Download EBOOK Large Fluctuations of Stochastic Differential Equations PDF for free


Download EBOOK Large Fluctuations of Stochastic Differential Equations PDF for free Category: Science & Geography
The author of the book: Terry Lynch
Format files: PDF, EPUB, TXT, DOCX
The size of the: 859 KB
Language: English
ISBN-13: 9783843359351
Edition: LAP Lambert Academic Publishing
Date of issue: 7 October 2010

Description of the book "Large Fluctuations of Stochastic Differential Equations":

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 PDF Euler-Maruyama methods, exhibit asymptotic behaviour which is consistent with their continuous-time counterparts.

Download EBOOK Large Fluctuations of Stochastic Differential Equations PDF for free


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Terry Lynch

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Download EBOOK Large Fluctuations of Stochastic Differential Equations PDF for free



Download EBOOK Large Fluctuations of Stochastic Differential Equations for free

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