SPRINGER – Globolibri.it https://www.globolibri.it Libreria Genova libri inglesi spagnoli francesi tedeschi cinesi giapponesi piccolo principe books Thu, 29 Aug 2024 15:19:58 +0000 it-IT hourly 1 https://wordpress.org/?v=6.7.5 https://www.globolibri.it/wp-content/uploads/2019/02/cropped-LOGO-1-32x32.png SPRINGER – Globolibri.it https://www.globolibri.it 32 32 The Malliavin Calculus and Related Topics https://www.globolibri.it/negozio/libri-inglese/the-malliavin-calculus-and-related-topics-9783642066511/ Thu, 29 Aug 2024 12:17:24 +0000 https://www.globolibri.it/?post_type=product&p=20176 There have been ten years since the publication of the ?rst edition of this book. Since then, new applications and developments of the Malliavin c- culus have appeared. In preparing this second edition we have taken into account some of these new applications, and in this spirit, the book has two additional chapters that deal with the following two topics: Fractional Brownian motion and Mathematical Finance. The presentation of the Malliavin calculus has been slightly modi?ed at some points, where we have taken advantage of the material from the lecturesgiveninSaintFlourin1995(seereference[248]).Themainchanges and additional material are the following: In Chapter 1, the derivative and divergence operators are introduced in the framework of an isonormal Gaussian process associated with a general 2 Hilbert space H. The case where H is an L -space is trated in detail aft- s,p wards (white noise case). The Sobolev spaces D , with s is an arbitrary real number, are introduced following Watanabe’s work. Chapter2includesageneralestimateforthedensityofaone-dimensional random variable, with application to stochastic integrals. Also, the c- position of tempered distributions with nondegenerate random vectors is discussed following Watanabe’s ideas. This provides an alternative proof of the smoothness of densities for nondegenerate random vectors. Some properties of the support of the law are also presented.

]]> Markov Decision Processes with Applications to Finance https://www.globolibri.it/negozio/libri-inglese/markov-decision-processes-with-applications-to-finance-9783642183232/ Thu, 29 Aug 2024 12:07:21 +0000 https://www.globolibri.it/?post_type=product&p=20174 The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems.

The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master’s students and researchers in both applied probability and finance, and provides exercises (without solutions).

The theory of Markov Decision Processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces, illustrating its application through examples in finance and operations research.

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