Last edited by Shajas
Thursday, August 13, 2020 | History

4 edition of Reflecting stochastic differential equations with jumps and applications found in the catalog.

Reflecting stochastic differential equations with jumps and applications

by Situ, Rong.

  • 226 Want to read
  • 16 Currently reading

Published by Chapman & Hall/CRC in Boca Raton .
Written in English

    Subjects:
  • Stochastic differential equations.,
  • Jump processes.

  • Edition Notes

    Includes bibliographical references (p. 197-205).

    StatementSitu Rong.
    SeriesChapman & Hall/CRC research notes in mathematics series ;, 408
    Classifications
    LC ClassificationsQA274.23 .S525 2000
    The Physical Object
    Pagination205 p. ;
    Number of Pages205
    ID Numbers
    Open LibraryOL41334M
    ISBN 101584881259
    LC Control Number99033103

    () Stochastic differential equations with jump reflection at time-dependent barriers. Theory of Probability & Its Applications , On the uniqueness of solutions of stochastic differential equations with reflecting barrier conditions. Séminaire de Probabilités X Cited by: From the book reviews: “The book presents a self-contained overview of the modern state of the theory of backward stochastic differential equations (BSDEs) for jump-diffusion random processes and aims to show applications of the theory to financial and actuarial problems. useful to both students and researchers in applied probability dealing with actuarial and financial problems.” (Ya Brand: Springer-Verlag London.

    In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of. stochastic and that no deterministic model exists. From a pragmatic point of view, both will construct the same model - its just that each will take a different view as to origin of the stochastic behaviour. Stochastic differential equations (SDEs) now find applications in many disciplines including interFile Size: KB.

    Get this from a library! Theory of stochastic differential equations with jumps and applications: mathematical and analytical techniques with applications to engineering. [Rong Situ] -- "This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito's. In this paper, we study L p solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) () Y t = ξ + ∫ t T f (s, Y s, Z s, U s) d s − ∫ t T Z s d B s − ∫ (t, T] ∫ X U s (x) N ˜ p (d s, d x), t ∈ [0, T] over a probability space (Ω, F, P) on which B Cited by: 5.


Share this book
You might also like
Managing marketing in the 21st century

Managing marketing in the 21st century

A1 x-band waveguide power divider designed using finite element analysis

A1 x-band waveguide power divider designed using finite element analysis

Typee

Typee

Cumberland Journey

Cumberland Journey

A.Y. Jackson

A.Y. Jackson

Modern Algebra Two

Modern Algebra Two

Fiscal policy, conflict, and reconstruction in Burundi and Rwanda

Fiscal policy, conflict, and reconstruction in Burundi and Rwanda

Building professional capacity in ITS.

Building professional capacity in ITS.

Breakheart Pass

Breakheart Pass

Industrial Innovation

Industrial Innovation

RACER # 3485108

RACER # 3485108

Ucla IGA Hayden McNeil Package - Intro Gen Anal & CDR & Sol Man & Inter Gen CDR

Ucla IGA Hayden McNeil Package - Intro Gen Anal & CDR & Sol Man & Inter Gen CDR

tomboy cousin

tomboy cousin

The angel within

The angel within

Mesis season of change

Mesis season of change

raid from Beauséjour and How the Carter boys lifted the mortgage

raid from Beauséjour and How the Carter boys lifted the mortgage

Reflecting stochastic differential equations with jumps and applications by Situ, Rong. Download PDF EPUB FB2

Reflecting Stochastic Differential Equations with Jumps and Applications systematically studies the general theory and applications of these equations. In particular, the author examines the existence, uniqueness, comparison, convergence, and stability of strong solutions to cases where the RSDE has discontinuous coefficients-with greater than linear growth-that may include jump : Paperback.

This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito’s differential rule (the so-called Ito formula), to solve the SDEs, and to establish Girsanov’s theorem and obtain weak solutions of by: Reflecting stochastic differential equations (RSDE) with jumps prove useful in a variety of applications.

This book systematically presents the general theory and applications of RSDEs. It also develops the applications to the stochastic population control problem, the. Reflecting Stochastic Differential Equations with Jumps and Applications systematically studies the general theory and applications of these equations.

In particular, the author examines the existence, uniqueness, comparison, convergence, and stability of strong solutions to cases where the RSDE has discontinuous coefficients-with greater than linear growth-that may include jump reflection.

Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs.

In particular, the reader will be provided with the backward SDE technique for use in research. Stochastic Processes and their Applications. VolumeIssue 9, AugustPages Stochastic differential equations with jump reflection at time-dependent barriers. Author links open overlay panel Leszek Słomiński a Tomasz Wojciechowski b.

Reflecting stochastic differential equations. Time-dependent reflecting barriers. 1 Cited by: 7. R.F. Bass/Stochastic differential equations with jumps 2 2.

Stochastic calculus Before we can describe SDEs with respect to jump processes, we need to talk a bit about the differences between the stochasticcalculus for continuousprocesses and for processes with jumps. Some good references for this are the volumes by Dellacherie and Meyer [DM1], [DM2], Meyer’s course [Me], and the books by.

Stochastic Integration and Differential Equations, 2nd ed. Applications of Mathematics (New York) Springer, Berlin. Springer, Berlin. Mathematical Reviews (MathSciNet): MR Zentralblatt MATH: Cited by: In this paper, we study the Wong–Zakai approximation of the solution to the stochastic differential equation on a domain D in a Euclidean space with normal reflection at the boundary.

We prove the L p convergence of the approximation in C ([0, T] → D ̄) under some general conditions on by: We consider discrete penalization schemes for reflecting stochastic differential equations. The convergence results obtained by Liu are generalized and refined.

We also compare the penalization schemes with a more well-known recursive projection by: “The book presents a self-contained overview of the modern state of the theory of backward stochastic differential equations (BSDEs) for jump-diffusion random processes and aims to show applications of the theory to financial and actuarial : Łukasz Delong.

Stochastic differential equations with sticky reflection and boundary diffusion Grothaus, Martin and Voßhall, Robert, Electronic Journal of Probability, Existence, uniqueness and regularity results for integro-differential Heisenberg equations Cutrì, Alessandra and Garroni, Maria Giovanna, Advances in Differential Equations, Theory of Stochastic Differential Equations with Jumps and Applications: Mathematical and Analytical Techniques with Applications to Engineering - Kindle edition by SITU, Rong.

Download it once and read it on your Kindle device, PC, phones or tablets. Use features like bookmarks, note taking and highlighting while reading Theory of Stochastic Differential Equations with Jumps and Applications Manufacturer: Springer.

Stochastic differential equations with jump reflection at time-dependent barriers Article in Stochastic Processes and their Applications (9) August with 52 Reads. Problem 6 is a stochastic version of F.P. Ramsey’s classical control problem from In Chapter X we formulate the general stochastic control prob-lem in terms of stochastic difierential equations, and we apply the results of Chapters VII and VIII to show that the problem can be reduced to solvingFile Size: 1MB.

Cite this chapter as: () Stochastic Population Control and Reflecting SDE. In: Theory of Stochastic Differential Equations with Jumps and Applications. Stochastic differential equations: an introduction with applications | Bernt Øksendal | download | B–OK.

Download books for free. Find books. If you want to understand the main ideas behind stochastic differential equations this book is be a good place no start. Without being too rigorous, the book constructs Ito integrals in a clear intuitive way and presents a wide range of examples and applications.

A good reference for Cited by: Theory of Stochastic Differential Equations with Jumps and Applications (Mathematical and Analytical Techniques with Applications to Engineering) Pdf Kindle Free Download. Theory of Stochastic Differential Equations with Jumps and Applications: Mathematical and Analytical Techniques with Applications to Engineering By Rong Situ ISBN e-ISBN Printed on acid-free paper.

ISBN-1 3: e-ISBN O Springer Science+Business Media, Inc. In this paper we study how σ-finite measures on ℝd evolve under a class of "stochastic flows" associated to stochastic differential equations with (resp.

without) jumps in ℝd.Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps Article in Stochastic Analysis and Applications 23(5) September .Specific results on stochastic differential equations with reflecting boundaries such as existence and uniqueness, continuity and Markov properties, relation to partial differential equations and Author: Andrey Pilipenko.