Keywords:
Systems theory
;
Distribution (Probability theory
;
Environmental economics
;
Mathematics
;
Differential equations, partial
;
Mathematical optimization
;
Systems Theory, Control
;
Probability Theory and Stochastic Processes
;
Environmental Economics
;
Game Theory, Economics, Social and Behav. Sciences
;
Partial Differential Equations
;
Calculus of Variations and Optimal Control; Optimization
Description / Table of Contents:
Some recent developments in ambit stochastics --- Functional and Banach space stochastic calculi. Path-dependent Kolmogorov equations associated with the frame of a Brownian motion --- Nonlinear Young integrals via fractional calculus --- A weak limit theorem for numerical approximation of Brownian semi-stationary processes --- Non-elliptic SPDEs and ambit fields: existence of densities --- Dynamic risk measures and path-dependent second order PDEs --- Pricing CoCos with a market trigger --- Quantification of model risk in quadratic hedging in finance --- Risk-sensitive mean-field type control under partial observation --- Risk aversion in modeling of cap-and-trade mechanism and optimal design of emission markets --- Exponential ergodicity of the jump-diffusion CIR process --- Optimal control of predictive mean-field equations and applications to finance --- Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes --- Pricing options on EU ETS certificates with a time-varying market price of risk model
Pages:
Online-Ressource (VIII, 360 pages)
ISBN:
9783319234250
URL:
https://link.springer.com/openurl?genre=book&isbn=978-3-319-23425-0
Language:
English
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