Degenerate Diffusions
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Degenerate Diffusions
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Author : Panagiota Daskalopoulos
language : en
Publisher: European Mathematical Society
Release Date : 2007
Degenerate Diffusions written by Panagiota Daskalopoulos and has been published by European Mathematical Society this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Mathematics categories.
The book deals with the existence, uniqueness, regularity, and asymptotic behavior of solutions to the initial value problem (Cauchy problem) and the initial-Dirichlet problem for a class of degenerate diffusions modeled on the porous medium type equation $u_t = \Delta u^m$, $m \geq 0$, $u \geq 0$. Such models arise in plasma physics, diffusion through porous media, thin liquid film dynamics, as well as in geometric flows such as the Ricci flow on surfaces and the Yamabe flow. The approach presented to these problems uses local regularity estimates and Harnack type inequalities, which yield compactness for families of solutions. The theory is quite complete in the slow diffusion case ($ m>1$) and in the supercritical fast diffusion case ($m_c
Degenerate Diffusions
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Author : Wei-Ming Ni
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Degenerate Diffusions written by Wei-Ming Ni and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This IMA Volume in Mathematics and its Applications DEGENERATE DIFFUSIONS is based on the proceedings of a workshop which was an integral part of the 1990- 91 IMA program on "Phase Transitions and Free Boundaries". The aim of this workshop was to provide some focus in the study of degenerate diffusion equations, and by involving scientists and engineers as well as mathematicians, to keep this focus firmly linked to concrete problems. We thank Wei-Ming Ni, L.A. Peletier and J.L. Vazquez for organizing the meet ing. We especially thank Wei-Ming Ni for editing the proceedings. We also take this opportunity to thank those agencies whose financial support made the workshop possible: the Army Research Office, the National Science Foun dation, and the Office of Naval Research. A vner Friedman Willard Miller, Jr. PREFACE This volume is the proceedings of the IMA workshop "Degenerate Diffusions" held at the University of Minnesota from May 13 to May 18, 1991.
Semiclassical Analysis For Diffusions And Stochastic Processes
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Author : Vassili N. Kolokoltsov
language : en
Publisher: Springer
Release Date : 2007-12-03
Semiclassical Analysis For Diffusions And Stochastic Processes written by Vassili N. Kolokoltsov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-03 with Mathematics categories.
The monograph is devoted mainly to the analytical study of the differential, pseudo-differential and stochastic evolution equations describing the transition probabilities of various Markov processes. These include (i) diffusions (in particular,degenerate diffusions), (ii) more general jump-diffusions, especially stable jump-diffusions driven by stable Lévy processes, (iii) complex stochastic Schrödinger equations which correspond to models of quantum open systems. The main results of the book concern the existence, two-sided estimates, path integral representation, and small time and semiclassical asymptotics for the Green functions (or fundamental solutions) of these equations, which represent the transition probability densities of the corresponding random process. The boundary value problem for Hamiltonian systems and some spectral asymptotics ar also discussed. Readers should have an elementary knowledge of probability, complex and functional analysis, and calculus.
On The Geometry Of Diffusion Operators And Stochastic Flows
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Author : K.D. Elworthy
language : en
Publisher: Springer
Release Date : 2007-01-05
On The Geometry Of Diffusion Operators And Stochastic Flows written by K.D. Elworthy and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-05 with Mathematics categories.
Stochastic differential equations, and Hoermander form representations of diffusion operators, can determine a linear connection associated to the underlying (sub)-Riemannian structure. This is systematically described, together with its invariants, and then exploited to discuss qualitative properties of stochastic flows, and analysis on path spaces of compact manifolds with diffusion measures. This should be useful to stochastic analysts, especially those with interests in stochastic flows, infinite dimensional analysis, or geometric analysis, and also to researchers in sub-Riemannian geometry. A basic background in differential geometry is assumed, but the construction of the connections is very direct and itself gives an intuitive and concrete introduction. Knowledge of stochastic analysis is also assumed for later chapters.
Stochastic Differential Equations And Diffusion Processes
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Author : N. Ikeda
language : en
Publisher: Elsevier
Release Date : 2014-06-28
Stochastic Differential Equations And Diffusion Processes written by N. Ikeda and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-28 with Mathematics categories.
Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sections discussing complex (conformal) martingales and Kahler diffusions have been added.
Optimal Consumption And Investment With Bankruptcy
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Author : Suresh P. Sethi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Optimal Consumption And Investment With Bankruptcy written by Suresh P. Sethi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
This book presents papers on continuous-time consumption investment models by Suresh Sethi and various co-authors. Sir Isaac Newton said that he saw so far because he stood on the shoulders of gi ants. Giants upon whose shoulders Professor Sethi and colleagues stand are Robert Merton, particularly Merton's (1969, 1971, 1973) seminal papers, and Paul Samuelson, particularly Samuelson (1969). Karatzas, Lehoczky, Sethi and Shreve (1986), henceforth KLSS, re produced here as Chapter 2, reexamine the model proposed by Mer ton. KLSS use methods of modern mathematical analysis, taking care to prove the existence of integrals, check the existence and (where appro priate) the uniqueness of solutions to equations, etc. KLSS find that un der some conditions Merton's solution is correct; under others, it is not. In particular, Merton's solution for aHARA utility-of-consumption is correct for some parameter values and not for others. The problem with Merton's solution is that it sometimes violates the constraints against negative wealth and negative consumption stated in Merton (1969) and presumably applicable in Merton (1971 and 1973). This not only affects the solution at the zero-wealth, zero-consumption boundaries, but else where as well. Problems with Merton's solution are analyzed in Sethi and Taksar (1992), reproduced here as Chapter 3.
Relative Optimization Of Continuous Time And Continuous State Stochastic Systems
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Author : Xi-Ren Cao
language : en
Publisher: Springer Nature
Release Date : 2020-05-13
Relative Optimization Of Continuous Time And Continuous State Stochastic Systems written by Xi-Ren Cao and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-05-13 with Technology & Engineering categories.
This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following distinguishing features: long-run average with no under-selectivity, non-smooth value functions with no viscosity solutions, diffusion processes with degenerate points, multi-class optimization with state classification, and optimization with no dynamic programming. The book begins with an introduction to relative optimization, including a comparison with the traditional approach of dynamic programming. The text then studies the Markov process, focusing on infinite-horizon optimization problems, and moves on to discuss optimal control of diffusion processes with semi-smooth value functions and degenerate points, and optimization of multi-dimensional diffusion processes. The book concludes with a brief overview of performance derivative-based optimization. Among the more important novel considerations presented are: the extension of the Hamilton–Jacobi–Bellman optimality condition from smooth to semi-smooth value functions by derivation of explicit optimality conditions at semi-smooth points and application of this result to degenerate and reflected processes; proof of semi-smoothness of the value function at degenerate points; attention to the under-selectivity issue for the long-run average and bias optimality; discussion of state classification for time nonhomogeneous continuous processes and multi-class optimization; and development of the multi-dimensional Tanaka formula for semi-smooth functions and application of this formula to stochastic control of multi-dimensional systems with degenerate points. The book will be of interest to researchers and students in the field of stochastic control and performance optimization alike.
Stochastic Analysis
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Author : Paul Malliavin
language : en
Publisher: Springer
Release Date : 2015-06-12
Stochastic Analysis written by Paul Malliavin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-12 with Mathematics categories.
This book accounts in 5 independent parts, recent main developments of Stochastic Analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.
Ergodicity Stabilization And Singular Perturbations For Bellman Isaacs Equations
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Author : Olivier Alvarez
language : en
Publisher: American Mathematical Soc.
Release Date : 2010
Ergodicity Stabilization And Singular Perturbations For Bellman Isaacs Equations written by Olivier Alvarez and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
"Volume 204, number 960 (fourth of 5 numbers)."
Stochastic Geometric Mechanics
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Author : Sergio Albeverio
language : en
Publisher: Springer
Release Date : 2017-11-17
Stochastic Geometric Mechanics written by Sergio Albeverio and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-17 with Mathematics categories.
Collecting together contributed lectures and mini-courses, this book details the research presented in a special semester titled “Geometric mechanics – variational and stochastic methods” run in the first half of 2015 at the Centre Interfacultaire Bernoulli (CIB) of the Ecole Polytechnique Fédérale de Lausanne. The aim of the semester was to develop a common language needed to handle the wide variety of problems and phenomena occurring in stochastic geometric mechanics. It gathered mathematicians and scientists from several different areas of mathematics (from analysis, probability, numerical analysis and statistics, to algebra, geometry, topology, representation theory, and dynamical systems theory) and also areas of mathematical physics, control theory, robotics, and the life sciences, with the aim of developing the new research area in a concentrated joint effort, both from the theoretical and applied points of view. The lectures were given by leading specialists in different areas of mathematics and its applications, building bridges among the various communities involved and working jointly on developing the envisaged new interdisciplinary subject of stochastic geometric mechanics.