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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 |
Øksendal, Bernt K.
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory / Jianfeng Zhang
| Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory / Jianfeng Zhang |
| Autore | Zhang, Jianfeng |
| Pubbl/distr/stampa | New York, : Springer, 2017 |
| Descrizione fisica | xv, 386 p. ; 24 cm |
| Soggetto topico |
60H10 - Stochastic ordinary differential equations [MSC 2020]
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Economic Theory, Quantitative Economics, Mathematical Methods Game Theory, Economics Social and Behavioral Science Mathematical Finance Nonlinear expectations Numerical Analysis Parabolic partial differential equations Partial differential equations Path Dependent Partial Differential Equations Probability Theory and Stochastic Processes Quantitative Finance Second Order Backward Stochastic Differential Equations Stochastic Controls Stochastic differential equations Viscosity solutions Weak Formulation |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0123804 |
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Zhang, Jianfeng
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| New York, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Estimation and Control of Dynamical Systems / Alain Bensoussan
| Estimation and Control of Dynamical Systems / Alain Bensoussan |
| Autore | Bensoussan, Alain |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xii, 547 p. : ill. ; 24 cm |
| Soggetto topico |
49-XX - Calculus of variations and optimal control; optimization [MSC 2020]
49Lxx - Hamilton-Jacobi theories [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Contract Theory Differential games Dynamic Programming Estimation Hamilton Jacobi Bellman equations Linear Dynamical Systems Stochastic Controls |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124668 |
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Bensoussan, Alain
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Finite Approximations in Discrete-Time Stochastic Control : Quantized Models and Asymptotic Optimality / Naci Saldi, Tamás Linder, Serdar Yüksel
| Finite Approximations in Discrete-Time Stochastic Control : Quantized Models and Asymptotic Optimality / Naci Saldi, Tamás Linder, Serdar Yüksel |
| Autore | Saldi, Naci |
| Pubbl/distr/stampa | Cham, : Birkhäuser, 2018 |
| Descrizione fisica | vii, 198 p. : ill. ; 24 cm |
| Altri autori (Persone) |
Linder, Tamás
Yüksel, Serdar |
| Soggetto topico |
60Jxx - Markov processes [MSC 2020]
90Bxx - Operations research and management science [MSC 2020] 93E20 - Optimal stochastic control [MSC 2020] 49J55 - Existence of optimal solutions to problems involving randomness [MSC 2020] 90C40 - Markov and semi-Markov decision processes [MSC 2020] |
| Soggetto non controllato |
Asymptotic optimality
Decentralized stochastic control Finite state approximations Markov decision processes Numerical approximation Quantization Stochastic Controls |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124677 |
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Saldi, Naci
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| Cham, : Birkhäuser, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications : Edinburgh, July 2017 Selected, Revised and Extended Contributions / Samuel N. Cohen … [et al.] editors]
| Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications : Edinburgh, July 2017 Selected, Revised and Extended Contributions / Samuel N. Cohen … [et al.] editors] |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | ix, 300 p. : ill. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60G55 - Point processes (e.g., Poisson, Cox, Hawkes processes) [MSC 2020] 60Axx - Foundations of probability theory [MSC 2020] 91Bxx - Mathematical economics [MSC 2020] |
| Soggetto non controllato |
BSDEs World Symposium
Enlargement of filtration Filtering Forward Utility Martingale representation Mathematical Finance McKean Equations Option pricing Partial differential equations Path Dependence Quantitative Finance SPDEs Stochastic Controls Uncertainty |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0126881 |
| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Fundamentals and advanced techniques in derivatives hedging / Bruno Bouchard, Jean-François Chassagneux
| Fundamentals and advanced techniques in derivatives hedging / Bruno Bouchard, Jean-François Chassagneux |
| Autore | Bouchard, Bruno |
| Pubbl/distr/stampa | [Cham], : Springer, 2016 |
| Descrizione fisica | XII, 280 p. : ill. ; 24 cm |
| Altri autori (Persone) | Chassagneux, Jean-François |
| Soggetto topico |
60H07 - Stochastic calculus of variations and the Malliavin calculus [MSC 2020]
49L25 - Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] 91G10 - Portfolio theory [MSC 2020] |
| Soggetto non controllato |
Absence of arbitrage
Derivative pricing Mathematical Finance Option Partial differential equations Portfolio management Quantitative Finance Risk management Stochastic Controls Stochastic targets |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0114788 |
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Bouchard, Bruno
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| [Cham], : Springer, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Mathematical Finance / Ernst Eberlein, Jan Kallsen
| Mathematical Finance / Ernst Eberlein, Jan Kallsen |
| Autore | Eberlein, Ernst |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xvii, 772 p. : ill. ; 24 cm |
| Altri autori (Persone) | Kallsen, Jan |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
93E20 - Optimal stochastic control [MSC 2020] 60J74 - Jump processes on discrete state spaces [MSC 2020] 60Gxx - Stochastic processes [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] 60J76 - Jump processes on general state spaces [MSC 2020] |
| Soggetto non controllato |
Affine processes
Derivatives Financial modelling Hedging Interest rate theory Lévy processes Mathematical Finance Optimal investment Quantitative Finance Semimartingales Stochastic Calculus Stochastic Controls |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0126983 |
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Eberlein, Ernst
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Modeling, Stochastic Control, Optimization, and Applications / George Yin, Qing Zhang editors
| Modeling, Stochastic Control, Optimization, and Applications / George Yin, Qing Zhang editors |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | x, 599 p. : ill. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Jxx - Markov processes [MSC 2020] 93Exx - Stochastic systems and control [MSC 2020] |
| Soggetto non controllato |
Mathematics of ecology and biology
Mathematics of finance Networked system Queueing Theory Stochastic Controls |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0127030 |
| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Risk and Insurance : A Graduate Text / Søren Asmussen, Mogens Steffensen
| Risk and Insurance : A Graduate Text / Søren Asmussen, Mogens Steffensen |
| Autore | Asmussen, Soren |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | xv, 505 p. : ill. ; 24 cm |
| Altri autori (Persone) | Steffensen, Mogens |
| Soggetto topico |
91B05 - Risk models (general) [MSC 2020]
60-XX - Probability theory and stochastic processes [MSC 2020] 91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] 60G70 - Extreme value theory; extremal stochastic processes [MSC 2020] 91G05 - Actuarial mathematics [MSC 2020] |
| Soggetto non controllato |
Consumption-investment
Empirical Bayes Life insurance Non-life insurance Quantitative Finance Reserves Risk and Insurance Risk management Ruin theory Stochastic Controls Tails of sums Valuation of payment streams |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0249744 |
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Asmussen, Soren
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Stochastic calculus and applications / Samuel N. Cohen, Robert J. Elliott
| Stochastic calculus and applications / Samuel N. Cohen, Robert J. Elliott |
| Autore | Cohen, Samuel N. |
| Edizione | [2. ed] |
| Pubbl/distr/stampa | New York, : Birkhäuser, 2015 |
| Descrizione fisica | XXIII, 666 p. ; 24 cm |
| Altri autori (Persone) | Elliott, Robert J. |
| Soggetto topico |
49-XX - Calculus of variations and optimal control; optimization [MSC 2020]
93E20 - Optimal stochastic control [MSC 2020] 60-XX - Probability theory and stochastic processes [MSC 2020] 93E11 - Filtering in stochastic control theory [MSC 2020] |
| Soggetto non controllato |
Discrete and Continuous Time
Filtering Martingales Partial differential equations Quantitative Finance Stochastic Controls Stochastic differential equations Stochastic processes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0113157 |
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Cohen, Samuel N.
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| New York, : Birkhäuser, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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