Instances of this problems occurs in differents fields: aggregation of preferences in operational research, calculus of variations and shape optimisation, etc... PL Takouda - RAIRO - Operations Research 被引量: 0发表: 2005年 Whys and hows in uncertainty modelling : probability, fuzziness and anti...
Application of the It stochastic calculus to problems in economics and finance raises several modeling issues. McShane's canonical model and alternative st... M Capiński,E Kopp,J Traple 被引量: 5发表: 2012年 Problems and solutions in mathematical finance Mathematical finance requires the use of...
出版社:Springer Verlag 出版年:2002-9 页数:792 定价:$ 111.87 装帧:HRD ISBN:9780817642426 豆瓣评分 目前无人评价 评价: 写笔记 写书评 加入购书单 分享到 内容简介· ··· This work focuses on analyzing and presenting solutions for a wide range of stochastic problems that are encountered in applied...
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 ...
This work consists of the applications of the infinite dimensional stochastic calculus to the following problems:Construction of the E ∞ -flows of the finite dimensional diffusions with regular coefficients, a simple and short proof of the generalized Ito-Stratonovitch formula,probabilistic solutions ...
Y Il’Yasov,T Runst - 《Calculus of Variations & Partial Differential Equations》 被引量: 22发表: 2005年 Stochastic deformation of integrable dynamical systems and random time symmetry Boundary value problemsStochastic processesCritical point phenomenaWe present a deformation of a class of elementary ...
This 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 text is complemented by a large number of problems and exercises. 展开 关键词...
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 ...
We then analyse the existence and uniqueness of solutionsto stochastic optimal control problems def i ned on possibly random time intervals, as well asgradient-based numerical methods for solving such problems.1 IntroductionGiven a dynamical system that is described by a stochastic dif f erential ...
Auxiliary results in partial differential equations; Nonattainability; Stability and spiraling of solutions; The dirichlet problem for degenerate elliptic equations; Small random perturbations by dynamical systems; Fundamental solutions for degenerate parabolic equations; Stopping time problems and stochastic game...