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Mathematics and Its Applications

Random Evolutions and their Applications

New Trends

Authors: Swishchuk, Anatoly

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  • ISBN 978-94-015-9598-8
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Hardcover $149.99
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  • ISBN 978-90-481-5441-8
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About this book

The book is devoted to the new trends in random evolutions and their various applications to stochastic evolutionary sytems (SES). Such new developments as the analogue of Dynkin's formulae, boundary value problems, stochastic stability and optimal control of random evolutions, stochastic evolutionary equations driven by martingale measures are considered. The book also contains such new trends in applied probability as stochastic models of financial and insurance mathematics in an incomplete market. In the famous classical financial mathematics Black-Scholes model of a (B,S)­ market for securities prices, which is used for the description of the evolution of bonds and stocks prices and also for their derivatives, such as options, futures, forward contracts, etc., it is supposed that the dynamic of bonds and stocks prices are set by a linear differential and linear stochastic differential equations, respectively, with interest rate, appreciation rate and volatility such that they are predictable processes. Also, in the Arrow-Debreu economy, the securities prices which support a Radner dynamic equilibrium are a combination of an Ito process and a random point process, with the all coefficients and jumps being predictable processes.

Table of contents (14 chapters)

Table of contents (14 chapters)

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-94-015-9598-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA in USD
  • ISBN 978-0-7923-6264-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.99
price for USA in USD
  • ISBN 978-90-481-5441-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Random Evolutions and their Applications
Book Subtitle
New Trends
Authors
Series Title
Mathematics and Its Applications
Series Volume
504
Copyright
2000
Publisher
Springer Netherlands
Copyright Holder
Springer Science+Business Media B.V.
eBook ISBN
978-94-015-9598-8
DOI
10.1007/978-94-015-9598-8
Hardcover ISBN
978-0-7923-6264-7
Softcover ISBN
978-90-481-5441-8
Edition Number
1
Number of Pages
XVI, 294
Topics