Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering

Derivation of Ito's formulas, Girsanov's theorems and martingale representation theorem for stochastic DEs with jumpsApplications to population controlReflecting stochastic DE techniqueApplications to the stock market. (Backward stochastic DE approach)Derivation of Black-Scholes formula fo...

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Detalles Bibliográficos
Autor principal: SITU, Rong
Lenguaje:eng
Publicado: Springer 2005
Materias:
XX
Acceso en línea:http://cds.cern.ch/record/2283221
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author SITU, Rong
author_facet SITU, Rong
author_sort SITU, Rong
collection CERN
description Derivation of Ito's formulas, Girsanov's theorems and martingale representation theorem for stochastic DEs with jumpsApplications to population controlReflecting stochastic DE techniqueApplications to the stock market. (Backward stochastic DE approach)Derivation of Black-Scholes formula for market with and without jumpsNon-linear filtering problems with jumps.
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institution Organización Europea para la Investigación Nuclear
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publishDate 2005
publisher Springer
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spelling cern-22832212021-04-21T19:04:41Zhttp://cds.cern.ch/record/2283221engSITU, RongTheory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineeringXXDerivation of Ito's formulas, Girsanov's theorems and martingale representation theorem for stochastic DEs with jumpsApplications to population controlReflecting stochastic DE techniqueApplications to the stock market. (Backward stochastic DE approach)Derivation of Black-Scholes formula for market with and without jumpsNon-linear filtering problems with jumps.Springeroai:cds.cern.ch:22832212005
spellingShingle XX
SITU, Rong
Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
title Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
title_full Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
title_fullStr Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
title_full_unstemmed Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
title_short Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
title_sort theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering
topic XX
url http://cds.cern.ch/record/2283221
work_keys_str_mv AT siturong theoryofstochasticdifferentialequationswithjumpsandapplicationsmathematicalandanalyticaltechniqueswithapplicationstoengineering

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