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A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria

2022-11-10 Mathematics
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Release : 2022-11-10
Genre : Mathematics
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Book Rating : 754/5 ( reviews)

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Book Synopsis A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria by : Jean-François Chassagneux

Download or read book A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria written by Jean-François Chassagneux. This book was released on 2022-11-10. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.

A Forward-Backward SDEs Approach to Pricing in Carbon Markets

2017-10-05 Mathematics
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Release : 2017-10-05
Genre : Mathematics
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Book Rating : 152/5 ( reviews)

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Book Synopsis A Forward-Backward SDEs Approach to Pricing in Carbon Markets by : Jean-François Chassagneux

Download or read book A Forward-Backward SDEs Approach to Pricing in Carbon Markets written by Jean-François Chassagneux. This book was released on 2017-10-05. Available in PDF, EPUB and Kindle. Book excerpt: In Mathematical Finance, the authors consider a mathematical model for the pricing of emissions permits. The model has particular applicability to the European Union Emissions Trading System (EU ETS) but could also be used to consider the modeling of other cap-and-trade schemes. As a response to the risk of Climate Change, carbon markets are currently being implemented in regions worldwide and already represent more than $30 billion. However, scientific, and particularly mathematical, studies of these carbon markets are needed in order to expose their advantages and shortcomings, as well as allow their most efficient implementation. This Brief reviews mathematical properties such as the existence and uniqueness of solutions for the pricing problem, stability of solutions and their behavior. These fit into the theory of fully coupled forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. The authors present a numerical algorithm to compute the solution to these non-standard FBSDEs. They also carry out a case study of the UK energy market. This involves estimating the parameters to be used in the model using historical data and then solving a pricing problem using the aforementioned numerical algorithm. The Brief is of interest to researchers in stochastic processes and their applications, and environmental and energy economics. Most sections are also accessible to practitioners in the energy sector and climate change policy-makers.

Mean Field Games

2021-12-14 Mathematics
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Release : 2021-12-14
Genre : Mathematics
Kind : eBook
Book Rating : 862/5 ( reviews)

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Book Synopsis Mean Field Games by : François Delarue

Download or read book Mean Field Games written by François Delarue. This book was released on 2021-12-14. Available in PDF, EPUB and Kindle. Book excerpt: This volume is based on lectures delivered at the 2020 AMS Short Course “Mean Field Games: Agent Based Models to Nash Equilibria,” held January 13–14, 2020, in Denver, Colorado. Mean field game theory offers a robust methodology for studying large systems of interacting rational agents. It has been extraordinarily successful and has continued to develop since its inception. The six chapters that make up this volume provide an overview of the subject, from the foundations of the theory to applications in economics and finance, including computational aspects. The reader will find a pedagogical introduction to the main ingredients, from the forward-backward mean field game system to the master equation. Also included are two detailed chapters on the connection between finite games and mean field games, with a pedestrian description of the different methods available to solve the convergence problem. The volume concludes with two contributions on applications of mean field games and on existing numerical methods, with an opening to machine learning techniques.

Stochastic Analysis and Applications 2014

2014-12-13 Mathematics
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Release : 2014-12-13
Genre : Mathematics
Kind : eBook
Book Rating : 929/5 ( reviews)

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Book Synopsis Stochastic Analysis and Applications 2014 by : Dan Crisan

Download or read book Stochastic Analysis and Applications 2014 written by Dan Crisan. This book was released on 2014-12-13. Available in PDF, EPUB and Kindle. Book excerpt: Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developments. It constitutes the proceedings of the conference on "Stochastic Analysis and Applications" held at the University of Oxford and the Oxford-Man Institute during 23-27 September, 2013. The conference honored the 60th birthday of Professor Terry Lyons FLSW FRSE FRS, Wallis Professor of Mathematics, University of Oxford. Terry Lyons is one of the leaders in the field of stochastic analysis. His introduction of the notion of rough paths has revolutionized the field, both in theory and in practice. Stochastic Analysis is the branch of mathematics that deals with the analysis of dynamical systems affected by noise. It emerged as a core area of mathematics in the late 20th century and has subsequently developed into an important theory with a wide range of powerful and novel tools, and with impressive applications within and beyond mathematics. Many systems are profoundly affected by stochastic fluctuations and it is not surprising that the array of applications of Stochastic Analysis is vast and touches on many aspects of life. The present volume is intended for researchers and Ph.D. students in stochastic analysis and its applications, stochastic optimization and financial mathematics, as well as financial engineers and quantitative analysts.

Higher Ramanujan Equations and Periods of Abelian Varieties

2023-01-18 Mathematics
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Release : 2023-01-18
Genre : Mathematics
Kind : eBook
Book Rating : 19X/5 ( reviews)

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Book Synopsis Higher Ramanujan Equations and Periods of Abelian Varieties by : Tiago J. Fonseca

Download or read book Higher Ramanujan Equations and Periods of Abelian Varieties written by Tiago J. Fonseca. This book was released on 2023-01-18. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.

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