Stochastic Differential Equations Driven by Levy Processes
Numerical Weak Approximation
Stochastic differential equations driven by Levy processes are used as mathematical models for random dynamic phenomena in applications arising from fields such as finance and insurance, to capture continuous and discontinuous uncertainty. For many applications, a stochastic differential equation does not have a closed-form solution and the weak Euler approximation is applied. In such numerical treatment of stochastic differential equations, it is of theoretical and practical importance to estimate the rate of convergence of the discrete time approximation. In this book, it is systematically investigated the dependence of the rate of conve…
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Produktdetails
- ISBN: 978-3-8473-0605-4
- EAN: 9783847306054
- Produktnummer: 37792912
- Verlag: LAP Lambert Academic Publishing
- Sprache: Englisch
- Erscheinungsjahr: 2011
- Seitenangabe: 120 S.
- Masse: H22.0 cm x B15.0 cm x D0.7 cm 197 g
- Abbildungen: Paperback
- Gewicht: 197
Über den Autor
BEng, Mechanical Engineering and Automation, South China University of Technology; MSc, High Performance Computation for Engineered Systems, Singapore - MIT Alliance; MPhil, Network Planning and Optimisation, Imperial College London; MSc, Mathematical Finance & PhD, Applied Mathematics, University of Southern California
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