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This book deals with topics in the area of Lévy processes and infinitely divisible distributions such as Ornstein-Uhlenbeck type processes, selfsimilar additive processes and multivariate subordination.
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These lecture notes provide an introduction to the applications of Brownian motion to analysis and more generally, connections between Brownian motion and analysis.
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In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973.
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From the reviews: "The highly esteemed 1990 first edition of this book now appears in a much expanded second edition. ....As already hinted at above, this book provides the... Læs mere
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Asymptotic methods are of great importance for practical applications, especially in dealing with boundary value... Læs mere
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Further, in response to the revolution in financial markets following from the discovery by Fischer Black and Myron Scholes of a reliable option pricing formula, I have written a chapter on the application of stochastic methods to financial markets.
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This concise and readable book addresses primarily readers with a background in classical statistical physics and introduces quantum mechanical notions as required.
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Bauer: Harmonic spaces and associated Markov processes.- J.M. Bony:... Læs mere
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Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study arose from a dynamic cash management model in finance, where decisions about the dividend and financing policies of a firm have to be made.
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This introductory book offers a unique and unified overview of symplectic geometry, highlighting the differential properties of symplectic manifolds.
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This book provides a concise introduction to the behavior of mechanical structures and testing their stochastic stability under the influence of noise. It explains the physical effects of noise and in particular the concept of Gaussian white noise.
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This book explains the notion of Brakke’s mean curvature flow and its existence and regularity theories without assuming familiarity with geometric measure theory.