By Nicolas Bouleau, Laurent Denis (auth.), Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu (eds.)
Stochastic research has a number of purposes to organic structures in addition to actual and engineering difficulties, and its functions to finance and coverage have bloomed exponentially in recent years. The objective of this booklet is to offer a extensive assessment of the diversity of functions of stochastic research and a few of its contemporary theoretical advancements. This contains numerical simulation, errors research, parameter estimation, in addition to keep an eye on and robustness homes for stochastic equations. The publication additionally covers the components of backward stochastic differential equations through the (non-linear) G-Brownian movement and the case of leap tactics. in regards to the purposes to finance, the various articles take care of the valuation and hedging of credits hazard in numerous types, and comprise fresh effects on markets with transaction costs.
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