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Softcover. XIV, 251 S. Ex-library with stamp and library-signature. GOOD condition, some traces of use. C-02055 9783319083315 Sprache: Englisch Gewicht in Gramm: 550.
Sprache: Englisch
Verlag: Springer Nature Switzerland AG, CH, 2020
ISBN 10: 3030415554 ISBN 13: 9783030415556
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Paperback. Zustand: New. Second Edition 2020. With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most recently, stochastic partial differential equations.Rough path analysis provides the means for constructing a pathwise solution theory for stochastic differential equations which, in many respects, behaves like the theory of deterministic differential equations and permits a clean break between analytical and probabilistic arguments. Together with the theory of regularity structures, it forms a robust toolbox, allowing the recovery of many classical results without having to rely on specific probabilistic properties such as adaptedness or the martingale property.Essentially self-contained, this textbook puts the emphasis on ideas and short arguments, rather than aiming for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis and probability courses, with little more than Itô-integration against Brownian motion required for most of the text.From the reviews of the first edition:"Can easily be used as a support for a graduate course . Presents in an accessible way the unique point of view of two experts who themselves have largely contributed to the theory" - Fabrice Baudouin in the Mathematical Reviews"It is easy to base a graduate course on rough paths on this . A researcher who carefully works her way through all of the exercises will have a very good impression of the current state of the art" - Nicolas Perkowski in Zentralblatt MATH.
Verlag: Springer
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In den WarenkorbPaperback. Zustand: New. Second Edition 2020. With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most recently, stochastic partial differential equations.Rough path analysis provides the means for constructing a pathwise solution theory for stochastic differential equations which, in many respects, behaves like the theory of deterministic differential equations and permits a clean break between analytical and probabilistic arguments. Together with the theory of regularity structures, it forms a robust toolbox, allowing the recovery of many classical results without having to rely on specific probabilistic properties such as adaptedness or the martingale property.Essentially self-contained, this textbook puts the emphasis on ideas and short arguments, rather than aiming for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis and probability courses, with little more than Itô-integration against Brownian motion required for most of the text.From the reviews of the first edition:"Can easily be used as a support for a graduate course . Presents in an accessible way the unique point of view of two experts who themselves have largely contributed to the theory" - Fabrice Baudouin in the Mathematical Reviews"It is easy to base a graduate course on rough paths on this . A researcher who carefully works her way through all of the exercises will have a very good impression of the current state of the art" - Nicolas Perkowski in Zentralblatt MATH.
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Sprache: Englisch
Verlag: SIAM - Society for Industrial and Applied Mathematics, 2023
ISBN 10: 1611977770 ISBN 13: 9781611977776
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Sprache: Englisch
Verlag: Cambridge University Press, 2010
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In den WarenkorbPaperback. Zustand: New. Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression.
Sprache: Englisch
Verlag: Society for Industrial & Applied Mathematics,U.S., 2024
ISBN 10: 1611977770 ISBN 13: 9781611977776
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Sprache: Englisch
Verlag: Springer Nature Switzerland AG, CH, 2020
ISBN 10: 3030415554 ISBN 13: 9783030415556
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In den WarenkorbPaperback. Zustand: New. Second Edition 2020. With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most recently, stochastic partial differential equations.Rough path analysis provides the means for constructing a pathwise solution theory for stochastic differential equations which, in many respects, behaves like the theory of deterministic differential equations and permits a clean break between analytical and probabilistic arguments. Together with the theory of regularity structures, it forms a robust toolbox, allowing the recovery of many classical results without having to rely on specific probabilistic properties such as adaptedness or the martingale property.Essentially self-contained, this textbook puts the emphasis on ideas and short arguments, rather than aiming for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis and probability courses, with little more than Itô-integration against Brownian motion required for most of the text.From the reviews of the first edition:"Can easily be used as a support for a graduate course . Presents in an accessible way the unique point of view of two experts who themselves have largely contributed to the theory" - Fabrice Baudouin in the Mathematical Reviews"It is easy to base a graduate course on rough paths on this . A researcher who carefully works her way through all of the exercises will have a very good impression of the current state of the art" - Nicolas Perkowski in Zentralblatt MATH.
Sprache: Englisch
Verlag: Cambridge University Press, 2010
ISBN 10: 0521876079 ISBN 13: 9780521876070
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