Random Dynamical Systems In Finance
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Author |
: Anatoliy Swishchuk |
Publisher |
: CRC Press |
Total Pages |
: 354 |
Release |
: 2016-04-19 |
ISBN-10 |
: 9781439867198 |
ISBN-13 |
: 1439867194 |
Rating |
: 4/5 (98 Downloads) |
Synopsis Random Dynamical Systems in Finance by : Anatoliy Swishchuk
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
Author |
: Rabi Bhattacharya |
Publisher |
: Cambridge University Press |
Total Pages |
: 5 |
Release |
: 2007-01-08 |
ISBN-10 |
: 9781139461627 |
ISBN-13 |
: 1139461621 |
Rating |
: 4/5 (27 Downloads) |
Synopsis Random Dynamical Systems by : Rabi Bhattacharya
This treatment provides an exposition of discrete time dynamic processes evolving over an infinite horizon. Chapter 1 reviews some mathematical results from the theory of deterministic dynamical systems, with particular emphasis on applications to economics. The theory of irreducible Markov processes, especially Markov chains, is surveyed in Chapter 2. Equilibrium and long run stability of a dynamical system in which the law of motion is subject to random perturbations is the central theme of Chapters 3-5. A unified account of relatively recent results, exploiting splitting and contractions, that have found applications in many contexts is presented in detail. Chapter 6 explains how a random dynamical system may emerge from a class of dynamic programming problems. With examples and exercises, readers are guided from basic theory to the frontier of applied mathematical research.
Author |
: Nguyen Dinh Cong |
Publisher |
: Oxford University Press |
Total Pages |
: 216 |
Release |
: 1997 |
ISBN-10 |
: 0198501579 |
ISBN-13 |
: 9780198501572 |
Rating |
: 4/5 (79 Downloads) |
Synopsis Topological Dynamics of Random Dynamical Systems by : Nguyen Dinh Cong
This book is the first systematic treatment of the theory of topological dynamics of random dynamical systems. A relatively new field, the theory of random dynamical systems unites and develops the classical deterministic theory of dynamical systems and probability theory, finding numerous applications in disciplines ranging from physics and biology to engineering, finance and economics. This book presents in detail the solutions to the most fundamental problems of topological dynamics: linearization of nonlinear smooth systems, classification, and structural stability of linear hyperbolic systems. Employing the tools and methods of algebraic ergodic theory, the theory presented in the book has surprisingly beautiful results showing the richness of random dynamical systems as well as giving a gentle generalization of the classical deterministic theory.
Author |
: Cisem Bektur |
Publisher |
: |
Total Pages |
: |
Release |
: 2012 |
ISBN-10 |
: OCLC:827259614 |
ISBN-13 |
: |
Rating |
: 4/5 (14 Downloads) |
Synopsis Random Dynamics in Financial Markets by : Cisem Bektur
We study evolutionary models of financial markets. In particular, we study an evolutionary market model with short-lived assets and an evolutionary model with long-lived assets. In the long-lived asset market, investors are allowed to use general dynamic investment strategies. We find sufficient conditions for the Kelly portfolio rule to dominate the market exponentially fast. Moreover, when investors use simple strategies but have incorrect beliefs, we show that the strategy which is "closer" to the Kelly rule cannot be driven out of the market. This means that this strategy will either dominate or at least survive, i.e., the relative market share does not converge to zero. In the market with short-lived assets, we study the dynamics when the states of the world are not identically distributed. This marks the first attempt to study the dynamics of the market when the probability of success changes according to the relative shares of investors. In this problem, we first study a skew product of the random dynamical system associates with the market dynamics. In particular, we compute the Lyapunov exponents of the skew product. This enables us to produce a "surviving" investment strategy, i.e., the investor who follows this rule will dominate the market or at least survive. All the mathematical tools in the thesis lie within the framework of random dynamical systems.
Author |
: Klaus Reiner Schenk-Hoppé |
Publisher |
: |
Total Pages |
: 0 |
Release |
: 2000 |
ISBN-10 |
: OCLC:85276394 |
ISBN-13 |
: |
Rating |
: 4/5 (94 Downloads) |
Synopsis Random Dynamical Systems in Economics by : Klaus Reiner Schenk-Hoppé
Author |
: Nader Jalili |
Publisher |
: Cambridge University Press |
Total Pages |
: 948 |
Release |
: 2023-05-31 |
ISBN-10 |
: 9781108912921 |
ISBN-13 |
: 1108912923 |
Rating |
: 4/5 (21 Downloads) |
Synopsis Dynamic Systems and Control Engineering by : Nader Jalili
Using a step-by-step approach, this textbook provides a modern treatment of the fundamental concepts, analytical techniques, and software tools used to perform multi-domain modeling, system analysis and simulation, linear control system design and implementation, and advanced control engineering. Chapters follow a progressive structure, which builds from modeling fundamentals to analysis and advanced control while showing the interconnections between topics, and solved problems and examples are included throughout. Students can easily recall key topics and test understanding using Review Note and Concept Quiz boxes, and over 200 end-of-chapter homework exercises with accompanying Concept Keys are included. Focusing on practical understanding, students will gain hands-on experience of many modern MATLAB® tools, including Simulink® and physical modeling in SimscapeTM. With a solutions manual, MATLAB® code, and Simulink®/SimscapeTM files available online, this is ideal for senior undergraduates taking courses on modeling, analysis and control of dynamic systems, as well as graduates studying control engineering.
Author |
: Ludwig Arnold |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 590 |
Release |
: 2013-04-17 |
ISBN-10 |
: 9783662128787 |
ISBN-13 |
: 3662128780 |
Rating |
: 4/5 (87 Downloads) |
Synopsis Random Dynamical Systems by : Ludwig Arnold
The first systematic presentation of the theory of dynamical systems under the influence of randomness, this book includes products of random mappings as well as random and stochastic differential equations. The basic multiplicative ergodic theorem is presented, providing a random substitute for linear algebra. On its basis, many applications are detailed. Numerous instructive examples are treated analytically or numerically.
Author |
: Thorsten Hens |
Publisher |
: Elsevier |
Total Pages |
: 607 |
Release |
: 2009-06-12 |
ISBN-10 |
: 9780080921433 |
ISBN-13 |
: 0080921434 |
Rating |
: 4/5 (33 Downloads) |
Synopsis Handbook of Financial Markets: Dynamics and Evolution by : Thorsten Hens
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Author |
: Stephen Lynch |
Publisher |
: Birkhäuser |
Total Pages |
: 590 |
Release |
: 2017-10-12 |
ISBN-10 |
: 9783319614854 |
ISBN-13 |
: 3319614851 |
Rating |
: 4/5 (54 Downloads) |
Synopsis Dynamical Systems with Applications Using Mathematica® by : Stephen Lynch
This book provides an introduction to the theory of dynamical systems with the aid of the Mathematica® computer algebra package. The book has a very hands-on approach and takes the reader from basic theory to recently published research material. Emphasized throughout are numerous applications to biology, chemical kinetics, economics, electronics, epidemiology, nonlinear optics, mechanics, population dynamics, and neural networks. Theorems and proofs are kept to a minimum. The first section deals with continuous systems using ordinary differential equations, while the second part is devoted to the study of discrete dynamical systems.
Author |
: Allanus Hak-Man Tsoi |
Publisher |
: World Scientific |
Total Pages |
: 274 |
Release |
: 2011 |
ISBN-10 |
: 9789814355704 |
ISBN-13 |
: 9814355704 |
Rating |
: 4/5 (04 Downloads) |
Synopsis Stochastic Analysis, Stochastic Systems, and Applications to Finance by : Allanus Hak-Man Tsoi
This book introduces some advanced topics in probability theories ? both pure and applied ? is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.