems. While the theory of stochastic differential equations and stochastic processes provide an attractive framework with an intuitive appeal to many problems with naturally induced variations, the solutions to such models are an active area of research, which is in its infancy. Therefore, this book should provide a large number of areas to research further.

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  • This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes, weak convergence of processes, and semigroup theory.

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  • The mathematical theory now known as Malliavin calculus was first introduced by Paul Malliavin in [157] as an infinite-dimensional integration by parts technique. The purpose of this calculus was to prove the results about the smoothness of densities of solutions of stochastic differential equations driven by Brownian motion. For several years this was the only known application. Therefore, since this theory was considered quite complicated by many, Malliavin calculus remained a relatively unknown theory also among mathematicians for some time.

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  • This issue of the journal reports some selected contributions from the workshops BioConcur 2004 chaired by Anna Ingolfsdottir and Hanne Riis Nielson and BioConcur 2005 chaired by Bud Mishra and Corrado Priami. There are three contributions from BioConcur 2004. The first one is by Calder, Gilmore and Hillston on the modelling of signalling pathways using the stochastic process algebra PEPA. The second contribution is by Kuttler and Niehren on gene regulation in π-calculus.

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  • Stochastic control plays an important role in many scientific and applied disciplines including communications, engineering, medicine, finance and many others. It is one of the effective methods being used to find optimal decision-making strategies in applications. The book provides a collection of outstanding investigations in various aspects of stochastic systems and their behavior. The book provides a self-contained treatment on practical aspects of stochastic modeling and calculus including applications drawn from engineering, statistics, and computer science....

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  • The binomial asset pricing model provides a powerful tool to understand arbitrage pricing theory and probability theory. In this course, we shall use it for both these purposes.

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  • In this book I present classical quantitative finance. The book is suitable for students on advanced undergraduate finance and derivatives courses, MBA courses, and graduate courses that are mainly taught, as opposed to ones that are based on research. The text is quite self-contained, with, I hope, helpful sidebars (‘Time Out’) covering the more mathematical aspects of the subject for those who feel a little bit uncomfortable. Little prior knowledge is assumed, other than basic calculus, even stochastic calculus is explained here in a simple, accessible way.

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  • Đây là một cuốn sách giáo khoa sống động cung cấp một giới thiệu về xác định giá trị lựa chọn tài chính cho sinh viên đại học được trang bị một kiến ​​thức tính toán năm đầu tiên. Viết trong một loạt các chương ngắn, điều trị khép kín cho trọng lượng bằng toán học ứng dụng, stochastics và các thuật toán tính toán.

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  • We should now develop some intuition before we take up the rigorous development in the next section. The elements ω ∈ Ω are the possible states of nature and one among them, say δ, is the true state of nature. The true state of nature is unknown and controls the outcome of all random experiments. An event A ∈ F occurs or does not occur according as δ ∈ A or δ ∈ A, that is, according as the random variable 1A assumes the value one or zero at δ. To gain information about the true state of nature we determine by means of experiments whether...

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