Корично изображение Електронен

Stochastic analysis and applications to finance essays in honour of Jia-an Yan /

This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Ma...

Пълно описание

Автор-организации: World Scientific (Firm)
Други автори: Zhang, Tusheng, 1963-, Zhou, Xunyu.
Формат: Електронен
Език: English
Публикувано: Singapore ; Hackensack, N.J. : World Scientific Pub. Co., ℗♭2012.
Серия: Interdisciplinary mathematical sciences ; v. 13.
Предмети:
Stochastic analysis.
Stochastic processes.
Stochastic systems.
MATHEMATICS > Probability & Statistics > General.
Electronic books.
Онлайн достъп: http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=579485
Подобни документи: Print version:: Stochastic analysis and applications to finance.
Съдържание:
  • 1. Non-linear evolution equations driven by rough paths / Thomas Cass, Zhongmin Qian and Jan Tudor
  • 2. Optimal stopping times with different information levels and with time uncertainty / Arijit Chakrabarty and Xin Guo
  • 3. Finite horizon optimal investment and consumption with CARA utility and proportional transaction costs / Yingshan Chen, Min Dai and Kun Zhao
  • 4. Uniform integrability of exponential martingales and spectral bounds of non-local Feynman-Kac semigroups / Zhen-Qing Chen
  • 5. Continuous-time mean-variance portfolio selection with finite transactions / Xiangyu Cui, Jianjun Gao and Duan Li
  • 6. Quantifying model uncertainties in the space of probability measures / J. Duan, T. Gao and G. He
  • 7. A PDE approach to multivariate risk theory / Robert J. Elliott, Tak Kuen Siu and Hailiang Yang
  • 8. Stochastic analysis on loop groups / Shizan Fang
  • 9. Existence and stability of measure solutions for BSDE with generators of quadratic growth / Alexander Fromm, Peter Imkeller and Jianing Zhang
  • 10. Convex capital requirements for large portfolios / Hans Fo˜llmer and Thomas Knispel
  • 11. The mixed equilibrium of insider trading in the market with rational expected price / Fuzhou Gong and Hong Liu
  • 12. Some results on backward stochastic differential equations driven by fractional Brownian motions / Yaozhong Hu, Daniel Ocone and Jian Song
  • 13. Potential theory of subordinate Brownian motions revisited / Panki Kim, Renming Song and Zoran VondracŒek
  • 14. Research on social causes of the financial crisis / Steven Kou
  • 15. Wick formulas and inequalities for the quaternion Gaussian and [symbol] permanental variables / Wenbo V. Li and Ang Wei
  • 16. Further study on web Markov skeleton processes / Yuting Liu, Zhi-Ming Ma and Chuan Zhou
  • 17. MLE of parameters in the drifted Brownian motion and its error / Lemee Nakamura and Weian Zheng
  • 18. Optimal partial information control of SPDEs with delay and time advanced backward SPDEs / Bernt ©˜ksendal, Agne€s Sulem and Tusheng Zhang
  • 19. Simulation of diversified portfolios in continuous financial markets / Eckhard Platen and Renata Rendek
  • 20. Coupling and applications / Feng-Yu Wang
  • 21. SDEs and a generalised Burgers equation / Jiang-Lun Wu and Wei Yang
  • 22. Mean-variance hedging in the discontinuous case / Jianming Xia.

Подобни библ. документи