MARC details
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03886nam a22005175i 4500 |
| 001 - CONTROL NUMBER |
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978-0-387-25175-2 |
| 003 - CONTROL NUMBER IDENTIFIER |
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DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20170628033240.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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100301s2005 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780387251752 |
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978-0-387-25175-2 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/b106901 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
TA329-348 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
TA640-643 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
TBJ |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
MAT003000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Situ, Rong. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
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| Title |
Theory of Stochastic Differential Equations with Jumps and Applications |
| Medium |
[electronic resource] : |
| Remainder of title |
Mathematical and Analytical Techniques with Applications to Engineering / |
| Statement of responsibility, etc |
by Rong Situ. |
| 264 #1 - |
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Boston, MA : |
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Springer US, |
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2005. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
XX, 434 p. |
| Other physical details |
online resource. |
| 336 ## - |
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text |
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txt |
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rdacontent |
| 337 ## - |
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computer |
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c |
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rdamedia |
| 338 ## - |
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online resource |
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cr |
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rdacarrier |
| 347 ## - |
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text file |
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PDF |
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rda |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Stochastic Differential Equations with Jumps in Rd -- Martingale Theory and the Stochastic Integral for Point Processes -- Brownian Motion, Stochastic Integral and Ito's Formula -- Stochastic Differential Equations -- Some Useful Tools in Stochastic Differential Equations -- Stochastic Differential Equations with Non-Lipschitzian Coefficients -- Applications -- How to Use the Stochastic Calculus to Solve SDE -- Linear and Non-linear Filtering -- Option Pricing in a Financial Market and BSDE -- Optimal Consumption by H-J-B Equation and Lagrange Method -- Comparison Theorem and Stochastic Pathwise Control -- Stochastic Population Control and Reflecting SDE -- Maximum Principle for Stochastic Systems with Jumps. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It shows how to introduce and define the Ito integrals, to establish Ito’s differential rule (the so-called Ito formula), to solve the SDEs, and to establish Girsanov’s theorem and obtain weak solutions of SDEs. It also shows how to solve the filtering problem, to establish the martingale representation theorem, to solve the option pricing problem in a financial market, and to obtain the famous Black-Scholes formula, along with other results. In particular, the book will provide the reader with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, and science. Theory of Stochastic Differential Equations with Jumps and Applications will be a valuable reference for grad students and professionals in physics, chemistry, biology, engineering, finance and mathematics who are interested in problems such as the following: mathematical description and analysis of stocks and shares; option pricing, optimal consumption, arbitrage-free markets; control theory and stochastic control theory and their applications; non-linear filtering problems with jumps; population control. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Engineering. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Mathematical physics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Engineering mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Hydraulic engineering. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Engineering. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Appl.Mathematics/Computational Methods of Engineering. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Applications of Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Mathematical and Computational Physics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Engineering Fluid Dynamics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Financial Economics. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
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| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Display text |
Printed edition: |
| International Standard Book Number |
9780387250830 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="http://dx.doi.org/10.1007/b106901">http://dx.doi.org/10.1007/b106901</a> |
| 912 ## - |
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ZDB-2-ENG |
