• формат pdf
  • размер 2.16 МБ
  • добавлен 21 ноября 2011 г.
Fima C. Klebaner. Introduction to Stochastic Calculus With Applications
2nd Edition. Imperial College Press, 2005. 412 pages. The book is a mathematical text, but the entrance level is lower than other rigorous stochastic calculus books. It is is suitable for advanced undergraduates, graduates and researchers in probability & statistics and mathematical finance.
Смотрите также

Bailey N.T.J. The elements of stochastic processes, with applications to natural sciences

  • формат djvu
  • размер 1.8 МБ
  • добавлен 15 декабря 2011 г.
New York – London – Sydney: John Wiley & Sons, Inc., 1964, - 130 pages. The book starts with a general introduction, and then a whole chapter on generating functions. The next four chapters deal with various kinds of processes in discrete time such as Markov chains and fandom walks. This is followed by the treatment of continuous-time processes, including such special applications as birth-and-death processes, queues, epidemics, etc. After th...

Bhattacharya R., Majumdar M. Random Dynamical Systems: Theory and Applications

  • формат pdf
  • размер 2.05 МБ
  • добавлен 25 декабря 2011 г.
Cambridge University Press, 2007. - 480 pages. This treatment provides an exposition of discrete time dynamic processes evolving over an infinite horizon. Chapter 1 reviews some mathematical results from the theory of deterministic dynamical systems, with particular emphasis on applications to economics. The theory of irreducible Markov processes, especially Markov chains, is surveyed in Chapter 2. Equilibrium and long run stability of a dynami...

Klyatskin V.I. Lectures on Dynamics of Stochastic Systems

  • формат pdf
  • размер 3.32 МБ
  • добавлен 29 августа 2011 г.
Elsevier, 2011. - 410 Pages. Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. Models naturally render to statistical description, where random processes and fields express the input parameters and solutions. The fundamental problem of stochastic dynamics...

L?tkepohl G. New Introduction to Multiple Time Series Analysis

  • формат pdf
  • размер 3.88 МБ
  • добавлен 18 сентября 2011 г.
Berlin, Springer-Verlag, 2005. - 764p. Монография посвящена многомерному анализу временных рядов. Рассмотрены векторные авторегрессии конечного и бесконечного порядка, коинтегрированные процессы, структурные модели и одновременные уравнения и некоторые другие вопросы. Для научных работников и аспирантов в области математической статистики и теории случайных процессов, а также финансовой математики и других приложений.

Lin X.S. Introductory Stochastic Analysis for Finance and Insurance

  • формат pdf
  • размер 8.81 МБ
  • добавлен 25 сентября 2011 г.
Hoboken, John Wiley & Sons, 2006. - 251p. Учебник по случайным процессам и стохастическому анализу с примерами из финансовой математики и страхования. Для студентов, аспирантов и преподавателей математических специальностей - как пример приложения, экономических специальностей - как математический базис курсов финансовой математики.

Mazo R.M. Brownian Motion: Fluctuations, Dynamics, and Applications

  • формат djvu
  • размер 2.55 МБ
  • добавлен 29 января 2011 г.
Oxford University Press, 2002. - 304 pages. Brownian motion - the incessant motion of small particles suspended in a fluid - is an important topic in statistical physics and physical chemistry. This book studies its origin in molecular scale fluctuations, its description in terms of random process theory and also in terms of statistical mechanics. A number of new applications of these descriptions to physical and chemical processes, as well as s...

McKibben M.A. Discovering Evolution Equations with Applications: Volume 2. Stochastic Equations

  • формат pdf
  • размер 3.4 МБ
  • добавлен 16 августа 2011 г.
Chapman & Hall/CRC, 2011. - 463 pages. Most existing books on evolution equations tend either to cover a particular class of equations in too much depth for beginners or focus on a very specific research direction. Thus, the field can be daunting for newcomers to the field who need access to preliminary material and behind-the-scenes detail. Taking an applications-oriented, conversational approach, Discovering Evolution Equations with Appli...

Paul W., Baschnagel J. Stochastic Processes: From Physics to Finance

  • формат djvu
  • размер 3.47 МБ
  • добавлен 09 мая 2011 г.
Springer, 2000. - 231 Pages. This book deals with stochastic processes which are important in statistical physics and the regulation of finance markets. It gives the basis for estimation and calculation of widely independent processes governing a more complex behaviour of systems. The book is a must for financial analysts and for physicists and mathematicians working in the field of finance.

Stochastic Methods in Finance

  • формат pdf
  • размер 2.88 МБ
  • добавлен 11 декабря 2009 г.
This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topic...

Van Kampen N.G. Stochastic Processes in Physics and Chemistry

  • формат djvu
  • размер 3.78 МБ
  • добавлен 29 апреля 2011 г.
North Holland, 2007. - 464 pages. The third edition of Van Kampen's standard work has been revised and updated. The main difference with the second edition is that the contrived application of the quantum master equation in section 6 of chapter XVII has been replaced with a satisfactory treatment of quantum fluctuations. Apart from that throughout the text corrections have been made and a number of references to later developments have been incl...