Stochastic Calculus
Stochastic Calculus
... differential calculus can be used and when not. A stock price S t is stochastic, as is the price of the derivative of the stock f (S t ). But despite the fact that they are both stochastic, f ... ∂ f t ∂W t dW t (23.3) 23.3 STOCHASTIC INTEGRATION At the beginning of this chapter it was observed that a stochastic integral cannot be considered the reverse of a stochastic differential...
Ngày tải lên: 25/10/2013, 19:20
Continuous Stochastic Calculus with Applications to Finance docx
... III Stochastic Integration 1. Measurability Properties of Stochastic Processes 131 1.a The progressive and predictable σ-fields on Π 131 1.b Stochastic intervals and the optional σ-field 134 2. Stochastic ... processes 140 2.c Properties of stochastic integrals with respect to continuous local martingales 142 2.d Integration with respect to continuous semimartingales 147 2.e The stoc...
Ngày tải lên: 24/03/2014, 04:20
Stochastic Calculus of Variations in Mathematical Finance potx
... Price-Volatility Feedback Rate 123 References 127 Index 139 1 Gaussian Stochastic Calculus of Variations The Stochastic Calculus of Variations [141] has excellent basic reference arti- cles or ... (2003) Schmid B., Credit Risk Pricing Models (2004) Shreve S.E., Stochastic Calculus for Finance I (2004) Shreve S.E., Stochastic Calculus for Finance II (2004) Yor, M., Exponential...
Ngày tải lên: 24/03/2014, 04:20
The Shiryaev Festschrift From Stochastic Calculus to Mathematical Finance docx
... condition- ally Gaussian case. His students were working on topics including stochastic differential equations, anticipating stochastic calculus, and point processes. Naturally, these studies were not restricted ... random pro- cesses: the construction of stochastic calculus (i.e. theory of semimartingales) as a unified theory was completed. It combines the classical Ito calculus, ju...
Ngày tải lên: 31/03/2014, 23:20
Theory of stochastic local area channel modeling for wireless communications
... 683.3.4 ReducedWaveGrouping ........................ 68iv 3.4 TheStochasticLocalAreaChannel(SLAC)Model ............. 703.4.1 StochasticModel............................. 703.4.2 RandomPhaseModels.......................... ... sound principles instochastic process theory, electromagnetic wave propagation, and wireless communications,this report develops a theoretical framework for characterizi...
Ngày tải lên: 20/11/2012, 11:36
60 Complex Random Variables and Stochastic Processes
... Finite-Energy Second-Order Stochastic Processes • Second-Order Com- plex Stochastic Processes • Complex Representations of Finite-Energy Second-Order Stochastic Processes • Finite- PowerStochastic Processes ... Complex Stochastic Processes A complex stochastic process z(t) is one given by z(t) = x(t) + jy(t) (60.19) where the real and imaginary parts, x(t) and y(t), respectively, ar...
Ngày tải lên: 25/10/2013, 02:15
