Bernt Øksendal – författare
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10 produkter
Stochastic Differential Equations
An Introduction with Applications
Häftad, 2003
703 kr
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An introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to motivate and illustrate the theory and show its importance for many applications in e.g. economics, biology and physics. The basic idea of the presentation is to …
Stochastic Partial Differential Equations
A Modeling, White Noise Functional Approach
Av Helge Holden, Bernt Øksendal m. fl.
Häftad, 2009
876 kr
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The first edition of Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach, gave a comprehensive introduction to SPDEs. In this, the second edition, the authors build on the theory of SPDEs driven by space-time Brownian motion, or more generally, space-time Levy …
Stochastic Calculus for Fractional Brownian Motion and Applications
Av Francesca Biagini, Yaozhong Hu m. fl.
Häftad, 2010
1419 kr
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Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. Several approaches have been used to develop the concept of stochastic calculus for …
Stochastic Calculus for Fractional Brownian Motion and Applications
Av Francesca Biagini, Yaozhong Hu m. fl.
Inbunden, 2008
1419 kr
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Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. Several approaches have been used to develop the concept of stochastic calculus for …
Applied Stochastic Control of Jump Diffusions
Av Bernt Øksendal, Agnès Sulem
Häftad, 2019
767 kr
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The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic maximum principle method are …
Stochastic Analysis and Applications
The Abel Symposium 2005
Av Fred Espen Benth, Giulia Di Nunno m. fl.
Inbunden, 2007
1636 kr
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Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, …
Malliavin Calculus for Lévy Processes with Applications to Finance
Av Giulia Di Nunno, Bernt Øksendal m. fl.
Häftad, 2008
5,0 utav 5 stjärnor. Totalt antal röster: (1)
876 kr
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There are already several excellent books on Malliavin calculus. However, most of them deal only with the theory of Malliavin calculus for Brownian motion, with [35] as an honorable exception. Moreover, most of them discuss only the applicationto regularityresults for solutions ofSDEs, as this …
Stochastic Analysis and Applications
The Abel Symposium 2005
Av Fred Espen Benth, Giulia Di Nunno m. fl.
Häftad, 2010
1636 kr
Lägg i varukorg
Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, …
Advanced Mathematical Methods for Finance
Av Julia Di Nunno, Bernt Øksendal
Inbunden, 2011
1093 kr
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This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its …
Advanced Mathematical Methods for Finance
Av Julia Di Nunno, Bernt Øksendal
Häftad, 2014
1093 kr
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This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its …
