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Ambit Stochastics

2018-11-01 Mathematics
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Release : 2018-11-01
Genre : Mathematics
Kind : eBook
Book Rating : 291/5 ( reviews)

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Book Synopsis Ambit Stochastics by : Ole E. Barndorff-Nielsen

Download or read book Ambit Stochastics written by Ole E. Barndorff-Nielsen. This book was released on 2018-11-01. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

Stochastics of Environmental and Financial Economics

2015-10-23 Science
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Release : 2015-10-23
Genre : Science
Kind : eBook
Book Rating : 250/5 ( reviews)

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Book Synopsis Stochastics of Environmental and Financial Economics by : Fred Espen Benth

Download or read book Stochastics of Environmental and Financial Economics written by Fred Espen Benth. This book was released on 2015-10-23. Available in PDF, EPUB and Kindle. Book excerpt: These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Modern Stochastics and Applications

2014-01-30 Mathematics
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Release : 2014-01-30
Genre : Mathematics
Kind : eBook
Book Rating : 126/5 ( reviews)

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Book Synopsis Modern Stochastics and Applications by : Volodymyr Korolyuk

Download or read book Modern Stochastics and Applications written by Volodymyr Korolyuk. This book was released on 2014-01-30. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a great source of inspiration for designing new algorithms, modeling procedures and experiments. Accessible to researchers, practitioners, as well as graduate and postgraduate students, this volume presents a variety of new tools, ideas and methodologies in the fields of optimization, physics, finance, probability, hydrodynamics, reliability, decision making, mathematical finance, mathematical physics and economics. Contributions to this Work include those of selected speakers from the international conference entitled “Modern Stochastics: Theory and Applications III,” held on September 10 –14, 2012 at Taras Shevchenko National University of Kyiv, Ukraine. The conference covered the following areas of research in probability theory and its applications: stochastic analysis, stochastic processes and fields, random matrices, optimization methods in probability, stochastic models of evolution systems, financial mathematics, risk processes and actuarial mathematics and information security.

XI Symposium on Probability and Stochastic Processes

2015-07-17 Mathematics
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Release : 2015-07-17
Genre : Mathematics
Kind : eBook
Book Rating : 843/5 ( reviews)

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Book Synopsis XI Symposium on Probability and Stochastic Processes by : Ramsés H. Mena

Download or read book XI Symposium on Probability and Stochastic Processes written by Ramsés H. Mena. This book was released on 2015-07-17. Available in PDF, EPUB and Kindle. Book excerpt: This volume features a collection of contributed articles and lecture notes from the XI Symposium on Probability and Stochastic Processes, held at CIMAT Mexico in September 2013. Since the symposium was part of the activities organized in Mexico to celebrate the International Year of Statistics, the program included topics from the interface between statistics and stochastic processes.

Change Of Time And Change Of Measure (Second Edition)

2015-05-07 Business & Economics
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Release : 2015-05-07
Genre : Business & Economics
Kind : eBook
Book Rating : 600/5 ( reviews)

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Book Synopsis Change Of Time And Change Of Measure (Second Edition) by : Ole E Barndorff-nielsen

Download or read book Change Of Time And Change Of Measure (Second Edition) written by Ole E Barndorff-nielsen. This book was released on 2015-05-07. Available in PDF, EPUB and Kindle. Book excerpt: Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance.In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

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