Stochastic Analysis with Financial Applications

Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochas...

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Detalles Bibliográficos
Autores principales: Kohatsu-Higa, Arturo, Privault, Nicolas, Sheu, Shuenn-Jyi
Lenguaje:eng
Publicado: Springer 2011
Materias:
Mathematical Physics and Mathematics
Acceso en línea:https://dx.doi.org/10.1007/978-3-0348-0097-6
http://cds.cern.ch/record/1414249
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author Kohatsu-Higa, Arturo
Privault, Nicolas
Sheu, Shuenn-Jyi
author_facet Kohatsu-Higa, Arturo
Privault, Nicolas
Sheu, Shuenn-Jyi
author_sort Kohatsu-Higa, Arturo
collection CERN
description Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. This book also covers the areas of backward stochastic differential equations via the (non-li
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institution Organización Europea para la Investigación Nuclear
language eng
publishDate 2011
publisher Springer
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spelling cern-14142492021-04-22T00:40:17Zdoi:10.1007/978-3-0348-0097-6http://cds.cern.ch/record/1414249engKohatsu-Higa, ArturoPrivault, NicolasSheu, Shuenn-JyiStochastic Analysis with Financial ApplicationsMathematical Physics and MathematicsStochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. This book also covers the areas of backward stochastic differential equations via the (non-liSpringeroai:cds.cern.ch:14142492011
spellingShingle Mathematical Physics and Mathematics
Kohatsu-Higa, Arturo
Privault, Nicolas
Sheu, Shuenn-Jyi
Stochastic Analysis with Financial Applications
title Stochastic Analysis with Financial Applications
title_full Stochastic Analysis with Financial Applications
title_fullStr Stochastic Analysis with Financial Applications
title_full_unstemmed Stochastic Analysis with Financial Applications
title_short Stochastic Analysis with Financial Applications
title_sort stochastic analysis with financial applications
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-3-0348-0097-6
http://cds.cern.ch/record/1414249
work_keys_str_mv AT kohatsuhigaarturo stochasticanalysiswithfinancialapplications
AT privaultnicolas stochasticanalysiswithfinancialapplications
AT sheushuennjyi stochasticanalysiswithfinancialapplications

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