Language: English
ISBN/ISSN: 9787030201935
Published on: 2007-01
Hardcover
【Main Contents】
Part 1 Stochastic Differential Equations
Existence and Uniqueness of the Solutions of Stochastic Differential Equations
Rangquan Wu, Xuerong Mao
Stochastic Differential Delay Equations and Their Applications
Xuerong Mao
Tanaka Formula for a Gaussian Process
Yunsheng Lu, Litan Yan
A New Proof forComparison Theorems for Stochastic Differential Inequalities with Respect to Semimartingales
Xiaodong Ding, Rangquan Wu
The Solutions of Linear Fuzzy Stochastic Differential Systems
Yuhu Feng
Monotone Iterative Technique for Duffie Epstein Type Backward Stochastic Differential Equations
Xiaojun Sun, Yue Wu
Part 2 Stochastic Analysis in Finance
Risk Measures and g-expectations
Zengjing Chen, Kun He
Choquet Expectation and Peng’s g-Expectation
Zengjing Chen, Tao Chen Matt Davison
Discrete Time Mean-variance Analysis with Singular Second Moment Matrixes and an Exogenous Liability
Wencai Chen, Zhongxing Ye
Portfolio Generating Functions in a Market Model With Discontinuous Price
Jun Ye, Yunhao Chu
Optimal Consumption and Portfolio Choice with Ambiguity and Anticipation
Weiyin Fei
Mean-variance Portfolio Selections in Continuous-time Model: The Backward Stochastic Differential Equation Framework
Zijun Guo
Part 3 Stochastic Modelling and Control
Stochastic Jumping Time-Delay Systems with Sensor Nonlinearities: H∞ Controller Design
Zidong Wang, Guoliang Wei, Huisheng Shu
H∞ Analysis of Nonlinear Stochastic Time-Delay Systems
Huisheng Shu, Guoliang Wei
Stability Analysis and Control Design of Stochastic Fuzzy Systems
Liangjian Hu, Bor-Sen Chen
Stochastic Uncertain Time-Delay Systems with Sector-Bounded Nonlinearities: H∞ Filter Design
Zidong Wang, Yurong Liu, Xiaohui Liu
Identification of a Class of MIMO Nonlinear Continuous-Time System Using Driving Signal
Xiping Sun, Yongji Wang
Mathematical Models of Macromolecular Conformations and Their Application
Rangquan Wu, Zhengdi Cheng, Chengxun Wu
Graduate Students of Professor Rangquan Wu
