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07232cam a2200865Ma 4500 |
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ocn830162000 |
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OCoLC |
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20220711193537.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION |
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m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr cnu---unuuu |
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130316s2012 si ac ob 010 0 eng d |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
EBLCP |
| Language of cataloging |
eng |
| Description conventions |
pn |
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EBLCP |
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YDXCP |
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MHW |
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DEBSZ |
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OCLCO |
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IDEBK |
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OCLCQ |
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OCLCO |
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828896153 |
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870346410 |
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880903983 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9789814383318 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9814383317 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9789814383301 |
| Qualifying information |
(hbk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9814383309 |
| Qualifying information |
(hbk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781299243262 |
| Qualifying information |
(MyiLibrary) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
1299243266 |
| Qualifying information |
(MyiLibrary) |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000052915305 |
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AU@ |
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000053034388 |
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AU@ |
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000054192879 |
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DEBBG |
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BV042962664 |
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| OCLC library identifier |
DEBSZ |
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380381192 |
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| OCLC library identifier |
DEBSZ |
| System control number |
421272589 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
DEBSZ |
| System control number |
454998201 |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(OCoLC)830162000 |
| Canceled/invalid control number |
(OCoLC)828896153 |
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(OCoLC)870346410 |
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(OCoLC)880903983 |
| 037 ## - SOURCE OF ACQUISITION |
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| Stock number |
455576 |
| Source of stock number/acquisition |
MIL |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG4529.5 |
| Item number |
.S76 2012eb |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
MAT |
| Subject category code subdivision |
029040 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.23 |
| Edition number |
23 |
| 049 ## - LOCAL HOLDINGS (OCLC) |
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| Holding library |
MAIN |
| 245 00 - TITLE STATEMENT |
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| Title |
Stochastic processes, finance and control : |
| Remainder of title |
a festschrift in honor of Robert J. Elliott / |
| Statement of responsibility, etc |
editors, Samuel N. Cohen [and others]. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Singapore : |
| Name of publisher, distributor, etc |
World Scientific Publishing Company, |
| Date of publication, distribution, etc |
2012. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource (xv, 588 pages) : |
| Other physical details |
illustrations (some color), portrait. |
| 336 ## - |
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text |
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txt |
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rdacontent |
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computer |
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c |
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rdamedia |
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online resource |
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cr |
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rdacarrier |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Advances in Statistics, Probability and Actuarial Science ; |
| Volume number/sequential designation |
v. 1 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references. |
| 588 0# - |
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| -- |
Online resource; title from pdf information screen (Ebsco, viewed June 28, 2013). |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Preface; Contents; Stochastic Analysis; 1. On the connection between discrete and continuous Wick calculus with an application to the fractional Black- Scholes model C. Bender and P. Parczewski; 1.1 Introduction; 1.2 Continuous and discrete Wick calculus; 1.2.1. Wiener integrals and Wick exponentials; 1.2.2. Wick product; 1.2.3. Wick powers and Wick-analytic functions; 1.3. Application to the fractional Black-Scholes model; 1.3.1. The fractional Black-Scholes model; 1.3.2. A discrete version of the fractional Black-Scholes market; 1.3.3. Weak convergence to the fractional Black-Scholes model. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
1.4. Simulating the discrete version of the fractional Black- Scholes model1.4.1. Discussion of the algorithm; 1.4.2. Numerical results; References; 2. Malliavin differentiability of a class of Feller-diffusions with relevance in Finance C.-O. Ewald, Y. Xiao, Y. Zou and T.K. Siu; 2.1. Introduction; 2.2. Preliminaries on Malliavin calculus; 2.3. Malliavin differentiability of -diffusions; 2.4. Conclusions; Acknowledgments; References; 3. A stochastic integral for adapted and instantly independent stochastic processes H.-H. Kuo, A. Sae-Tang and B. Szozda; 3.1. Introduction. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
3.2. Martingales and near-martingales3.3. Near-martingales and the new integral; 3.4. Instantly independent processes and Ito isometry; 3.5. Ito integral and the new integral; 3.6. Further results; References; 4. Independence of some multiple Poisson stochastic integrals with variable-sign kernels N. Privault; 4.1. Introduction; 4.2. Necessary condition for independence; 4.3. Variable-sign kernels; 4.4. Conditional expectations; References; Differential and Stochastic Games; 5. Strategies for differential games W.H. Fleming and D. Hernandez-Hernandez; 5.1. Introduction. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
5.2. Differential game formulation5.3. Elliott-Kalton strategies; 5.4. Saddle point property; 5.5. Time discretizations; 5.6. Approximately Markov strategies; 5.7. Progressively measurable strategies; 5.8. Max-plus stochastic control; 5.9. Stochastic differential games; References; 6. BSDE approach to non-zero-sum stochastic differential games of control and stopping I. Karatzas and Q. Li; 6.1. Introduction; 6.1.1. Bibliographic notes; 6.1.2. This paper; 6.2. The games of control and stopping; 6.2.1. The duality between Game and BSDE; 6.2.2. Controls observing volatility. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
6.2.3. Rewards terminated by both players6.3. A multi-dimensional reflected BSDE with Lipschitz growth; 6.4. Markovian system with linear growth rate; References; Mathematical Finance; 7. On optimal dividend strategies in insurance with a random time horizon H. Albrecher and S. Thonhauser; 7.1. Introduction and model; 7.2. Exponential time horizon; 7.2.1. Explicit solution in case of exponential claims; 7.3. Erlang time horizon; 7.3.1. State-dependent barrier strategies; 7.3.2. Illustrations; 7.4. Conclusion and outlook; Acknowledgement; References. |
| 500 ## - GENERAL NOTE |
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| General note |
8. Counterparty risk and the impact of collateralization in CDS contracts T.R. Bielecki, I. Cialenco and I. Iyigunler. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas. This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. |
| 590 ## - LOCAL NOTE (RLIN) |
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| Local note |
eBooks on EBSCOhost |
| Provenance (VM) [OBSOLETE] |
EBSCO eBook Subscription Academic Collection - Worldwide |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Portfolio management. |
| 9 (RLIN) |
58109 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Stochastic processes. |
| 9 (RLIN) |
63222 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Actuarial science. |
| 9 (RLIN) |
799911 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Gestion de portefeuille. |
| 9 (RLIN) |
879206 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Processus stochastiques. |
| 9 (RLIN) |
868994 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Actuariat. |
| 9 (RLIN) |
931694 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
MATHEMATICS |
| General subdivision |
Probability & Statistics |
| -- |
Stochastic Processes. |
| Source of heading or term |
bisacsh |
| 9 (RLIN) |
868995 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Actuarial science. |
| Source of heading or term |
fast |
| -- |
(OCoLC)fst01750236 |
| 9 (RLIN) |
799911 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Portfolio management. |
| Source of heading or term |
fast |
| -- |
(OCoLC)fst01072072 |
| 9 (RLIN) |
58109 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Stochastic processes. |
| Source of heading or term |
fast |
| -- |
(OCoLC)fst01133519 |
| 9 (RLIN) |
63222 |
| 655 #0 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic books. |
| 655 #4 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Cohen, Samuel N. |
| 9 (RLIN) |
931695 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Elliott, Robert J. |
| Fuller form of name |
(Robert James), |
| Dates associated with a name |
1940- |
| 9 (RLIN) |
931696 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Display text |
Print version: |
| Main entry heading |
Cohen, Samuel N. |
| Title |
Stochastic Processes, Finance and Control : A Festschrift in Honor of Robert J Elliott. |
| Place, publisher, and date of publication |
Singapore : World Scientific Publishing Company, ©2012 |
| International Standard Book Number |
9789814383301 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
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| Uniform title |
Advances in statistics, probability and actuarial science ; |
| Volume number/sequential designation |
v. 1. |
| 9 (RLIN) |
931697 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=545463">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=545463</a> |
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24879102 |
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