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Computation and Combinatorics in Dynamics, Stochastics and Control - The Abel Symposium, Rosendal, Norway, August 2016... Computation and Combinatorics in Dynamics, Stochastics and Control - The Abel Symposium, Rosendal, Norway, August 2016 (Hardcover, 1st ed. 2018)
Elena Celledoni, Giulia Di Nunno, Kurusch Ebrahimi-Fard, Hans Zanna Munthe-Kaas
R5,249 Discovery Miles 52 490 Ships in 10 - 15 working days

The Abel Symposia volume at hand contains a collection of high-quality articles written by the world's leading experts, and addressing all mathematicians interested in advances in deterministic and stochastic dynamical systems, numerical analysis, and control theory. In recent years we have witnessed a remarkable convergence between individual mathematical disciplines that approach deterministic and stochastic dynamical systems from mathematical analysis, computational mathematics and control theoretical perspectives. Breakthrough developments in these fields now provide a common mathematical framework for attacking many different problems related to differential geometry, analysis and algorithms for stochastic and deterministic dynamics. In the Abel Symposium 2016, which took place from August 16-19 in Rosendal near Bergen, leading researchers in the fields of deterministic and stochastic differential equations, control theory, numerical analysis, algebra and random processes presented and discussed the current state of the art in these diverse fields. The current Abel Symposia volume may serve as a point of departure for exploring these related but diverse fields of research, as well as an indicator of important current and future developments in modern mathematics.

Stochastic Analysis and Applications - The Abel Symposium 2005 (Hardcover, 2007 ed.): Fred Espen Benth, Giulia Di Nunno, Tom... Stochastic Analysis and Applications - The Abel Symposium 2005 (Hardcover, 2007 ed.)
Fred Espen Benth, Giulia Di Nunno, Tom Lindstrom, Bernt Oksendal, Tusheng Zhang
R4,494 Discovery Miles 44 940 Ships in 10 - 15 working days

Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineering, biology, economics and finance.

The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over the world were invited to present the newest developments within the exciting and fast growing field of stochastic analysis. The present volume combines both papers from the invited speakers and contributions by the presenting lecturers.

A special feature is the Memoirs that Kiyoshi Ito wrote for this occasion. These are valuable pages for both young and established researchers in the field.

Stochastics of Environmental and Financial Economics - Centre of Advanced Study, Oslo, Norway, 2014-2015 (Hardcover, 1st ed.... Stochastics of Environmental and Financial Economics - Centre of Advanced Study, Oslo, Norway, 2014-2015 (Hardcover, 1st ed. 2016)
Fred Espen Benth, Giulia Di Nunno
R2,147 Discovery Miles 21 470 Ships in 12 - 19 working days

These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on "Stochastics of Environmental and Financial Economics (SEFE)", being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Stochastics of Environmental and Financial Economics - Centre of Advanced Study, Oslo, Norway, 2014-2015 (Paperback, Softcover... Stochastics of Environmental and Financial Economics - Centre of Advanced Study, Oslo, Norway, 2014-2015 (Paperback, Softcover reprint of the original 1st ed. 2016)
Fred Espen Benth, Giulia Di Nunno
R2,649 Discovery Miles 26 490 Ships in 10 - 15 working days

These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on "Stochastics of Environmental and Financial Economics (SEFE)", being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Malliavin Calculus for Levy Processes with Applications to Finance (Paperback, 1st Corrected ed. 2009, Corr. 2nd printing... Malliavin Calculus for Levy Processes with Applications to Finance (Paperback, 1st Corrected ed. 2009, Corr. 2nd printing 2009)
Giulia Di Nunno, Bernt Oksendal, Frank Proske
R2,431 Discovery Miles 24 310 Ships in 10 - 15 working days

There are already several excellent books on Malliavin calculus. However, most of them deal only with the theory of Malliavin calculus for Brownian motion, with [35] as an honorable exception. Moreover, most of them discuss only the applicationto regularityresults for solutions ofSDEs, as this wasthe original motivation when Paul Malliavin introduced the in?nite-dimensional calculus in 1978 in [158]. In the recent years, Malliavin calculus has found many applications in stochastic control and within ?nance. At the same time, L' evy processes have become important in ?nancial modeling. In view of this, we have seen the need for a book that deals with Malliavin calculus for L' evy processesin general,not just Brownianmotion, and that presentssome of the most important and recent applications to ?nance. It is the purpose of this book to try to ?ll this need. In this monograph we present a general Malliavin calculus for L' evy processes, covering both the Brownianmotioncaseand the purejump martingalecasevia Poissonrandom measures,and also some combination of the two.

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