Buch, Englisch, 633 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 1001 g
The Shiryaev Festschrift
Buch, Englisch, 633 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 1001 g
ISBN: 978-3-642-06803-4
Verlag: Springer
Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Mathematik | Informatik EDV | Informatik Angewandte Informatik Wirtschaftsinformatik
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Mathematik | Informatik Mathematik Mathematische Analysis Variationsrechnung
- Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
Weitere Infos & Material
On Numerical Approximation of Stochastic Burgers' Equation.- Optimal Time to Invest under Tax Exemptions.- A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.- Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns.- Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables.- Some Particular Problems of Martingale Theory.- On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times.- Optimal Hedging with Basis Risk.- Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands.- Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization.- On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes.- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets.- Enlargement of Filtration and Additional Information in Pricing Models: BayesianApproach.- A Minimax Result for f-Divergences.- Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions.- A Consumption–Investment Problem with Production Possibilities.- Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem.- A Didactic Note on Affine Stochastic Volatility Models.- Uniform Optimal Transmission of Gaussian Messages.- A Note on the Brownian Motion.- Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models.- Tail Distributions of Supremum and Quadratic Variation of Local Martingales.- Stochastic Differential Equations: A Wiener Chaos Approach.- A Martingale Equation of Exponential Type.- On Local Martingale and its Supremum: Harmonic Functions and beyond.- On the Fundamental Solution of the Kolmogorov–Shiryaev Equation.- Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity.- Gittins Type Index Theorem for Randomly Evolving Graphs.- On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models.- The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations.- On Lower Bounds for Mixing Coefficients of Markov Diffusions.
