Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering
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The work Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering represents a distinct intellectual or artistic creation found in University of Oklahoma Libraries. This resource is a combination of several types including: Work, Language Material, Books.
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Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering
Resource Information
The work Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering represents a distinct intellectual or artistic creation found in University of Oklahoma Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering
 Title remainder
 mathematical and analytical techniques with applications to engineering
 Statement of responsibility
 Rong Situ
 Subject

 Mathematical and Computational Physics
 Équations différentielles stochastiques
 Stochastic differential equations
 Ingénierie
 Electronic books
 Financial Economics
 Applications of Mathematics
 MATHEMATICS  Probability & Statistics  General
 Appl. Mathematics/Computational Methods of Engineering
 Stochastic differential equations
 Stochastic differential equations
 Engineering Fluid Dynamics
 Stochastische differentiaalvergelijkingen
 Language
 eng
 Summary
 "This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito's differential rule (the socalled Ito formula), to solve the SDEs, and to establish Girsanov's theorem and obtain weak solutions of SDEs. It also shows how to solve the filtering problem, to establish the martingale representation theorem, to solve the option pricing problem in a financial market, and to obtain the famous BlackScholes formula, along with other results." "In particular, the book will provide the reader with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, and science." "Theory of Stochastic Differential Equations with Jumps and Applications will be a valuable reference for grad students and professionals in physics, chemistry, biology, engineering, finance and mathematics who are interested in problems such as the following: mathematical description and analysis of stocks and shares; option pricing, optimal consumption, arbitragefree markets; control theory and stochastic control theory and their applications; nonlinear filtering problems with jumps; and population control."Jacket
 Cataloging source
 COO
 Dewey number
 519.2
 Index
 index present
 LC call number
 QA274.23
 LC item number
 .S526 2005
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 Series statement
 Mathematical and analytical techniques with applications to engineering
Context
Context of Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineeringWork of
 Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering, Rong Situ, (electronic resource)
 Theory of stochastic differential equations with jumps and applications : mathematical and analytical techniques with applications to engineering, Rong Situ, (electronic resource)
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