Cambridge Core - Mathematical Finance - Probability with Martingales - by David Williams. Frontmatter. pp i-iv. Access. PDF · Online view; Export citation
Andrey Nikolaevich Kolmogorov (Russian: Андре́й Никола́евич Колмого́ров, IPA: [ɐnˈdrʲej nʲɪkɐˈlajɪvʲɪtɕ kəlmɐˈɡorəf] (About this sound listen), 25 April 1903 – 20 October 1987) was a Soviet mathematician who made significant contributions to… Ergodic theory (Greek: έργον ergon "work", όδος hodos "way") is a branch of mathematics that studies statistical properties of deterministic dynamical systems. Tanaka's formula is the explicit Doob–Meyer decomposition of the submartingale |Bt| into the martingale part (the integral on the right-hand side), and a continuous increasing process (local time). ^ Chibisov, D. M., I. A. Ibragimov, V. P. Maslov, B. A. Sevastyanov, A. N. Shiryaev, N. N. Vakhania, I. S. Borisov, V. I. Lotov, and A. A. Mogul'skii. "On the 75th birthday of AA Borovkov." Read or Download Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures (Frank J. Fabozzi Series) PDF
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This paper focuses on interacting particle systems methods for solving numerically a class of Feynman-Kac formulae arising in the study of certain parabolic differential equations, physics, biology,..