Pathwise Large Deviations of Stochastic Differential Equations: with Applications to Finance - Image 1

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LAP Lambert Academic Publishing Pathwise Large Deviations of Stochastic Differential Equations: with Applications to Finance

Name: Pathwise Large Deviations of Stochastic Differential Equations: with Applications to Finance
Brand: LAP Lambert Academic Publishing
Price: 55.0 GBP
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Description

This work deals with the asymptotic behaviour of highly nonlinear stochastic differential equations, as well as linear and nonlinear functional differential equations. Both ordinary functional and neutral equations are analysed. In the first chapter, a class of nonlinear SDEs (mainly scaler equations) which satisfy the Law of the Iterated Logarithm is studied, and the results applied to a financial market model. The second chapter deals with a more general class of finite-dimensional nonlinear SDEs and SFDEs, employing comparison and time change methods, as well as martingale inequalities, to determine the almost sure rate of growth of the running maximum of functionals of the solution. The third chapter examines the exact almost sure rate of growth of the large deviations for affine SFDEs, and for equations with additive noise which are subject to relatively weak nonlinearities at infinity. The fourth chapter extends conventional conditons for existence and uniqueness of neutral functional differential equations to the stochastic case. The final chapter deals with large fluctuations of stochastic neutral functional differential equations.

Product Specifications

Brand: LAP Lambert Academic Publishing
Format: paperback
ASIN: 3838360443
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Probability & Statistics
Domain: Amazon UK
Release Date: 03 June 2010
Listed Since: 08 June 2010

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LAP Lambert Academic Publishing Pathwise Large Deviations of Stochastic Differential Equations: with Applications to Finance

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