ISBN: 9783847306054 - stochastic differential equations driven by levy processes: numerical weak approximation (9 risultati)

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Taschenbuch. Condizione: Neu. Stochastic Differential Equations Driven by Levy Processes | Numerical Weak Approximation | Changyong Zhang | Taschenbuch | 120 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783847306054 | Verantwortliche Person für die EU: OmniScriptum GmbH & Co. KG, Bahnhofstr. 28, 66111 Saarbrücken, info[at]akademikerverlag[dot]de | Anbieter: preigu. …

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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Stochastic differential equations driven by Levy processes are used as mathematical models for random dynamic phenomena in applications arising from fields such as finance and insurance, to capture continuous and discontinuous uncertainty. For many applications, a stochastic differential equation does not have a closed-form solution and the weak Euler approximation is applied. In such numerical treatment of stochastic differential equations, it is of theoretical and practical importance to estimate the rate of convergence of the discrete time approximation. In this book, it is systematically investigated the dependence of the rate of convergence on the regularity of the coefficients and driving processes. The model under consideration is of a more general form than existing ones, and hence is applicable to a broader range of processes, from the widely-studied diffusions and stochastic differential equations driven by spherically-symmetric stable processes to stochastic differential equations driven by more general Levy processes. These processes can be found in a variety of fields, including physics, engineering, economics, and finance. 120 pp. Englisch.…

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Stochastic differential equations driven by Levy processes are used as mathematical models for random dynamic phenomena in applications arising from fields such as finance and insurance, to capture continuous and discontinuous uncertainty. For many applications, a stochastic differential equation does not have a closed-form solution and the weak Euler approximation is applied. In such numerical treatment of stochastic differential equations, it is of theoretical and practical importance to estimate the rate of convergence of the discrete time approximation. In this book, it is systematically investigated the dependence of the rate of convergence on the regularity of the coefficients and driving processes. The model under consideration is of a more general form than existing ones, and hence is applicable to a broader range of processes, from the widely-studied diffusions and stochastic differential equations driven by spherically-symmetric stable processes to stochastic differential equations driven by more general Levy processes. These processes can be found in a variety of fields, including physics, engineering, economics, and finance.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Zhang ChangyongBEng, Mechanical Engineering and Automation, South China University of Technology MSc, High Performance Computation for Engineered Systems, Singapore - MIT Alliance MPhil, Network Planning and Optimisation, Imperial .…

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Stochastic differential equations driven by Levy processes are used as mathematical models for random dynamic phenomena in applications arising from fields such as finance and insurance, to capture continuous and discontinuous uncertainty. For many applications, a stochastic differential equation does not have a closed-form solution and the weak Euler approximation is applied. In such numerical treatment of stochastic differential equations, it is of theoretical and practical importance to estimate the rate of convergence of the discrete time approximation. In this book, it is systematically investigated the dependence of the rate of convergence on the regularity of the coefficients and driving processes. The model under consideration is of a more general form than existing ones, and hence is applicable to a broader range of processes, from the widely-studied diffusions and stochastic differential equations driven by spherically-symmetric stable processes to stochastic differential equations driven by more general Levy processes. These processes can be found in a variety of fields, including physics, engineering, economics, and finance.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 120 pp. Englisch.…