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Dynamics of stochastic systems [[electronic resource] /] / V.I. Klyatskin
| Dynamics of stochastic systems [[electronic resource] /] / V.I. Klyatskin |
| Autore | Klyatskin V. I |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; San Diego, : Elsevier, 2005 |
| Descrizione fisica | 1 online resource (211 p.) |
| Disciplina | 519.23 |
| Soggetto topico |
Stochastic analysis
Statistical physics Stochastic processes |
| ISBN |
1-281-03671-4
9786611036713 0-08-050485-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; DYNAMICS OF STOCHASTIC SYSTEMS; Copyright Page; Preface; Contents; Introduction; Part I: Dynamical description of stochastic systems; Chapter 1. Examples, basic problems, peculiar features of solutions; 1.1 Ordinary differential equations: initial value problems; 1.2 Boundary-value problems for linear ordinary differential equations (plane waves in layered media); 1.3 Partial differential equations; Chapter 2. Solution dependence on problem type, medium parameters, and initial data; 2.1 Functional representation of problem solution; 2.2 Solution dependence on problem's parameters
ProblemsChapter 3. Indicator function and Liouville equation; 3.1 Ordinary differential equations; 3.2 First-order partial differential equations; 3.3 Higher-order partial differential equations; Problems; Part II: Statistical description of stochastic systems; Chapter 4. Random quantities, processes and fields; 4.1 Random quantities and their characteristics; 4.2 Random processes, fields, and their characteristics; 4.3 Markovian processes; Problems; Chapter 5. Correlation splitting; 5.1 General remarks; 5.2 Gaussian process; 5.3 Poisson process; 5.4 Telegrapher's random process 5.5 Delta-correlated random processesProblems; Chapter 6. General approaches to analyzing stochastic dynamic systems; 6.1 Ordinary differential equations; 6.2 Completely solvable stochastic dynamic systems; 6.3 Delta-correlated fields and processes; Problems; Chapter 7. Stochastic equations with the Markovian fluctuations of parameters; 7.1 Telegrapher's processes; 7.2 Gaussian Markovian processes; Problems; Chapter 8. Gaussian delta-correlated random field (ordinary differential equations); 8.1 The Fokker-Planck equation; 8.2 Transition probability distributions 8.3 Applicability range of the Fokker-Planck equationProblems; Chapter 9. Methods for solving and analyzing the Fokker-Planck equation; 9.1 Wiener random process; 9.2 Logarithmic-normal random process; 9.3 Integral transformations; 9.4 Steady-state solutions of the Fokker-Planck equation; 9.5 Boundary-value problems for the Fokker-Planck equation (transfer phenomena); 9.6 Method of fast oscillation averaging; Problems; Chapter 10. Gaussian delta-correlated random field (causal integral equations); Problems; Part III: Examples of coherent phenomena in stochastic dynamic systems Chapter 11. Passive tracer clustering and diffusion in random hydrodynamic flows11.1 Lagrangian description (particle diffusion); 11.2 Diffusion of passive tracer concentration in random velocity field; 11.3 Effect of molecular diffusion; Problems; Chapter 12. Wave localization in randomly layered media; 12.1 Statistics of scattered field at layer boundaries; 12.2 Statistical theory of radiative transfer; 12.3 Numerical simulation; Problems; Bibliography; Index |
| Record Nr. | UNINA-9910815426503321 |
Klyatskin V. I
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| Amsterdam ; ; San Diego, : Elsevier, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross
| An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross |
| Autore | Ross, Sheldon M. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Cambridge, U. K. : Cambridge University Press, 2003 |
| Descrizione fisica | xv, 253 p. : ill. ; 24 cm |
| Disciplina | 332.60151 |
| Soggetto topico |
Investments - Mathematics
Stochastic analysis Options (Finance) - Mathematical models Securities - Prices - Mathematical models |
| ISBN | 0521814294 |
| Classificazione |
AMS 91B28
LC HG4515.3.R67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents: Probability ; Normal random variables ; Geometric Brownian motion ; Interest rates and present value analysis ; Pricing contracts via Arbitrage ; The Arbitrage Theorem ; The Black-Scholes formula ; Additional results on options ; Valuing by expected utility ; Optimization models ; Exotic options ; Beyond geometric Brownian motion models ; Autogressive models and mean reversion. |
| Record Nr. | UNISALENTO-991001560059707536 |
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Ross, Sheldon M.
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| Cambridge, U. K. : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Elementary stochastic calculus with finance in view / Thomas Mikosch
| Elementary stochastic calculus with finance in view / Thomas Mikosch |
| Autore | Mikosch, Thomas |
| Pubbl/distr/stampa | Singapore : World Scientific, 1998 (2000 printing) |
| Descrizione fisica | ix, 212 p. : ill. ; 23 cm. |
| Disciplina | 519.292 |
| Collana | Advanced series on statistical science & applied probability ; 6 |
| Soggetto topico | Stochastic analysis |
| ISBN | 9810235437 |
| Classificazione |
AMS 60H
QA274.2.M54 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | en |
| Record Nr. | UNISALENTO-991000847769707536 |
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Mikosch, Thomas
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| Singapore : World Scientific, 1998 (2000 printing) | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Equazioni differenziali stocastiche con applicazioni economiche e finanziarie / Donato Michele Cifarelli, Lorenzo Peccati
| Equazioni differenziali stocastiche con applicazioni economiche e finanziarie / Donato Michele Cifarelli, Lorenzo Peccati |
| Autore | Cifarelli, Donato Michele |
| Pubbl/distr/stampa | Milano : Egea, c1998 |
| Descrizione fisica | vi, 162 p. : ill. ; 29 cm. |
| Disciplina | 519.23 |
| Altri autori (Persone) | Peccati, Lorenzoauthor |
| Collana | Strumenti per la didattica |
| Soggetto topico | Stochastic analysis |
| ISBN | 882389042X |
| Classificazione | AMS 60H10 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISALENTO-991000866119707536 |
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Cifarelli, Donato Michele
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| Milano : Egea, c1998 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Equazioni differenziali stocastiche e applicazioni / P. Baldi
| Equazioni differenziali stocastiche e applicazioni / P. Baldi |
| Autore | Baldi, Paolo |
| Descrizione fisica | viii, 309 p. ; 24 cm |
| Disciplina | 519.23 |
| Collana | Quaderni dell'Unione matematica italiana ; 28 |
| Soggetto topico | Stochastic analysis |
| ISBN | 8837103204 |
| Classificazione |
AMS 35R60
AMS 60G AMS 60H AMS 60H15 AMS 60J65 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISALENTO-991000866219707536 |
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Baldi, Paolo
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| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Feynman-Kac-type theorems and Gibbs measures on path space [[electronic resource] ] : with applications to rigorous quantum field theory / / by József Lörinczi, Fumio Hiroshima, Volker Betz
| Feynman-Kac-type theorems and Gibbs measures on path space [[electronic resource] ] : with applications to rigorous quantum field theory / / by József Lörinczi, Fumio Hiroshima, Volker Betz |
| Autore | Lörinczi József |
| Pubbl/distr/stampa | Berlin ; ; New York, : De Gruyter, c2011 |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 515/.724 |
| Altri autori (Persone) |
HiroshimaFumio
BetzVolker |
| Collana | De gruyter studies in mathamatics |
| Soggetto topico |
Integration, Functional
Stochastic analysis Quantum field theory - Mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-39679-3
9786613396792 |
| Classificazione | SK 820 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Feynman-Kac-type theorems and Gibbs measures on path space -- pt. 2. Rigorous quantumfield theory. |
| Record Nr. | UNINA-9910455563803321 |
|
Lörinczi József
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||
| Berlin ; ; New York, : De Gruyter, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Feynman-Kac-type theorems and Gibbs measures on path space [[electronic resource] ] : with applications to rigorous quantum field theory / / by József Lörinczi, Fumio Hiroshima, Volker Betz
| Feynman-Kac-type theorems and Gibbs measures on path space [[electronic resource] ] : with applications to rigorous quantum field theory / / by József Lörinczi, Fumio Hiroshima, Volker Betz |
| Autore | Lörinczi József |
| Pubbl/distr/stampa | Berlin ; ; New York, : De Gruyter, c2011 |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 515/.724 |
| Altri autori (Persone) |
HiroshimaFumio
BetzVolker |
| Collana | De gruyter studies in mathamatics |
| Soggetto topico |
Integration, Functional
Stochastic analysis Quantum field theory - Mathematics |
| Soggetto non controllato |
Brownian Motion
Feynman-Kac-TypeTheorems Gibbs Measures Quantum Field Theory |
| ISBN |
1-283-39679-3
9786613396792 |
| Classificazione | SK 820 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Feynman-Kac-type theorems and Gibbs measures on path space -- pt. 2. Rigorous quantumfield theory. |
| Record Nr. | UNINA-9910780707003321 |
|
Lörinczi József
|
||
| Berlin ; ; New York, : De Gruyter, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Feynman-Kac-type theorems and Gibbs measures on path space [[electronic resource] ] : with applications to rigorous quantum field theory / / by József Lörinczi, Fumio Hiroshima, Volker Betz
| Feynman-Kac-type theorems and Gibbs measures on path space [[electronic resource] ] : with applications to rigorous quantum field theory / / by József Lörinczi, Fumio Hiroshima, Volker Betz |
| Autore | Lörinczi József |
| Pubbl/distr/stampa | Berlin ; ; New York, : De Gruyter, c2011 |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 515/.724 |
| Altri autori (Persone) |
HiroshimaFumio
BetzVolker |
| Collana | De gruyter studies in mathamatics |
| Soggetto topico |
Integration, Functional
Stochastic analysis Quantum field theory - Mathematics |
| Soggetto non controllato |
Brownian Motion
Feynman-Kac-TypeTheorems Gibbs Measures Quantum Field Theory |
| ISBN |
1-283-39679-3
9786613396792 |
| Classificazione | SK 820 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Feynman-Kac-type theorems and Gibbs measures on path space -- pt. 2. Rigorous quantumfield theory. |
| Record Nr. | UNINA-9910811859603321 |
|
Lörinczi József
|
||
| Berlin ; ; New York, : De Gruyter, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finance and stochastics
| Finance and stochastics |
| Pubbl/distr/stampa | Berlin, : Springer |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis Finances - Modèles mathématiques Analyse stochastique Banking, Finance & Investing Stochastic Processes Kreditmarkt Stochastisches Modell Finanzstatistik Zeitschrift Online-Ressource Financiën Stochastische methoden |
| Soggetto genere / forma |
Periodicals.
Zeitschrift Online-Publikation |
| Soggetto non controllato | Banking |
| ISSN | 1432-1122 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996211818603316 |
| Berlin, : Springer | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Finance and stochastics
| Finance and stochastics |
| Pubbl/distr/stampa | Berlin, : Springer |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis Finances - Modèles mathématiques Analyse stochastique Banking, Finance & Investing Stochastic Processes Kreditmarkt Stochastisches Modell Finanzstatistik Zeitschrift Online-Ressource Financiën Stochastische methoden |
| Soggetto genere / forma |
Periodicals.
Zeitschrift Online-Publikation |
| Soggetto non controllato | Banking |
| ISSN | 1432-1122 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910138886603321 |
| Berlin, : Springer | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Stochastic analysis
(249)
- Stochastic processes (23)
- Finance - Mathematical models (15)
- Markov processes (14)
- Anàlisi estocàstica (11)