Stochastic Methods

A Handbook for the Natural and Social Sciences
Fourth Auflage 2009
ISBN: 978-3-540-70712-7
Verlag: Springer Berlin Heidelberg

Buch, Englisch, Band 13, 447 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 863 g

Reihe: Springer Series in Synergetics

This fourth edition of Stochastic Methods is thoroughly revised and augmented, and has been completely reset. While keeping to the spirit of the book I wrote originally, I have reorganised the chapters of Fokker-Planck equations and those on approximation methods, and introduced new material on the white noise limit of driven stochastic systems, and on applications and validity of simulation methods based on the Poisson representation. 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. In doing this, I have not restricted myself to the geometric Brownian motion model, but have also attempted to give some favour of the kinds of methods used to take account of the realities of financial markets. This means that I have also given a treatment of Levy processes and their applications to finance, since these are central to most current thinking. Since this book was written the rigorous mathematical formulation of stochastic processes has developed considerably, most particularly towards greater precision and generality, and this has been reflected in the way the subject is presented in modern applications, particularly in finance.

Zielgruppe

Professional/practitioner

Autoren/Hrsg.

Gardiner, Crispin

Fachgebiete

• Naturwissenschaften Physik Elektromagnetismus Optik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik
• Naturwissenschaften Chemie Physikalische Chemie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Naturwissenschaften Physik Angewandte Physik Statistische Physik, Dynamische Systeme
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

Inhaltsverzeichnis

A Historical Introduction.- Probability Concepts.- Markov Processes.- The Ito Calculus and Stochastic Differential Equations.- The Fokker-Planck Equation.- The Fokker-Planck Equation in Several Dimensions.- Small Noise Approximations for Diffusion Processes.- The White Noise Limit.- Beyond the White Noise Limit.- Lévy Processes and Financial Applications.- Master Equations and Jump Processes.- The Poisson Representation.- Spatially Distributed Systems.- Bistability, Metastability, and Escape Problems.- Simulation of Stochastic Differential Equations.