Rene Carmona's Books

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

By: Rene Carmona

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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

By: Rene Carmona

The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. While optimal control is taught in many graduate programs in applied mathematics and operations research, the author was intrigued by the lack of coverage of the theory of stochastic differential games. This is the first title in SIAM?s Financial Mathematics book series and is based on the author?s lecture notes. It will be helpful to students who are interested in stochastic differential equations (forward, backward, forward-backward); the probabilistic approach to stochastic control (dynamic programming and the stochastic maximum principle); and mean field games and control of McKean?Vlasov dynamics. The theory is illustrated by applications to models of systemic risk, macroeconomic growth, flocking/schooling, crowd behavior, and predatory trading, among others.

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Page Count

263

Publisher

SIAM

Published Date

ISBN 10

1611974232

ISBN 13

9781611974232

Practical Time-Frequency Analysis

Gabor and Wavelet Transforms, with an Implementation in S

By: Rene Carmona,Wen-Liang Hwang,Bruno Torresani

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Practical Time-Frequency Analysis

Gabor and Wavelet Transforms, with an Implementation in S

By: Rene Carmona,Wen-Liang Hwang,Bruno Torresani

Time frequency analysis has been the object of intense research activity in the last decade. This book gives a self-contained account of methods recently introduced to analyze mathematical functions and signals simultaneously in terms of time and frequency variables. The book gives a detailed presentation of the applications of these transforms to signal processing, emphasizing the continuous transforms and their applications to signal analysis problems, including estimation, denoising, detection, and synthesis. To help the reader perform these analyses, Practical Time-Frequency Analysis provides a set of useful tools in the form of a library of S functions, downloadable from the authors' Web sites in the United States and France. - Detailed presentation of the Wavelet and Gabor transforms - Applications to deterministic and random signal theory - Spectral analysis of nonstationary signals and processes - Numerous practical examples ranging from speech analysis to underwater acoustics, earthquake engineering, internet traffic, radar signal denoising, medical data interpretation, etc - Accompanying software and data sets, freely downloadable from the book's Web page

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Page Count

493

Publisher

Academic Press

Published Date

ISBN 10

0080539424

ISBN 13

9780080539423

Arabian Seas 1700 - 1763

By: Rene Barendse

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Arabian Seas 1700 - 1763

By: Rene Barendse

The Western Indian Ocean in the Eighteenth Century is the first of four volumes offering a sweeping panorama of the Arabian Seas during the early modern period. Focusing on the period 1700-1763, the first volume concentrates on daily life in littoral societies, examining long term issues including climatic change, famine, and the structures of fishing communities. The volume examines littoral societies in each of the major coastal areas of the Western Indian Ocean: East Africa, the Red Seas, the Persian Gulf, and its traditional ties to surrounding hinterlands as well as to the west coast of India. While having particular interest to readers concerned with Indian Ocean history, as an absorbing and innovative account of a much neglected albeit critical area and period, Arabian Seas, 1700-1763 will be of great interest to anyone interested in early modern maritime, social, or economic history. Kings, Gangsters, and Companies, volume two of Arabian Seas, 1700-1763 focuses on European relations with the major states and societies of the Western Indian Ocean during the eighteenth century. As such, it traces the major structural changes in African, South Asian, and Middle Eastern societies during this period. Chapters examine European communities and their relations with the societies of the Indian Ocean basin, the daily life of European soldiers and merchants, relations with Indian women, European views on the Indian caste system as well as the governmental systems they encountered. The volume also details the importance of Indian and Persian merchant communities in the Indian Ocean trading system and the impact of war on the economic development of this system during the eighteenth century. Men and Merchandise, the third volume of Arabian Seas, 1700-1763, provides a detailed examination of the economic and social structures in the Western Indian Ocean focusing on key commodities like bullion, textiles, and the slave trade. Readers will also encounter interesting vignettes of daily life: an Indian nautch girl worried about her inheritance, a Portuguese gangster-friar and pariah workers, the infamous buccaneers of Madagascar, coffee-traders from Yemen, Cairo, and the Crimea, and Iraqi and Iranian bankers who all had relevance to this vast economic system. Men and Merchandise provides insights into other traditionally ignored aspects in the traditional historiography including uprisings aboard slave ships, and details of maroon societies involving refugee slaves in India and Mauritius as well as Dutch slave soldiers in the Persian Gulf. As such, it will prove of great interest to any reader concerned with the social and economic history of the Indian Ocean basin. Europe in Asia, the fourth volume and final volume in Arabian Seas, 1700-1763, details the early phase of European territorial empire building in the western Indian Ocean basin. Particular attention is given to the much neglected history of the Portuguese Estado da India and the attempts of the Portuguese Crown to reform its administration and dwindling possessions in the eighteenth century. The volume examines the direct legacies of the longstanding Portuguese imperial presence in the Arabian Seas, including the experiences of Indian Catholic communities as well as the establishment of Indian settlements and communities in East Africa. Finally, the volume provides an exhaustive treatment of the structures and history of the Dutch East India Company (VOC) and English East India Company (EIC), the establishment of the vast private co...

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Page Count

2000

Publisher

BRILL

Published Date

ISBN 10

9047430026

ISBN 13

9789047430025

Practical Time-Frequency Analysis

Gabor and Wavelet Transforms, with an Implementation in S

By: Rene Carmona,Wen-Liang Hwang,Bruno Torresani

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Practical Time-Frequency Analysis

Gabor and Wavelet Transforms, with an Implementation in S

By: Rene Carmona,Wen-Liang Hwang,Bruno Torresani

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Page Count

493

Publisher

Academic Press

Published Date

ISBN 10

0080539424

ISBN 13

9780080539423

Stochastic Partial Differential Equations

Six Perspectives

By: René Carmona

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Stochastic Partial Differential Equations

Six Perspectives

By: René Carmona

The field of Stochastic Partial Differential Equations (SPDEs) is one of the dynamically developing areas of mathematics. It lies at the cross section of probability, partial differential equations, population biology, and mathematical physics. This title emphasizes the genesis and applications of SPDEs as well as mathematical theory.

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Page Count

349

Publisher

Oxford University Press, USA

Published Date

ISBN 10

1470412918

ISBN 13

9781470412913

Book's by Rene Carmona

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

Practical Time-Frequency Analysis

Practical Time-Frequency Analysis

Arabian Seas 1700 - 1763

Arabian Seas 1700 - 1763

Practical Time-Frequency Analysis

Practical Time-Frequency Analysis

Stochastic Partial Differential Equations

Stochastic Partial Differential Equations

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