Beyond The Triangle Brownian Motion Ito Calculus And Fokker Planck Equation Fractional Generalizations
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Beyond The Triangle Brownian Motion Ito Calculus And Fokker Planck Equation Fractional Generalizations
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Author : Sabir Umarov
language : en
Publisher: World Scientific
Release Date : 2018-02-13
Beyond The Triangle Brownian Motion Ito Calculus And Fokker Planck Equation Fractional Generalizations written by Sabir Umarov and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-13 with Mathematics categories.
The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker-Planck-Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process; the Fokker-Planck-Kolmogorov equation involves time-fractional order derivatives and spatial pseudo-differential operators; and the associated stochastic differential equation describes the stochastic behavior of the solution process. It contains recent results obtained in this direction.This book is important since the latest developments in the field, including the role of driving processes and their scaling limits, the forms of corresponding stochastic differential equations, and associated FPK equations, are systematically presented. Examples and important applications to various scientific, engineering, and economics problems make the book attractive for all interested researchers, educators, and graduate students.
Beyond The Triangle
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Author : Sabir Umarov
language : en
Publisher:
Release Date : 2017
Beyond The Triangle written by Sabir Umarov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with MATHEMATICS categories.
Basic Theory
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Author : Anatoly Kochubei
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2019-02-19
Basic Theory written by Anatoly Kochubei and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-19 with Mathematics categories.
This multi-volume handbook is the most up-to-date and comprehensive reference work in the field of fractional calculus and its numerous applications. This first volume collects authoritative chapters covering the mathematical theory of fractional calculus, including fractional-order operators, integral transforms and equations, special functions, calculus of variations, and probabilistic and other aspects.
Semigroups Of Operators Theory And Applications
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Author : Jacek Banasiak
language : en
Publisher: Springer Nature
Release Date : 2020-06-12
Semigroups Of Operators Theory And Applications written by Jacek Banasiak and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-12 with Mathematics categories.
This book features selected and peer-reviewed lectures presented at the 3rd Semigroups of Operators: Theory and Applications Conference, held in Kazimierz Dolny, Poland, in October 2018 to mark the 85th birthday of Jan Kisyński. Held every five years, the conference offers a forum for mathematicians using semigroup theory to discover what is happening outside their particular field of research and helps establish new links between various sub-disciplines of semigroup theory, stochastic processes, differential equations and the applied fields. The book is intended for researchers, postgraduate and senior students working in operator theory, partial differential equations, probability and stochastic processes, analytical methods in biology and other natural sciences, optimisation and optimal control. The theory of semigroups of operators is a well-developed branch of functional analysis. Its foundations were laid at the beginning of the 20th century, while Hille and Yosida’s fundamental generation theorem dates back to the forties. The theory was originally designed as a universal language for partial differential equations and stochastic processes but, at the same time, it started to become an independent branch of operator theory. Today, it still has the same distinctive character: it develops rapidly by posing new ‘internal’ questions and, in answering them, discovering new methods that can be used in applications. On the other hand, it is being influenced by questions from PDE’s and stochastic processes as well as from applied sciences such as mathematical biology and optimal control and, as a result, it continually gathers new momentum. However, many results, both from semigroup theory itself and the applied sciences, are phrased in discipline-specific languages and are hardly known to the broader community.
Mean Field Guided Machine Learning
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Author : Yuhan Kang
language : en
Publisher: Springer Nature
Release Date : 2025-07-08
Mean Field Guided Machine Learning written by Yuhan Kang and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-07-08 with Mathematics categories.
This book explores the integration of Mean Field Game (MFG) theory with machine learning (ML), presenting both theoretical foundations and practical applications. Drawing from extensive research, it provides insights into how MFG can improve various ML techniques, including supervised learning, reinforcement learning, and federated learning. MFG theory and ML are converging to address critical challenges in high-dimensional spaces and multi-agent systems. While ML has transformed industries by leveraging vast data and computational power, scalability and robustness remain key concerns. MFG theory, which models large populations of interacting agents, offers a mathematical framework to simplify and optimize complex systems, enhancing ML’s efficiency and applicability. By bridging these two fields, this book aims to drive innovation in scalable and robust machine learning. The integration of MFG with ML not only expands research possibilities but also paves the way for more adaptive and intelligent systems. Through this work, the authors hope to inspire further exploration and development in this promising interdisciplinary domain. With case studies and real-world examples, this book serves as a guide for researchers and students in communications and networks seeking to harness MFG’s potential in advancing ML. Industry managers, practitioners and government research workers in the fields of communications and networks will find this book a valuable resource as well.
Mathematical Foundations Of Nonextensive Statistical Mechanics
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Author : Sabir Umarov
language : en
Publisher: World Scientific
Release Date : 2022-03-03
Mathematical Foundations Of Nonextensive Statistical Mechanics written by Sabir Umarov and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-03 with Science categories.
The book is devoted to the mathematical foundations of nonextensive statistical mechanics. This is the first book containing the systematic presentation of the mathematical theory and concepts related to nonextensive statistical mechanics, a current generalization of Boltzmann-Gibbs statistical mechanics introduced in 1988 by one of the authors and based on a nonadditive entropic functional extending the usual Boltzmann-Gibbs-von Neumann-Shannon entropy. Main mathematical tools like the q-exponential function, q-Gaussian distribution, q-Fourier transform, q-central limit theorems, and other related objects are discussed rigorously with detailed mathematical rational. The book also contains recent results obtained in this direction and challenging open problems. Each chapter is accompanied with additional useful notes including the history of development and related bibliographies for further reading.
Introduction To Stochastic Calculus With Applications
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Author : Fima C. Klebaner
language : en
Publisher: Imperial College Press
Release Date : 2005
Introduction To Stochastic Calculus With Applications written by Fima C. Klebaner and has been published by Imperial College Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Mathematics categories.
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Applied Stochastic Differential Equations
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Author : Simo Särkkä
language : en
Publisher: Cambridge University Press
Release Date : 2019-05-02
Applied Stochastic Differential Equations written by Simo Särkkä and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-02 with Business & Economics categories.
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Finite Difference Methods In Financial Engineering
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Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2013-10-28
Finite Difference Methods In Financial Engineering written by Daniel J. Duffy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-28 with Business & Economics categories.
The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.
An Introduction To Stochastic Processes In Physics
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Author : Don S. Lemons
language : en
Publisher: JHU Press
Release Date : 2002-06-21
An Introduction To Stochastic Processes In Physics written by Don S. Lemons and has been published by JHU Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-06-21 with Mathematics categories.
This book provides an accessible introduction to stochastic processes in physics and describes the basic mathematical tools of the trade: probability, random walks, and Wiener and Ornstein-Uhlenbeck processes. It includes end-of-chapter problems and emphasizes applications. An Introduction to Stochastic Processes in Physics builds directly upon early-twentieth-century explanations of the "peculiar character in the motions of the particles of pollen in water" as described, in the early nineteenth century, by the biologist Robert Brown. Lemons has adopted Paul Langevin's 1908 approach of applying Newton's second law to a "Brownian particle on which the total force included a random component" to explain Brownian motion. This method builds on Newtonian dynamics and provides an accessible explanation to anyone approaching the subject for the first time. Students will find this book a useful aid to learning the unfamiliar mathematical aspects of stochastic processes while applying them to physical processes that he or she has already encountered.