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Simulations of Hamilton-Jacobi Equation with Application on Finance

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description
 

The Hamilton-Jacobi equation arises in a variety of applications such as optimal control, game theory, geometric optics, front propagation and finance. The Hamilton-Jacobi equation is also one of the formulation of classical mechanics in which the motion of a particle can be represented as a wave. This book involves the theoretical aspects of the Hamilton-Jacobi equation and its associated system of conservation law with their numerical simulation. First, the existence and uniqueness of the solution of conservation law is considered in weak sense. This idea is used to relate the existence and uniqueness for the Hamilton-Jacobi equations as it is a particular case of conservation law. The classical numerical schemes and their properties are introduced for the purpose of numerical experiments. An application of this in finance through Black-Scholes equation is considered.

Product Specifications
SKU :COC67744
AuthorPratibhamoy Das
LanguageEnglish
BindingPaperback
Number of Pages64
Publishing Year2013-03-02T00:00:00.000
ISBN9783659358357
Edition1 st
Book TypeMathematics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00
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