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The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.

Business mathematics. --- Markov processes. --- Options (Finance) -- Mathematical models. --- Options (Finance). --- Stochastic approximation. --- Finance --- Business & Economics --- Investment & Speculation --- Options (Finance) --- Mathematical models. --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Mathematics --- Approximation theory --- Stochastic processes --- Stochastic approximation --- Markov processes --- Business mathematics --- Mathematical models --- E-books --- Analysis, Markov --- Chains, Markov --- Markoff processes --- Markov analysis --- Markov chains --- Markov models --- Models, Markov --- Processes, Markov --- American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm.

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The book is devoted to studies of quasi-stationary phenomena in nonlinearly perturbed stochastic systems. New methods of asymptotic analysis for nonlinearly perturbed stochastic processes based on new types of asymptotic expansions for perturbed renewal equation and recurrence algorithms for construction of asymptotic expansions for Markov type processes with absorption are presented. Asymptotic expansions are given in mixed ergodic (for processes) and large deviation theorems (for absorption times) for nonlinearly perturbed regenerative processes, semi-Markov processes, and Markov chains. Applications to analysis of quasi-stationary phenomena in nonlinearly perturbed queueing systems, population dynamics and epidemic models, and for risk processes are presented. The book also contains an extended bibliography of works in the area. It is an essential reference for theoretical and applied researchers in the field of stochastic processes and their applications and may be also useful for doctoral and advanced undergraduate students.

Quasistationarer Zustand --- Stochastisches System --- Storungstheorie --- Stochastic systems. --- Stochastic processes. --- Random processes --- Systems, Stochastic --- Probabilities --- Stochastic processes --- System analysis --- Markov Chains. --- Nonlinearly Perturbed Regenerative Processes. --- Renewal Equation. --- Semi-Markov Processes.

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English language --- Mathematical statistics --- Russian language --- Dictionaries --- Russian --- English