Frontiers In Stochastic Analysis Bsdes Spdes And Their Applications
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Frontiers In Stochastic Analysis Bsdes Spdes And Their Applications
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Author : Samuel N. Cohen
language : en
Publisher: Springer Nature
Release Date : 2019-08-31
Frontiers In Stochastic Analysis Bsdes Spdes And Their Applications written by Samuel N. Cohen and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-31 with Mathematics categories.
This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics. This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.
From Particle Systems To Partial Differential Equations
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Author : Cédric Bernardin
language : en
Publisher: Springer Nature
Release Date : 2021-05-30
From Particle Systems To Partial Differential Equations written by Cédric Bernardin and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-30 with Mathematics categories.
This book includes the joint proceedings of the International Conference on Particle Systems and PDEs VI, VII and VIII. Particle Systems and PDEs VI was held in Nice, France, in November/December 2017, Particle Systems and PDEs VII was held in Palermo, Italy, in November 2018, and Particle Systems and PDEs VIII was held in Lisbon, Portugal, in December 2019. Most of the papers are dealing with mathematical problems motivated by different applications in physics, engineering, economics, chemistry and biology. They illustrate methods and topics in the study of particle systems and PDEs and their relation. The book is recommended to probabilists, analysts and to those mathematicians in general, whose work focuses on topics in mathematical physics, stochastic processes and differential equations, as well as to those physicists who work in statistical mechanics and kinetic theory.
Lectures On Bsdes Stochastic Control And Stochastic Differential Games With Financial Applications
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Author : Rene Carmona
language : en
Publisher: SIAM
Release Date : 2016-02-18
Lectures On Bsdes Stochastic Control And Stochastic Differential Games With Financial Applications written by Rene Carmona and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-18 with Mathematics categories.
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.
Stochastic Analysis And Applications 2014
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Author : Dan Crisan
language : en
Publisher: Springer
Release Date : 2014-12-13
Stochastic Analysis And Applications 2014 written by Dan Crisan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-13 with Mathematics categories.
Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developments. It constitutes the proceedings of the conference on "Stochastic Analysis and Applications" held at the University of Oxford and the Oxford-Man Institute during 23-27 September, 2013. The conference honored the 60th birthday of Professor Terry Lyons FLSW FRSE FRS, Wallis Professor of Mathematics, University of Oxford. Terry Lyons is one of the leaders in the field of stochastic analysis. His introduction of the notion of rough paths has revolutionized the field, both in theory and in practice. Stochastic Analysis is the branch of mathematics that deals with the analysis of dynamical systems affected by noise. It emerged as a core area of mathematics in the late 20th century and has subsequently developed into an important theory with a wide range of powerful and novel tools, and with impressive applications within and beyond mathematics. Many systems are profoundly affected by stochastic fluctuations and it is not surprising that the array of applications of Stochastic Analysis is vast and touches on many aspects of life. The present volume is intended for researchers and Ph.D. students in stochastic analysis and its applications, stochastic optimization and financial mathematics, as well as financial engineers and quantitative analysts.
Infinite Dimensional Stochastic Analysis
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Author : Hui-Hsiung Kuo
language : en
Publisher: World Scientific
Release Date : 2008
Infinite Dimensional Stochastic Analysis written by Hui-Hsiung Kuo and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Science categories.
This volume contains current work at the frontiers of research in infinite dimensional stochastic analysis. It presents a carefully chosen collection of articles by experts to highlight the latest developments in white noise theory, infinite dimensional transforms, quantum probability, stochastic partial differential equations, and applications to mathematical finance. Included in this volume are expository papers which will help increase communication between researchers working in these areas. The tools and techniques presented here will be of great value to research mathematicians, graduate students and applied mathematicians.
Recent Development In Stochastic Dynamics And Stochastic Analysis
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Author : Jinqiao Duan
language : en
Publisher: World Scientific
Release Date : 2010
Recent Development In Stochastic Dynamics And Stochastic Analysis written by Jinqiao Duan and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
Stochastic dynamical systems and stochastic analysis are of great interests not only to mathematicians but also scientists in other areas. Stochastic dynamical systems tools for modeling and simulation are highly demanded in investigating complex phenomena in, for example, environmental and geophysical sciences, materials science, life sciences, physical and chemical sciences, finance and economics. The volume reflects an essentially timely and interesting subject and offers reviews on the recent and new developments in stochastic dynamics and stochastic analysis, and also some possible future research directions. Presenting a dozen chapters of survey papers and research by leading experts in the subject, the volume is written with a wide audience in mind ranging from graduate students, junior researchers to professionals of other specializations who are interested in the subject.
On The Stochastic Frontier Modeling And Analysis
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Author : Pasquale De Marco
language : en
Publisher: Pasquale De Marco
Release Date :
On The Stochastic Frontier Modeling And Analysis written by Pasquale De Marco and has been published by Pasquale De Marco this book supported file pdf, txt, epub, kindle and other format this book has been release on with Mathematics categories.
Embark on an enlightening journey into the world of stochastic systems with "On the Stochastic Frontier: Modeling and Analysis." This comprehensive guide provides a solid foundation for understanding the intricate behavior of random processes and their diverse applications across various disciplines. Delve into the realm of stochastic modeling, where probability and statistics converge to provide powerful tools for analyzing and predicting the behavior of complex systems. Discover the fundamental concepts and methodologies of stochastic processes, including Markov chains, renewal processes, semi-Markov processes, and point processes. Explore their unique characteristics and delve into their underlying mathematical principles. With a strong emphasis on practical applications, this book showcases how stochastic modeling can be used to address real-world challenges in fields such as finance, engineering, operations research, biology, and social sciences. Numerous illustrative examples and case studies bring the theory to life, demonstrating the practical relevance of the presented material. Furthermore, the book ventures into the captivating realm of stochastic differential equations, unveiling their significance in modeling continuous-time phenomena. Learn how to formulate and analyze stochastic differential equations, gaining insights into the dynamics of complex systems exhibiting continuous-time evolution. Written in a reader-friendly style, "On the Stochastic Frontier: Modeling and Analysis" is an invaluable resource for students, researchers, practitioners, and anyone seeking to deepen their understanding of stochastic systems. Its comprehensive coverage, clear explanations, and engaging writing style make it an essential guide for navigating the complexities of random processes and their applications. If you like this book, write a review!
Handbook Of Stochastic Analysis And Applications
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Author : D. Kannan
language : en
Publisher: CRC Press
Release Date : 2001-10-23
Handbook Of Stochastic Analysis And Applications written by D. Kannan and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-10-23 with Mathematics categories.
An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Stochastic Partial Differential Equations Space Time White Noise And Random Fields
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Author : Robert C. Dalang
language : en
Publisher: Springer
Release Date : 2025-10-06
Stochastic Partial Differential Equations Space Time White Noise And Random Fields written by Robert C. Dalang and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-10-06 with Mathematics categories.
This open access book provides a comprehensive introduction to the theory of stochastic partial differential equations (SPDEs). The focus is on SPDEs driven by Gaussian space-time white noise. The book covers both linear and nonlinear SPDEs, with Lipschitz and locally Lipschitz coefficients and multiplicative noise. It provides a modern presentation of the theory of stochastic integration with respect to space-time white noise and unifies many results in the literature. The book discusses fundamental topics such as existence and uniqueness of random field solutions, along with their space-time sample path regularity properties. The book also presents a selection of additional topics such as weak solutions in law to SPDEs, space-time Markov properties, asymptotic bounds on moments, comparison theorems, a study of polarity of points for SPDEs with additive noise, and a study of SPDEs with rough initial conditions that includes the parabolic and hyperbolic Anderson models and their intermittency properties. In the context of the stochastic heat equation, the book discusses additional important topics including invariant and limit measures, reversible measures and their relationship to bridge measures, irreducibility properties, and large interval asymptotics. The appendices gather results from analysis and stochastic processes that are used throughout the core of the book, including key elements from the general theory of stochastic processes, a detailed presentation of Kolmogorov’s anisotropic continuity criterion, numerous integrability properties of the fundamental solutions and Green's functions associated to the heat and wave partial differential operators, explicit calculations of some space-time convolution series and some useful Gronwall-type lemmas. The book aims to be a reference for established researchers in the field of SPDEs, as well as for those who are interested in entering the field and becoming familiar with its techniques. In particular, graduate and postgraduate students with a background in stochastic analysis will find here a comprehensive and self-contained source of information which provides essential expertise in the subject.
Research In Stochastic Analysis And Its Applications
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Author :
language : en
Publisher:
Release Date : 1991
Research In Stochastic Analysis And Its Applications written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Research was conducted and directed in the area of stochastic analysis and its applications in engineering, neurophysiology and oceanography by the principal investigators, S. Cambanis, G. Kallianpur and M.R. Leadbetter and their associates. A list of the main areas of research activity is as follows: Infinite dimensional stochastic differential equations, stochastic partial differential equations, nonlinear filtering, random fields, point processes and random measures, exchangeable processes, nonstationary processes, Gaussian and non-Gaussian processes, wavelet approximation of random signals, sampling designs for time series, random measures associated with high levels, limit theorems for random measures, parameter estimation under dependence.