This monograph deals with the asymptotic behaviour, and in
particular the largest fluctuations, of various classes of
stochastic differential equations (SDEs) and their discretisations.
Equations subject to Markovian switching are also studied, allowing
the drift and diffusion coefficients to switch randomly according
to a Markov jump process. The assumptions are motivated by the
large fluctuations experienced by financial markets which are
subjected to random regime shifts. Such results are then applied to
a variant of the classical Geometric Brownian Motion (GBM) market
model. Moreover it is shown that discrete approximations to these
equations, using standard and split-step implicit Euler-Maruyama
methods, exhibit asymptotic behaviour which is consistent with
their continuous-time counterparts.
General
Imprint: |
Lap Lambert Academic Publishing
|
Country of origin: |
Germany |
Release date: |
October 2010 |
First published: |
October 2010 |
Authors: |
Terry Lynch
• John Appleby
|
Dimensions: |
229 x 152 x 14mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
240 |
ISBN-13: |
978-3-8433-5935-1 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
General
|
LSN: |
3-8433-5935-0 |
Barcode: |
9783843359351 |
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