LIBROS DEL AUTOR: bernt oksendal

7 resultados para LIBROS DEL AUTOR: bernt oksendal

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  • Applied Stochastic Control of Jump Diffusions
    Agnès Sulem / Bernt Øksendal
    Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examp...
    Disponible

    87,63 €

  • Applied Stochastic Control of Jump Diffusions
    Agnès Sulem / Bernt Øksendal
    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 discussed, as well as the relation between them. Corresponding verification theorems invol...
    Disponible

    47,07 €

  • Stochastic Differential Equations
    B. K. Ksendal / Bernt A~ksendal / Bernt Oksendal
    This edition contains detailed solutions of selected exercises. Many readers have requested this, because it makes the book more suitable for self-study. At the same time new exercises (without solutions) have beed added. They have all been placed in the end of each chapter, in order to facilitate the use of this edition together with previous ones. S...
    Disponible

    71,85 €

  • Stochastic Partial Differential Equations
    Bernt Oksendal / Helge Holden / Jan Uboe
    This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera­ tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose o...
    Disponible

    207,91 €

  • Stochastic Calculus for Fractional Brownian Motion and Applications
    Bernt Oksendal / Francesca Biagini / Yaozhong Hu
    The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, al...
    Disponible

    182,85 €

  • Stochastic Partial Differential Equations
    Bernt Øksendal / Helge Holden / Jan Ubøe
    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 Lévy process noise.  Applications of the theory are emphasized throughout. The stochastic...
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    103,02 €

  • Malliavin Calculus for Lévy Processes with Applications to Finance
    Bernt Øksendal / Frank Proske / Giulia Di Nunno
    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 wasthe original motivation when Paul Malliavin introduced ...
    Disponible

    102,50 €