Large Fluctuations of Stochastic Differential Equations
| Autor: | Appleby, John Lynch, Terry |
|---|---|
| EAN: | 9783843359351 |
| Sachgruppe: | Mathematik |
| Sprache: | Englisch |
| Seitenzahl: | 240 |
| Produktart: | Kartoniert / Broschiert |
| Veröffentlichungsdatum: | 07.10.2010 |
| Untertitel: | Regime Switching and Applications to Simulation and Finance |
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This monograph deals with the asymptotic behaviour, and in particular the largest fluctuations, of various classes of stochastic differential equations (SDEs) and their discretisations. Equations subject to Markovian switching are also studied, allowing the drift and diffusion coefficients to switch randomly according to a Markov jump process. The assumptions are motivated by the large fluctuations experienced by financial markets which are subjected to random regime shifts. Such results are then applied to a variant of the classical Geometric Brownian Motion (GBM) market model. Moreover it is shown that discrete approximations to these equations, using standard and split-step implicit Euler-Maruyama methods, exhibit asymptotic behaviour which is consistent with their continuous-time counterparts.
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