Random dynamical systems in finance / Anatoliy Swishchuk, Shafiqul Islam.

Format:

Book

Author/Creator:

Svishchuk, A. V. (Anatolii Vitalevich), author.

Islam, Shafiqul, author.

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Random dynamical systems.

Physical Description:

1 online resource (354 p.)

Edition:

1st ed.

Place of Publication:

Boca Raton, FL : CRC Press, 2013.

Language Note:

English

Summary:

The theory and applications of random dynamical systems (RDS) are at the cutting edge of research in mathematics and economics, particularly in modeling the long-run evolution of economic systems subject to exogenous random shocks. Despite this interest, there are no books available that solely focus on RDS in finance and economics. Exploring this emerging area, Random Dynamical Systems in Finance shows how to model RDS in financial applications. Through numerous examples, the book explains how the theory of RDS can describe the asymptotic and qualitative behavior of systems of random and stoc

Contents:

Front Cover; Contents; List of Figures; Preface; Acknowledgment; Chapter 1 Introduction; Chapter 2 Deterministic Dynamical Systems andStochastic Perturbations; Chapter 3 Random Dynamical Systems and Random Maps; Chapter 4 Position Dependent Random Maps; Chapter 5 Random Evolutions as Random Dynamical Systems; Chapter 6 Averaging of the Geometric Markov Renewal Processes ( GMRP); Chapter 7 Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas; Chapter 8 Normal Deviation of a Security Market by the Geometric Markov Renewal Processes

Chapter 9 Poisson Approximation of a Security Market by the Geometric Markov Renewal ProcessesChapter 10 Stochastic Stability of Fractional RDS in Finance; Chapter 11 Stability of RDS with Jumps in Interest Rate Theory; Chapter 12 Stability of Delayed RDS with Jumps and Regime- Switching in Finance; Chapter 13 Optimal Control of Delayed RDS with Applications in Economics; Chapter 14 Optimal Control of Vector Delayed RDS with Applications in Finance and Economics; Chapter 15 RDS in Option Pricing Theory with Delayed/ Path- Dependent Information; Chapter 16 Epilogue; Back Cover

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

0-429-10717-X

1-4398-6719-4

9780429107177

9781040061084

OCLC:

847526839