Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
A stochastic maximum principle for optimal control of diffusions / U.G. Haussmann
| A stochastic maximum principle for optimal control of diffusions / U.G. Haussmann |
| Autore | Haussmann, U. G. |
| Pubbl/distr/stampa | Harlow : Longman Scientific & Technical, 1986 |
| Descrizione fisica | 109 p. ; 25 cm. |
| Disciplina | 519.233 |
| Collana | Pitman research notes in mathematics series |
| Soggetto topico |
Teoria del controllo
Ottimizzazione matematica Processo stocastico |
| ISBN | 0-582-98893-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNIBAS-000015426 |
Haussmann, U. G.
|
||
| Harlow : Longman Scientific & Technical, 1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. della Basilicata | ||
| ||
Adaptive Markov control processes / O. Hernandez-Lerma
| Adaptive Markov control processes / O. Hernandez-Lerma |
| Autore | Hernandez-Lerma, O. |
| Pubbl/distr/stampa | New York [etc.] : Springer, c1989 |
| Descrizione fisica | XIV, 148 p. ; 25 cm. |
| Disciplina | 519.233 |
| Collana | Applied mathematical sciences |
| Soggetto topico |
Catene di Markov
Sistemi di controllo |
| ISBN | 0-387-96966-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNIBAS-000015319 |
|
Hernandez-Lerma, O.
|
||
| New York [etc.] : Springer, c1989 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. della Basilicata | ||
| ||
Adaptive Markov control processes / O. Hernández-Lerma
| Adaptive Markov control processes / O. Hernández-Lerma |
| Autore | Hernández-Lerma, Onésimo |
| Pubbl/distr/stampa | New York : Springer-Verlag, c1989 |
| Descrizione fisica | xiv, 148 p. ; 25 cm. |
| Disciplina | 519.233 |
| Collana | Applied mathematical sciences ; 79 |
| Soggetto topico |
Adaptive control systems
Markov processes |
| ISBN | 0387969667 |
| Classificazione |
AMS 93E20
QA1.A647 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000645189707536 |
|
Hernández-Lerma, Onésimo
|
||
| New York : Springer-Verlag, c1989 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Additive and cancellative interacting particle systems / David Griffeath
| Additive and cancellative interacting particle systems / David Griffeath |
| Autore | Griffeath, David |
| Pubbl/distr/stampa | Berlin [etc.] : Springer, 1979 |
| Descrizione fisica | IV, 108 p. ; 25 cm. |
| Disciplina | 519.233 |
| Collana | Lecture notes in mathematics |
| Soggetto topico | Catene di Markov |
| ISBN | 3-540-09508-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNIBAS-000013138 |
|
Griffeath, David
|
||
| Berlin [etc.] : Springer, 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. della Basilicata | ||
| ||
Additive and cancellative interacting particle systems / / David Griffeath
| Additive and cancellative interacting particle systems / / David Griffeath |
| Autore | Griffeath David |
| Edizione | [1st ed. 1979.] |
| Pubbl/distr/stampa | Berlin ; ; Heidelberg : , : Springer-Verlag, , 1979 |
| Descrizione fisica | 1 online resource (VIII, 112 p.) |
| Disciplina | 519.233 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Markov processes
Stochastic processes |
| ISBN | 3-540-35174-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Additive systems -- Cancellative systems -- Uniqueness and nonuniqueness. |
| Record Nr. | UNISA-996466637203316 |
|
Griffeath David
|
||
| Berlin ; ; Heidelberg : , : Springer-Verlag, , 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Additive and cancellative interacting particle systems / David Griffeath
| Additive and cancellative interacting particle systems / David Griffeath |
| Autore | Griffeath, David |
| Pubbl/distr/stampa | Berlin : Springer-Verlag, 1979 |
| Descrizione fisica | iv, 108 p. ; 25 cm. |
| Disciplina |
510
519.233 |
| Collana | Lecture notes in mathematics, 0075-8434 ; 724 |
| Soggetto topico |
Intercative random processes
Markov processes |
| ISBN | 354009508X |
| Classificazione | AMS 60K35 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000645389707536 |
|
Griffeath, David
|
||
| Berlin : Springer-Verlag, 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Analysis and Geometry of Markov Diffusion Operators / / by Dominique Bakry, Ivan Gentil, Michel Ledoux
| Analysis and Geometry of Markov Diffusion Operators / / by Dominique Bakry, Ivan Gentil, Michel Ledoux |
| Autore | Bakry Dominique |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (555 p.) |
| Disciplina | 519.233 |
| Collana | Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics |
| Soggetto topico |
Mathematical analysis
Analysis (Mathematics) Probabilities Differential geometry Partial differential equations Functional analysis Analysis Probability Theory and Stochastic Processes Differential Geometry Partial Differential Equations Functional Analysis |
| ISBN | 3-319-00227-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Part I Markov semigroups, basics and examples: 1.Markov semigroups -- 2.Model examples -- 3.General setting -- Part II Three model functional inequalities: 4.Poincaré inequalities -- 5.Logarithmic Sobolev inequalities -- 6.Sobolev inequalities -- Part III Related functional, isoperimetric and transportation inequalities: 7.Generalized functional inequalities -- 8.Capacity and isoperimetry-type inequalities -- 9.Optimal transportation and functional inequalities -- Part IV Appendices: A.Semigroups of bounded operators on a Banach space -- B.Elements of stochastic calculus -- C.Some basic notions in differential and Riemannian geometry -- Notations and list of symbols -- Bibliography -- Index. |
| Record Nr. | UNINA-9910299963103321 |
|
Bakry Dominique
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysis and geometry of Markov diffusion operators / Dominique Bakry, Ivan Gentil, Michel Ledoux
| Analysis and geometry of Markov diffusion operators / Dominique Bakry, Ivan Gentil, Michel Ledoux |
| Autore | Bakry, Dominique |
| Pubbl/distr/stampa | Cham, SZ : Springer, c2014 |
| Descrizione fisica | xx, 552 p. : ill. ; 24 cm |
| Disciplina | 519.233 |
| Altri autori (Persone) |
Gentil, Ivanauthor
Ledoux, Michelauthor |
| Collana | Grundlehren der mathematischen Wissenschaften : a series of comprehensive studies in mathematics ; 348 |
| Soggetto topico |
Diffusion processes
Markov processes Functional inequalities |
| ISBN |
9783319002262
9783319343235 |
| Classificazione |
AMS 39B62
AMS 60J60 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003717849707536 |
|
Bakry, Dominique
|
||
| Cham, SZ : Springer, c2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Analytical treatment of one-dimensional Markov processes / Petr Mandl
| Analytical treatment of one-dimensional Markov processes / Petr Mandl |
| Autore | Mandl, Petr |
| Pubbl/distr/stampa | Berlin : Springer-Verlag, 1968 |
| Descrizione fisica | xx, 192 p. ; 24 cm. |
| Disciplina | 519.233 |
| Collana | Grundlehren der mathematischen Wissenschaften = A series of comprehensive studies in mathematics, 0072-7830 ; 151 |
| Soggetto topico | Markov processes |
| Classificazione | AMS 60J25 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000684949707536 |
|
Mandl, Petr
|
||
| Berlin : Springer-Verlag, 1968 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Applied diffusion processes from engineering to finance [[electronic resource] /] / Jacques Janssen, Oronzio Manca, Raimando Manca
| Applied diffusion processes from engineering to finance [[electronic resource] /] / Jacques Janssen, Oronzio Manca, Raimando Manca |
| Autore | Janssen Jacques |
| Pubbl/distr/stampa | London, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 519.233 |
| Altri autori (Persone) |
MancaOronzio
MancaRaimondo |
| Collana | ISTE |
| Soggetto topico |
Business mathematics
Differential equations, Partial Diffusion processes Engineering mathematics |
| ISBN |
1-118-57833-3
1-118-57834-1 1-299-47558-2 1-118-57668-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Contents; Introduction; Chapter 1. Diffusion Phenomena and Models; 1.1. General presentation of diffusion process; 1.2. General balance equations; 1.3. Heat conduction equation; 1.4. Initial and boundary conditions; Chapter 2. Probabilistic Models of Diffusion Processes; 2.1. Stochastic differentiation; 2.1.1. Definition; 2.1.2. Examples; 2.2. Itô's formula; 2.2.1. Stochastic differential of a product; 2.2.2. Itô's formula with time dependence; 2.2.3. Interpretation of Itô's formula; 2.2.4. Other extensions of Itô's formula; 2.3. Stochastic differential equations (SDE)
2.3.1. Existence and unicity general theorem (Gikhman and Skorokhod [GIK 68])2.3.2. Solution of SDE under the canonical form; 2.4. Itô and diffusion processes; 2.4.1. Itô processes; 2.4.2. Diffusion processes; 2.4.3. Kolmogorov equations; 2.5. Some particular cases of diffusion processes; 2.5.1. Reduced form; 2.5.2. The OUV (Ornstein-Uhlenbeck-Vasicek) SDE; 2.5.3. Solution of the SDE of Black-Scholes-Samuelson; 2.6. Multidimensional diffusion processes; 2.6.1. Multidimensional SDE; 2.6.2. Multidimensional Itô and diffusion processes; 2.6.3. Properties of multidimensional diffusion processes 2.6.4. Kolmogorov equations2.7. The Stroock-Varadhan martingale characterization of diffusions (Karlin and Taylor [KAR 81]); 2.8. The Feynman-Kac formula (Platen and Heath); 2.8.1. Terminal condition; 2.8.2. Discounted payoff function; 2.8.3. Discounted payoff function and payoff rate; Chapter 3. Solving Partial Differential Equations of Second Order; 3.1. Basic definitions on PDE of second order; 3.1.1. Notation; 3.1.2. Characteristics; 3.1.3. Canonical form of PDE; 3.2. Solving the heat equation; 3.2.1. Separation of variables 3.2.2. Separation of variables in the rectangular Cartesian coordinates3.2.3. Orthogonality of functions; 3.2.4. Fourier series; 3.2.5. Sturm-Liouville problem; 3.2.6. One-dimensional homogeneous problem in a finite medium; 3.3. Solution by the method of Laplace transform; 3.3.1. Definition of the Laplace transform; 3.3.2. Properties of the Laplace transform; 3.4. Green's functions; 3.4.1. Green's function as auxiliary problem to solve diffusive problems; 3.4.2. Analysis for determination of Green's function; Chapter 4. Problems in Finance; 4.1. Basic stochastic models for stock prices 4.1.1. The Black, Scholes and Samuelson model4.1.2. BSS model with deterministic variation of μ and s; 4.2. The bond investments; 4.2.1. Introduction; 4.2.2. Yield curve; 4.2.3. Yield to maturity for a financial investment and for a bond; 4.3. Dynamic deterministic continuous time model for instantaneous interest rate; 4.3.1. Instantaneous interest rate; 4.3.2. Particular cases; 4.3.3. Yield curve associated with instantaneous interest rate; 4.3.4. Examples of theoretical models; 4.4. Stochastic continuous time dynamic model for instantaneous interest rate; 4.4.1. The OUV stochastic model 4.4.2. The CIR model (1985) |
| Record Nr. | UNINA-9910139005203321 |
|
Janssen Jacques
|
||
| London, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
