| 000 -LEADER |
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04696nam a22004815i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-3-540-30788-4 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20161121231032.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2006 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783540307884 |
| -- |
978-3-540-30788-4 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-3-540-30788-4 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA273.A1-274.9 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA274-274.9 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
PBT |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
PBWL |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
MAT029000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519.2 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Kabanov, Yuri. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
From Stochastic Calculus to Mathematical Finance |
| Medium |
[electronic resource] : |
| Remainder of title |
The Shiryaev Festschrift / |
| Statement of responsibility, etc. |
by Yuri Kabanov, Robert Liptser, Jordan Stoyanov. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2006. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXXVII, 633 p. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
|---|
| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
On Numerical Approximation of Stochastic Burgers' Equation -- Optimal Time to Invest under Tax Exemptions -- A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales -- Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns -- Asymptotic Methods for Stability Analysis of Markov Dynamical Systems with Fast Variables -- Some Particular Problems of Martingale Theory -- On the Absolute Continuity and Singularity of Measures on Filtered Spaces: Separating Times -- Optimal Hedging with Basis Risk -- Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands -- Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization -- On Existence and Uniqueness of Reflected Solutions of Stochastic Equations Driven by Symmetric Stable Processes -- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets -- Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach -- A Minimax Result for f-Divergences -- Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions -- A Consumption–Investment Problem with Production Possibilities -- Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem -- A Didactic Note on Affine Stochastic Volatility Models -- Uniform Optimal Transmission of Gaussian Messages -- A Note on the Brownian Motion -- Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models -- Tail Distributions of Supremum and Quadratic Variation of Local Martingales -- Stochastic Differential Equations: A Wiener Chaos Approach -- A Martingale Equation of Exponential Type -- On Local Martingale and its Supremum: Harmonic Functions and beyond -- On the Fundamental Solution of the Kolmogorov–Shiryaev Equation -- Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity -- Gittins Type Index Theorem for Randomly Evolving Graphs -- On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models -- The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations -- On Lower Bounds for Mixing Coefficients of Markov Diffusions. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
System theory. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Probabilities. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Probability Theory and Stochastic Processes. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Systems Theory, Control. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Liptser, Robert. |
| Relator term |
author. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Stoyanov, Jordan. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Printed edition: |
| International Standard Book Number |
9783540307822 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-540-30788-4 |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
