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Completely revised and greatly expanded, the new edition of this
text takes readers who have been exposed to only basic courses in
analysis through the modern general theory of random processes and
stochastic integrals as used by systems theorists, electronic
engineers and, more recently, those working in quantitative and
mathematical finance. Building upon the original release of this
title, this text will be of great interest to research
mathematicians and graduate students working in those fields, as
well as quants in the finance industry. New features of this
edition include: End of chapter exercises; New chapters on basic
measure theory and Backward SDEs; Reworked proofs, examples and
explanatory material; Increased focus on motivating the
mathematics; Extensive topical index. "Such a self-contained and
complete exposition of stochastic calculus and applications fills
an existing gap in the literature. The book can be recommended for
first-year graduate studies. It will be useful for all who intend
to work with stochastic calculus as well as with its
applications."-Zentralblatt (from review of the First Edition)
Completely revised and greatly expanded, the new edition of this
text takes readers who have been exposed to only basic courses in
analysis through the modern general theory of random processes and
stochastic integrals as used by systems theorists, electronic
engineers and, more recently, those working in quantitative and
mathematical finance. Building upon the original release of this
title, this text will be of great interest to research
mathematicians and graduate students working in those fields, as
well as quants in the finance industry. New features of this
edition include: End of chapter exercises; New chapters on basic
measure theory and Backward SDEs; Reworked proofs, examples and
explanatory material; Increased focus on motivating the
mathematics; Extensive topical index. "Such a self-contained and
complete exposition of stochastic calculus and applications fills
an existing gap in the literature. The book can be recommended for
first-year graduate studies. It will be useful for all who intend
to work with stochastic calculus as well as with its
applications."-Zentralblatt (from review of the First Edition)
This book consists of a series of new, peer-reviewed papers in
stochastic processes, analysis, filtering and control, with
particular emphasis on mathematical finance, actuarial science and
engineering. Paper contributors include colleagues, collaborators
and former students of Robert Elliott, many of whom are
world-leading experts and have made fundamental and significant
contributions to these areas.This book provides new important
insights and results by eminent researchers in the considered
areas, which will be of interest to researchers and practitioners.
The topics considered will be diverse in applications, and will
provide contemporary approaches to the problems considered. The
areas considered are rapidly evolving. This volume will contribute
to their development, and present the current state-of-the-art
stochastic processes, analysis, filtering and control.Contributing
authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I
Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C
Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
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