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001 978-3-642-22368-6
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008 110922s2012 gw | s |||| 0|eng d
020 _a9783642223686
_9978-3-642-22368-6
024 7 _a10.1007/978-3-642-22368-6
_2doi
050 4 _aQA273.A1-274.9
050 4 _aQA274-274.9
072 7 _aPBT
_2bicssc
072 7 _aPBWL
_2bicssc
072 7 _aMAT029000
_2bisacsh
082 0 4 _a519.2
_223
100 1 _aZili, Mounir.
_eeditor.
245 1 0 _aStochastic Differential Equations and Processes
_h[electronic resource] :
_bSAAP, Tunisia, October 7-9, 2010 /
_cedited by Mounir Zili, Darya V. Filatova.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2012.
300 _aXII, 264 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Proceedings in Mathematics,
_x2190-5614 ;
_v7
505 0 _aPreface -- 1.H. Schurz: Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods -- 2.C.A. Tudor: Kernel Density Estimation, Local Time and Chaos Expansion -- 3.W. Jedidi, J. Almhana, V. Choulakian, R. McGorman: General Shot Noise Processes and Functional Convergence to Stable Processes -- 4.C. El-Nouty: The Lower Classes of the Sub-Fractional Brownian Motion -- 5.M. Erraoui and Y. Ouknine: On the Bounded Variation of the Flow of Stochastic Differential Equation -- 6.A. Ayache, Q. Peng: Stochastic Volatility and Multifractional Brownian Motion -- 7.A. Gulisashvili, J. Vives: Two-sided Estimates for Distribution Densities in Models with Jumps -- 8.M. Lefebvre: Maximizing a Function of the Survival Time of a Wiener Process in an Interval.
520 _aSelected papers submitted by participants of the international Conference “Stochastic Analysis and Applied Probability 2010” ( www.saap2010.org ) make up the basis of this volume. The SAAP 2010 was held in Tunisia, from 7-9 October, 2010, and was organized by the “Applied Mathematics & Mathematical Physics” research unit of the preparatory institute to the military academies of Sousse (Tunisia), chaired by Mounir Zili. The papers cover theoretical, numerical and applied aspects of stochastic processes and stochastic differential equations. The study of such topic is motivated in part by the need to model, understand, forecast and control the behavior of many natural phenomena that evolve in time in a random way. Such phenomena appear in the fields of finance, telecommunications, economics, biology, geology, demography, physics, chemistry, signal processing and modern control theory, to mention just a few. As this book emphasizes the importance of numerical and theoretical studies of the stochastic differential equations and stochastic processes, it will be useful for a wide spectrum of researchers in applied probability, stochastic numerical and theoretical analysis and statistics, as well as for graduate students. To make it more complete and accessible for graduate students, practitioners and researchers, the editors Mounir Zili and Daria Filatova have included a survey dedicated to the basic concepts of numerical analysis of the stochastic differential equations, written by Henri Schurz.
650 0 _aMathematics.
650 0 _aSystems theory.
650 0 _aDistribution (Probability theory).
650 1 4 _aMathematics.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aGame Theory, Economics, Social and Behav. Sciences.
650 2 4 _aSystems Theory, Control.
700 1 _aFilatova, Darya V.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642223679
830 0 _aSpringer Proceedings in Mathematics,
_x2190-5614 ;
_v7
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-22368-6
912 _aZDB-2-SMA
999 _c102047
_d102047