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Affine diffusions and related processes : simulation, theory and applications / Aurélien Alfonsi
| Affine diffusions and related processes : simulation, theory and applications / Aurélien Alfonsi |
| Autore | Alfonsi, Aurélien |
| Pubbl/distr/stampa | [Cham], : Bocconi university, : Springer, 2015 |
| Descrizione fisica | XIII, 252 p. : ill. ; 24 cm |
| Soggetto topico |
60J60 - Diffusion processes [MSC 2020]
62-XX - Statistics [MSC 2020] 00A71 - General theory of mathematical modeling [MSC 2020] 91G70 - Statistical methods; risk measures [MSC 2020] 00A72 - General theory of simulation [MSC 2020] |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0113240 |
Alfonsi, Aurélien
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| [Cham], : Bocconi university, : Springer, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Affine diffusions and related processes : simulation, theory and applications / Aurélien Alfonsi
| Affine diffusions and related processes : simulation, theory and applications / Aurélien Alfonsi |
| Autore | Alfonsi, Aurélien |
| Edizione | [[Cham] : Bocconi university : Springer, 2015] |
| Pubbl/distr/stampa | XIII, 252 p., : ill. ; 24 cm |
| Descrizione fisica | Pubblicazione in formato elettronico |
| Soggetto topico |
60J60 - Diffusion processes [MSC 2020]
62-XX - Statistics [MSC 2020] 00A71 - General theory of mathematical modeling [MSC 2020] 91G70 - Statistical methods; risk measures [MSC 2020] 00A72 - General theory of simulation [MSC 2020] |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0113240 |
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Alfonsi, Aurélien
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| XIII, 252 p., : ill. ; 24 cm | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Bessel processes, Schramm–Loewner evolution, and the Dyson model / Makoto Katori
| Bessel processes, Schramm–Loewner evolution, and the Dyson model / Makoto Katori |
| Autore | Katori, Makoto |
| Pubbl/distr/stampa | [Singapore], : Springer, 2016 |
| Descrizione fisica | X, 141 p. : ill. ; 24 cm |
| Soggetto topico |
60K35 - Interacting random processes; statistical mechanics type models; percolation theory [MSC 2020]
60J65 - Brownian motion [MSC 2020] 82C41 - Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics [MSC 2020] 82B41 - Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 60B20 - Random matrices (probabilistic aspects) [MSC 2020] 60J67 - Stochastic (Schramm-)Loewner evolution (SLE) [MSC 2020] |
| Soggetto non controllato |
Complexifications of random variables
Conformal transformations and conformal invariance Itô’s formula and Stochastic Calculus Multivariate extensions and special functions Random matrix theory and conformal field theory |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0114469 |
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Katori, Makoto
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| [Singapore], : Springer, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Bessel processes, Schramm–Loewner evolution, and the Dyson model / Makoto Katori
| Bessel processes, Schramm–Loewner evolution, and the Dyson model / Makoto Katori |
| Autore | Katori, Makoto |
| Edizione | [[Singapore] : Springer, 2016] |
| Pubbl/distr/stampa | X, 141 p., : ill. ; 24 cm |
| Descrizione fisica | Pubblicazione in formato elettronico |
| Soggetto topico |
60K35 - Interacting random processes; statistical mechanics type models; percolation theory [MSC 2020]
60J65 - Brownian motion [MSC 2020] 82C41 - Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics [MSC 2020] 82B41 - Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 60B20 - Random matrices (probabilistic aspects) [MSC 2020] 60J67 - Stochastic (Schramm-)Loewner evolution (SLE) [MSC 2020] |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0114469 |
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Katori, Makoto
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| X, 141 p., : ill. ; 24 cm | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Boundary value problems and Markov processes : Functional Analysis Methods for Markov Processes / Kazuaki Taira
| Boundary value problems and Markov processes : Functional Analysis Methods for Markov Processes / Kazuaki Taira |
| Autore | Taira, Kazuaki |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | XVII, 500 p. : ill. ; 24 cm |
| Soggetto topico |
35J25 - Boundary value problems for second-order elliptic equations [MSC 2020]
60J35 - Transition functions, generators and resolvents [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 47D07 - Markov semigroups and applications to diffusion processes [MSC 2020] 47Dxx - Groups and semigroups of linear operators, their generalizations and applications [MSC 2020] |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0132619 |
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Taira, Kazuaki
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Boundary value problems and Markov processes : Functional Analysis Methods for Markov Processes / Kazuaki Taira
| Boundary value problems and Markov processes : Functional Analysis Methods for Markov Processes / Kazuaki Taira |
| Autore | Taira, Kazuaki |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | XVII, 500 p. : ill. ; 24 cm |
| Soggetto topico |
35J25 - Boundary value problems for second-order elliptic equations [MSC 2020]
60J35 - Transition functions, generators and resolvents [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 47D07 - Markov semigroups and applications to diffusion processes [MSC 2020] 47Dxx - Groups and semigroups of linear operators, their generalizations and applications [MSC 2020] |
| Soggetto non controllato |
Analytic Semigroup
Boundary Value Problems Boutet de Monvel Calculus Elliptic Boundary Value Problem Feller Semigroup Markov Processes Probability Theory Pseudo-differential Operators Semilinear Parabolic Equation |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0132619 |
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Taira, Kazuaki
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Controlled Diffusion Processes / Nicolai V. Krylov ; Transl. by A. B. Aries
| Controlled Diffusion Processes / Nicolai V. Krylov ; Transl. by A. B. Aries |
| Autore | Krylov, Nikolaj Vladimirovich |
| Pubbl/distr/stampa | Berlin, : Springer, 1980 |
| Descrizione fisica | xii, 310 p. ; 24 cm |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
60J60 - Diffusion processes [MSC 2020] 35K55 - Nonlinear parabolic equations [MSC 2020] 35J60 - Nonlinear elliptic equations [MSC 2020] 93-XX - Systems theory; control [MSC 2020] |
| Soggetto non controllato |
Diffusion
Diffusion Processes Fully nonlinear equations Linear optimization Optimal Control Stochastic differential equations |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0261525 |
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Krylov, Nikolaj Vladimirovich
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| Berlin, : Springer, 1980 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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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 | ||
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Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu
| Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu |
| Autore | Carr, Peter |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xiii, 152 p. : ill. ; 24 cm |
| Altri autori (Persone) | Zhu, Qiji J. |
| Soggetto topico |
90C25 - Convex programming [MSC 2020]
91Gxx - Actuarial science and mathematical finance [MSC 2020] 52A41 - Convex functions and convex programs in convex geometry [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 49N15 - Duality theory (optimization) [MSC 2020] 26B25 - Convexity of real functions of several variables, generalizations [MSC 2020] 91Bxx - Mathematical economics [MSC 2020] |
| Soggetto non controllato |
Arbitrage
Asset pricing Convex duality Fenchel conjugate Financial derivatives Financial markets Hedging Lagrange multipliers Martingale measure Quantitative Finance Risk measures Utility function |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124620 |
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Carr, Peter
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu
| Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu |
| Autore | Carr, Peter |
| Edizione | [Cham : Springer, 2018] |
| Pubbl/distr/stampa | xiii, 152 p., : ill. ; 24 cm |
| Descrizione fisica | Pubblicazione in formato elettronico |
| Altri autori (Persone) | Zhu, Qiji J. |
| Soggetto topico |
90C25 - Convex programming [MSC 2020]
91Gxx - Actuarial science and mathematical finance [MSC 2020] 52A41 - Convex functions and convex programs in convex geometry [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 49N15 - Duality theory (optimization) [MSC 2020] 26B25 - Convexity of real functions of several variables, generalizations [MSC 2020] 91Bxx - Mathematical economics [MSC 2020] |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0124620 |
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Carr, Peter
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| xiii, 152 p., : ill. ; 24 cm | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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