This work focuses on analyzing and presenting solutions for a wide range of stochastic problems that are encountered in applied mathematics, probability, physics, engineering, finance, and economics. The approac
and Brownian Motion Some Applications of Stochastic Calculus Hints and SolutionsReadership: Undergraduate and graduate students interested in stochastic processes.The book contains numerous problems with full solutions and plenty of worked out examples and figures, which facilitate material understandingThe ...
Engineering applications of stochastic processes: Theory, problems and solutions *1Alexander Zayezdny, Daniel Tabak and Dov Wulich... J Michalek - 《Automatica》 被引量: 0发表: 1991年 Engineering applications of stochastic processes: Theory, problems and solutions: Alexander Zayezdny, Daniel Tabak ...
A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic ...
Uniqueness in Law for Stochastic Boundary Value Problems - Capietto, Priola () Citation Context ...oneering works [3,19] for the existence and uniqueness of solutions, the study of Markov’s property [6,19], and the numerical approximations of [16,25,28], as well as the recent and ...
The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises. Brownian Motion ...
SolutionstoStochasticCalculusforFinanceII(StevenShreve)Dr.GuoweiZhao∗Dept.ofMathematicsandStatisticsMcMasterUniversityHamilton,ONL8S4K..
Stochastic Modelling and Applied Probability Series Volume 61 Series ISSN 0172-4568 Publisher Springer Berlin Heidelberg Copyright Holder Springer-Verlag Berlin Heidelberg Additional Links About this Book Topics Calculus of Variations and Optimal Control; Optimization Game Theory, Economics, Social and Be...
The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises....
There are other categories, such as stochastic partial differential equations, eigenvalue problems *), and random boundaries **), but they will not be treated here. Remark The following difference with ordinary, non-stochastic differential equations needs to be emphasized. All solutions of a non-...