Overview
- Derivation of Ito’s formulas, Girsanov’s theorems and martingale representation theorem for stochastic DEs with jumps
- Applications to population control
- Reflecting stochastic DE technique
- Applications to the stock market. (Backward stochastic DE approach)
- Derivation of Black-Scholes formula for market with and without jumps
- Non-linear filtering problems with jumps
Part of the book series: Mathematical and Analytical Techniques with Applications to Engineering (MATE)
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Table of contents (12 chapters)
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Stochastic Differential Equations with Jumps in Rd
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Applications
Bibliographic Information
Book Title: Theory of Stochastic Differential Equations with Jumps and Applications
Book Subtitle: Mathematical and Analytical Techniques with Applications to Engineering
Authors: Rong Situ
Series Title: Mathematical and Analytical Techniques with Applications to Engineering
DOI: https://doi.org/10.1007/b106901
Publisher: Springer New York, NY
eBook Packages: Engineering, Engineering (R0)
Copyright Information: Springer-Verlag US 2005
Hardcover ISBN: 978-0-387-25083-0Published: 20 April 2005
Softcover ISBN: 978-1-4419-3771-1Published: 08 December 2010
eBook ISBN: 978-0-387-25175-2Published: 06 May 2006
Series ISSN: 1559-7458
Series E-ISSN: 1559-7466
Edition Number: 1
Number of Pages: XX, 434
Topics: Mathematical and Computational Engineering, Analysis, Probability Theory and Stochastic Processes, Applications of Mathematics, Theoretical, Mathematical and Computational Physics, Engineering Fluid Dynamics
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