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Stochastic Disorder Problems / Albert N. Shiryaev
| Stochastic Disorder Problems / Albert N. Shiryaev |
| Autore | Shiryaev, Albert N. |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xix, 397 p. ; 24 cm |
| Soggetto topico |
62Lxx - Sequential statistical methods [MSC 2020]
91B06 - Decision theory [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 62Cxx - Statistical decision theory [MSC 2020] 93-XX - Systems theory; control [MSC 2020] 91A60 - Probabilistic games; gambling [MSC 2020] |
| Soggetto non controllato |
Basic settings of quickest detection problems
Breakdown of a Stationary Regime Brownian Motions Discrete and Continuous Time Disorder on Filtered Probability Spaces Dynamical analysis of statistical data Formulations of quickest detection problems Mathematical Finance Multi-Stage Quickest Detection Optimal stopping rules Optimal stopping times Quantitative Finance Quickest detection problems Solutions of quickest detection problems Stochastic disorder problems |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0127168 |
Shiryaev, Albert N.
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Stochastic Flows and Jump-Diffusions / Hiroshi Kunita
| Stochastic Flows and Jump-Diffusions / Hiroshi Kunita |
| Autore | Kunita, Hiroshi |
| Pubbl/distr/stampa | Singapore, : Springer, 2019 |
| Descrizione fisica | xvii, 352 p. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
58Jxx - Partial differential equations on manifolds; differential operators [MSC 2020] 35Kxx - Parabolic equations and parabolic systems [MSC 2020] |
| Soggetto non controllato |
Asymptotic short time estimate
Backward heat equations Diffeomorphism Diffusion and jump-diffusion processes Fundamental solutions Heat equations Jump-Diffusion Processes Malliavin Calculus Partial differential equations Quantitative Finance Smooth density Stochastic differential equation with jumps Stochastic flow Wiener space |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0127383 |
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Kunita, Hiroshi
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| Singapore, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Stochastic Integration in Banach Spaces : Theory and Applications / Vidyadhar Mandrekar, Barbara Rüdiger
| Stochastic Integration in Banach Spaces : Theory and Applications / Vidyadhar Mandrekar, Barbara Rüdiger |
| Autore | Mandrekar, Vidyadhar |
| Pubbl/distr/stampa | Cham, : Springer, 2015 |
| Descrizione fisica | VIII, 211 p. : ill. ; 24 cm |
| Altri autori (Persone) | Rüdiger, Barbara |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Gxx - Stochastic processes [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] 35B40 - Asymptotic behavior of solutions to PDEs [MSC 2020] |
| Soggetto non controllato |
Financial applications of other theories
Interest rates stochastic models Lévy processes Partial differential equations Processes with independent increments Quantitative Finance Random measures Stochastic Partial Differential Equations |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0125348 |
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Mandrekar, Vidyadhar
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| Cham, : Springer, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Stochastic methods in finance : lectures given at the C.I.M.E.-E.M.S. Summer school held in Bressanone/Brixen, Italy, July 6-12, 2003 / K. Back ... [et al.] ; editors: M. Frittelli, W. Runggaldier
| Stochastic methods in finance : lectures given at the C.I.M.E.-E.M.S. Summer school held in Bressanone/Brixen, Italy, July 6-12, 2003 / K. Back ... [et al.] ; editors: M. Frittelli, W. Runggaldier |
| Pubbl/distr/stampa | Berlin, : Springer, 2004 |
| Descrizione fisica | XIII, 306 p. : ill. ; 24 cm |
| Soggetto topico |
60Gxx - Stochastic processes [MSC 2020]
91Bxx - Mathematical economics [MSC 2020] |
| Soggetto non controllato |
Credit risk
Insurance Mathematical Finance Measure Partial information Quantitative Finance Risk measures Stochastic processes |
| ISBN | 978-35-402-2953-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0044931 |
| Berlin, : Springer, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Stochastic optimization in insurance : a dynamic programming approach / Pablo Azcue, Nora Muler
| Stochastic optimization in insurance : a dynamic programming approach / Pablo Azcue, Nora Muler |
| Autore | Azcue, Pablo |
| Pubbl/distr/stampa | New York, : Springer, 2014 |
| Descrizione fisica | X, 146 p. : ill. ; 24 cm |
| Altri autori (Persone) | Muler, Nora |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
91B05 - Risk models (general) [MSC 2020] 49L25 - Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games [MSC 2020] 97M30 - Financial and insurance mathematics (aspects of mathematics education) [MSC 2020] |
| Soggetto non controllato |
Band strategies
Classical collective risk model Dynamic programming principle HJB equation Insurance Quantitative Finance Ruin probability Viscosity solutions |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0102933 |
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Azcue, Pablo
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| New York, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Séminaire de probabilités 1967-1980 : a selection in martingale theory / Michel Emery, Marc Yor (eds.)
| Séminaire de probabilités 1967-1980 : a selection in martingale theory / Michel Emery, Marc Yor (eds.) |
| Pubbl/distr/stampa | Berlin [etc.], : Springer, 2002 |
| Descrizione fisica | X, 553 p. ; 24 cm |
| Soggetto topico |
60H05 - Stochastic integrals [MSC 2020]
60H10 - Stochastic ordinary differential equations [MSC 2020] 60G07 - General theory of stochastic processes [MSC 2020] 60G42 - Martingales with discrete parameter [MSC 2020] 60G48 - Generalizations of martingales [MSC 2020] 01A60 - History of mathematics in the 20th century [MSC 2020] 01A75 - Collected or selected works; reprintings or translations of classics [MSC 2020] |
| Soggetto non controllato |
General theory of processes
History of probability theory Martingales Quantitative Finance Stochastic Calculus Stochastic processes |
| ISBN | 978-35-404-2813-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione |
eng
fre |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0055778 |
| Berlin [etc.], : Springer, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Séminaire de probabilités 36. / Jaques Azema ... [et al.] editor
| Séminaire de probabilités 36. / Jaques Azema ... [et al.] editor |
| Pubbl/distr/stampa | Berlin, : Springer, 2003 |
| Descrizione fisica | VIII, 497 p. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Jxx - Markov processes [MSC 2020] 60Gxx - Stochastic processes [MSC 2020] |
| Soggetto non controllato |
Filtration
Logarithmic Sobolev Inequalities Markov Chains Martingales Quantitative Finance Random matrices Stochastic Calculus Stochastic differential equations Stochastic processes |
| ISBN | 978-35-400-0072-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0052035 |
| Berlin, : Springer, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Tempered stable distributions : stochastic models for multiscale processes / Michael Grabchak
| Tempered stable distributions : stochastic models for multiscale processes / Michael Grabchak |
| Autore | Grabchak, Michael |
| Pubbl/distr/stampa | Cham, : Springer, 2016 |
| Descrizione fisica | XII, 118 p. ; 24 cm |
| Soggetto topico |
60G51 - Processes with independent increments; Lévy processes [MSC 2020]
60E07 - Infinitely divisible distributions; stable distributions [MSC 2020] 60G52 - Stable stochastic processes [MSC 2020] |
| Soggetto non controllato |
Infinitely divisible distributions
Lévy processes Quantitative Finance Stable Distributions Tempered Heavy Tails Tempered Stable Distributions Weak convergence |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0115415 |
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Grabchak, Michael
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| Cham, : Springer, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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The fascination of probability, statistics and their applications : in honour of Ole E. Barndorff-Nielsen / Mark Podolskij ... [et al.] editors
| The fascination of probability, statistics and their applications : in honour of Ole E. Barndorff-Nielsen / Mark Podolskij ... [et al.] editors |
| Pubbl/distr/stampa | Cham, : Springer, 2016 |
| Descrizione fisica | XVIII, 527 p. : ill. ; 24 cm |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
00B30 - Festschriften [MSC 2020] 62-XX - Statistics [MSC 2020] 00B15 - Collections of articles of miscellaneous specific interest [MSC 2020] |
| Soggetto non controllato |
Barndorff-Nielsen
Exponential Families Financial Econometrics Infinitely divisible distributions Lévy processes Mathematical Finance Quantitative Finance Risk Measurement Statistics of Stochastic Processes Stochastic Analysis Stochastic Partial Differential Equations Time series Turbulence |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0115421 |
| Cham, : Springer, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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The Mathematics of Errors / Nicolas Bouleau
| The Mathematics of Errors / Nicolas Bouleau |
| Autore | Bouleau, Nicolas |
| Pubbl/distr/stampa | Cham, : Springer, 2021 |
| Descrizione fisica | xii, 448 p. : ill. ; 24 cm |
| Soggetto non controllato |
Bias of error
Error structures Malliavin Calculus Mathematical Finance Ornstein-Uhlenbeck Quantitative Finance Square field operator Stochastic differential equation Variance of error |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0275341 |
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Bouleau, Nicolas
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| Cham, : Springer, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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