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Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem
| Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem |
| Autore | Øksendal, Bernt |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xvi, 436 p. : ill. ; 24 cm |
| Altri autori (Persone) | Sulem, Agnès |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
49J40 - Variational inequalities [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] 65Mxx - Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems [MSC 2020] 91A23 - Differential games (aspects of game theory) [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 47J20 - Variational and other types of inequalities involving nonlinear operators (general) [MSC 2020] |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0126732 |
Øksendal, Bernt
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem
| Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem |
| Autore | Øksendal, Bernt K. |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xvi, 436 p. : ill. ; 24 cm |
| Altri autori (Persone) | Sulem, Agnès |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
49J40 - Variational inequalities [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] 65Mxx - Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems [MSC 2020] 91A23 - Differential games (aspects of game theory) [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 47J20 - Variational and other types of inequalities involving nonlinear operators (general) [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Convex risk measures Financial Markets Modelled by Jump Diffusions Forward-Backward SDEs Impulse control Jump Diffusions Lévy processes Mean-Field SDEs Optimal Control of SPDEs Optimal stopping Partial Information Control Quantitative Finance Stochastic Controls Stochastic Differential Games |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0126732 |
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Øksendal, Bernt K.
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||
| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem
| Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem |
| Autore | Øksendal, Bernt K. |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xvi, 436 p. : ill. ; 24 cm |
| Altri autori (Persone) | Sulem, Agnès |
| Soggetto topico |
47J20 - Variational and other types of inequalities involving nonlinear operators (general) [MSC 2020]
49J40 - Variational inequalities [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 65Mxx - Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems [MSC 2020] 91A23 - Differential games (aspects of game theory) [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] 93E20 - Optimal stochastic control [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Convex risk measures Financial Markets Modelled by Jump Diffusions Forward-Backward SDEs Impulse control Jump Diffusions Lévy processes Mean-Field SDEs Optimal Control of SPDEs Optimal stopping Partial Information Control Quantitative Finance Stochastic Controls Stochastic Differential Games |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00126732 |
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Øksendal, Bernt K.
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||
| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Boundary Crossing of Brownian Motion : Its Relation to the Law of the Iterated Logarithm and to Sequential Analysis / Hans Rudolf Lerche
| Boundary Crossing of Brownian Motion : Its Relation to the Law of the Iterated Logarithm and to Sequential Analysis / Hans Rudolf Lerche |
| Autore | Lerche, Hans R. |
| Pubbl/distr/stampa | New York, : Springer-Verlag, 1986 |
| Descrizione fisica | v, 143 p. ; 24 cm |
| Soggetto topico |
60J65 - Brownian motion [MSC 2020]
60-XX - Probability theory and stochastic processes [MSC 2020] 62-XX - Statistics [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 62L15 - Optimal stopping in statistics [MSC 2020] 62L10 - Sequential statistical analysis [MSC 2020] |
| Soggetto non controllato |
Approximation
Brownian Motion Construction Derivation Distribution Equations Functions Fusion Law of the iterated logarithm Likelihood Logarithms Models Statistics Themes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0268853 |
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Lerche, Hans R.
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| New York, : Springer-Verlag, 1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Boundary Crossing of Brownian Motion : Its Relation to the Law of the Iterated Logarithm and to Sequential Analysis / Hans Rudolf Lerche
| Boundary Crossing of Brownian Motion : Its Relation to the Law of the Iterated Logarithm and to Sequential Analysis / Hans Rudolf Lerche |
| Autore | Lerche, Hans R. |
| Pubbl/distr/stampa | New York, : Springer-Verlag, 1986 |
| Descrizione fisica | v, 143 p. ; 24 cm |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 60J65 - Brownian motion [MSC 2020] 62-XX - Statistics [MSC 2020] 62L10 - Sequential statistical analysis [MSC 2020] 62L15 - Optimal stopping in statistics [MSC 2020] |
| Soggetto non controllato |
Approximation
Brownian Motion Construction Derivation Distribution Equations Functions Fusion Law of the iterated logarithm Likelihood Logarithms Models Statistics Themes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00268853 |
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Lerche, Hans R.
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||
| New York, : Springer-Verlag, 1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Controlled Stochastic Processes / I. I. Gihman, A. V. Skorohod ; Translated by Samuel Kotz
| Controlled Stochastic Processes / I. I. Gihman, A. V. Skorohod ; Translated by Samuel Kotz |
| Autore | Gikhman, Ĭosyp I. |
| Pubbl/distr/stampa | New York, : Springer, 1979 |
| Descrizione fisica | vii, 237 p. : ill. ; 24 cm |
| Altri autori (Persone) | Skorohod, Anatolii V. |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
93Exx - Stochastic systems and control [MSC 2020] 60J10 - Markov chains (discrete-time Markov processes on discrete state spaces) [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 34Hxx - Control problems including ordinary differential equations [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 93-XX - Systems theory; control [MSC 2020] 93Bxx - Controllability, observability, and system structure [MSC 2020] |
| Soggetto non controllato |
Control
Diffusion Processes Markov Chains Markov Processes Stochastic processes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0268259 |
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Gikhman, Ĭosyp I.
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| New York, : Springer, 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Controlled Stochastic Processes / I. I. Gihman, A. V. Skorohod ; Translated by Samuel Kotz
| Controlled Stochastic Processes / I. I. Gihman, A. V. Skorohod ; Translated by Samuel Kotz |
| Autore | Gikhman, Ĭosyp I. |
| Pubbl/distr/stampa | New York, : Springer, 1979 |
| Descrizione fisica | vii, 237 p. : ill. ; 24 cm |
| Altri autori (Persone) | Skorohod, Anatolii V. |
| Soggetto topico |
34Hxx - Control problems including ordinary differential equations [MSC 2020]
60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 60Hxx - Stochastic analysis [MSC 2020] 60J10 - Markov chains (discrete-time Markov processes on discrete state spaces) [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 93-XX - Systems theory; control [MSC 2020] 93Bxx - Controllability, observability, and system structure [MSC 2020] 93Exx - Stochastic systems and control [MSC 2020] |
| Soggetto non controllato |
Control
Diffusion Processes Markov Chains Markov Processes Stochastic processes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00268259 |
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Gikhman, Ĭosyp I.
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||
| New York, : Springer, 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Discrete-Time Semi-Markov Random Evolutions and Their Applications / Nikolaos Limnios, Anatoliy Swishchuk
| Discrete-Time Semi-Markov Random Evolutions and Their Applications / Nikolaos Limnios, Anatoliy Swishchuk |
| Autore | Limnios, Nikolaos |
| Pubbl/distr/stampa | Cham, : Birkhäuser, : Springer, 2023 |
| Descrizione fisica | xvi, 198 p. : ill. ; 24 cm |
| Altri autori (Persone) | Swishchuk, Anatoliy |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 60K15 - Markov renewal processes, semi-Markov processes [MSC 2020] 60K20 - Applications of Markov renewal processes (reliability, queueing networks, etc.) [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 92D30 - Epidemiology [MSC 2020] |
| Soggetto non controllato |
Additive Functionals
Applications in Epidemiology and Finance Asymptotic Functional Theory Average and Diffusion Approximation Controlled Processes Discrete-Time Random Evolution Discrete-Time Semi-Markov Chains Dynamical systems Limit Theorems for Random Evolutions Markov Renewal Theorem Merton Problem Optimal stopping Random Evolutions Random Evolutions on Banach Spaces Reduced Random Media Semi-Markov Chains |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00279330 |
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Limnios, Nikolaos
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| Cham, : Birkhäuser, : Springer, 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Essentials of stochastic processes / Richard Durrett
| Essentials of stochastic processes / Richard Durrett |
| Autore | Durrett, Richard |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | [Cham], : Springer, 2016 |
| Descrizione fisica | IX, 275 p. : ill. ; 24 cm |
| Soggetto topico |
90Bxx - Operations research and management science [MSC 2020]
60Gxx - Stochastic processes [MSC 2020] 60J10 - Markov chains (discrete-time Markov processes on discrete state spaces) [MSC 2020] 60-XX - Probability theory and stochastic processes [MSC 2020] 60G50 - Sums of independent random variables; random walks [MSC 2020] 60G51 - Processes with independent increments; Lévy processes [MSC 2020] 60G42 - Martingales with discrete parameter [MSC 2020] 60J27 - Continuous-time Markov processes on discrete state spaces [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 90B22 - Queues and service in operations research [MSC 2020] 91B24 - Microeconomic theory (price theory and economic markets) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0114726 |
|
Durrett, Richard
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||
| [Cham], : Springer, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Essentials of stochastic processes / Richard Durrett
| Essentials of stochastic processes / Richard Durrett |
| Autore | Durrett, Richard |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | [Cham], : Springer, 2016 |
| Descrizione fisica | IX, 275 p. : ill. ; 24 cm |
| Soggetto topico |
90Bxx - Operations research and management science [MSC 2020]
60Gxx - Stochastic processes [MSC 2020] 60J10 - Markov chains (discrete-time Markov processes on discrete state spaces) [MSC 2020] 60-XX - Probability theory and stochastic processes [MSC 2020] 60G50 - Sums of independent random variables; random walks [MSC 2020] 60G51 - Processes with independent increments; Lévy processes [MSC 2020] 60G42 - Martingales with discrete parameter [MSC 2020] 60J27 - Continuous-time Markov processes on discrete state spaces [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 90B22 - Queues and service in operations research [MSC 2020] 91B24 - Microeconomic theory (price theory and economic markets) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] |
| Soggetto non controllato |
Binomial model
Black-Scholes formula Continuous Time Econometrics Economics Exponential distributions Financial Engineering Markov Chains Martingales Mathematical Finance Option pricing Poisson process Population genetics Probability models Queueing Theory Queueing networks Renewal theory Stationary distributions Stochastic processes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0114726 |
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Durrett, Richard
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| [Cham], : Springer, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Soggetto topico
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60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020]
(34)
- 60-XX - Probability theory and stochastic processes [MSC 2020] (21)
- 60G44 - Martingales with continuous parameter [MSC 2020] (11)
- 60G42 - Martingales with discrete parameter [MSC 2020] (10)
- 60J65 - Brownian motion [MSC 2020] (9)