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Teoria Della Probabilità: Processi E Calcolo Stocastico by Andrea Pascucci

Teoria Della Probabilità: Processi E Calcolo Stocastico

by Andrea Pascucci
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Book cover type: Paperback
  • ISBN13: 9788847040274
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 381
  • Original Price: EUR 26.913
  • Language: Italian
  • Edition: 2024
  • Item Weight: 772 grams
  • BISAC Subject(s): Probability & Statistics / General

6 Processi stocastici.- 7 Processi di Markov.- 8 Processi continui.- 9 Moto Browniano.- 10 Processo di Poisson.- 11 Tempi d'arresto.- 12 Proprietà di Markov forte.- 14 Teoria della variazione.- 15 Integrazione stocastica secondo Itô.- 16 Formula di Itô.- 17 Calcolo stocastico multidimensionale.- 18 Cambi di misura e rappresentazione di martingale.- 19 Equazioni differenziali stocastiche.- 20 Formule di Feynman-Kac.- 21 Equazioni stocastiche lineari.- 22 Soluzioni forti.- 23 Soluzioni deboli.- 24 Complementi.- 25 Introduzione alle PDE paraboliche

Andrea Pascucci è professore di Probabilità e Statistica Matematica presso l'Università di Bologna. La sua attività di ricerca riguarda diversi aspetti della teoria delle equazioni differenziali stocastiche per diffusioni e processi di salto, delle equazioni alle derivate parziali degeneri e delle applicazioni alla finanza matematica. Ha scritto 5 libri e più di 70 articoli sceintifici sui seguenti argomenti: equazioni lineari e non lineari di Kolmogorov-Fokker-Plank; stime di regolarità e asintotiche della densità di transizione di diffusioni multidimensionali e di processi di salto; problemi a frontiera libera, di arresto ottimo e applicazioni ai derivati finanziari di tipo americano; opzioni asiatiche e modelli di volatilità. È stato invitato come relatore in più di 40 conferenze internazionali. È editor del Journal of Computational Finance e direttore di un programma post-laurea in Finanza Matematica dell'Università di Bologna.

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