Ingenierie Stochastique: (French)

Ingenierie Stochastique: (French)

          
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About the Book

Stochastic analysis is used to model and analyse systems that behave randomly. Such systems may originate in the natural sciences: physics (e.g. Brownian motion, diffusion processes of particles subject to random forces).In the last 30 years or so, techniques from stochastic analysis have increasingly been used in financial mathematics to model the evolution in time of stock and bond prices. The main focus of this book will be on Brownian motion. This is the most basic process, lying at the heart of stochastic analysis. It is sufficiently concrete and well-behaved that one can prove many things about it, as well as perform explicit calculations that are impossible for more complicated objects.At the same time, it can be used as a building block for large classes of more general stochastic processes, some of whose characteristics may then be analysed via Brownian motion. We will show existence and uniqueness for Brownian motion, and study its properties. This theorem has many important applications in financial mathematics and economics.


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Product Details
  • ISBN-13: 9786131545849
  • Publisher: Editions Universitaires Europeennes
  • Publisher Imprint: Editions Universitaires Europeennes
  • Height: 229 mm
  • No of Pages: 360
  • Series Title: French
  • Weight: 526 gr
  • ISBN-10: 6131545847
  • Publisher Date: 09 Nov 2010
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 20 mm
  • Width: 152 mm


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Ingenierie Stochastique: (French)
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