Аннотация к книге "Large Fluctuations of Stochastic Differential Equations. Regime Switching and Applications to Simulation and Finance"
This monograph deals with the asymptotic behaviour, and in particular the largest fluctuations, of various classes of stochastic differential equations (SDEs) and their discretisations. Equations subject to Markovian switching are also studied, allowing the drift and diffusion coefficients to switch randomly according to a Markov jump process. The assumptions are motivated by the large fluctuations experienced by financial markets which are subjected to random regime shifts. Such results are...
This monograph deals with the asymptotic behaviour, and in particular the largest fluctuations, of various classes of stochastic differential equations (SDEs) and their discretisations. Equations subject to Markovian switching are also studied, allowing the drift and diffusion coefficients to switch randomly according to a Markov jump process. The assumptions are motivated by the large fluctuations experienced by financial markets which are subjected to random regime shifts. Such results are then applied to a variant of the classical Geometric Brownian Motion (GBM) market model. Moreover it is shown that discrete approximations to these equations, using standard and split-step implicit Euler-Maruyama methods, exhibit asymptotic behaviour which is consistent with their continuous-time counterparts.
Данное издание не является оригинальным. Книга печатается по технологии принт-он-деманд после получения заказа.
Не тратьте зря времени, пытаясь подогнать Python под способы программирования, знакомые вам по другим языкам. Python настолько прост, что вы очень быстро освоите его в общих чертах, но для создания эффективных современных программ требуются более глубокие знания. Второе издание книги позволит вам использовать возможности Python 3 в полной мере, обратив себе на пользу лучшие идеи. Автор рассказывает о базовых...
Оставить комментарий