Multidimensional Diffusion Processes
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Multidimensional Diffusion Processes
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Author : Daniel W. Stroock
language : en
Publisher: Springer Science & Business Media
Release Date : 1997-06-19
Multidimensional Diffusion Processes written by Daniel W. Stroock 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 1997-06-19 with Mathematics categories.
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik
Applied Diffusion Processes From Engineering To Finance
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Author : Jacques Janssen
language : en
Publisher: John Wiley & Sons
Release Date : 2013-04-08
Applied Diffusion Processes From Engineering To Finance written by Jacques Janssen 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 2013-04-08 with Mathematics categories.
The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors point out the strict inter-relations that exist among the diffusion models used in engineering, finance and insurance. In each of the three fields, the basic diffusion models are presented and their strong similarities are discussed. Analytical, numerical and Monte Carlo simulation methods are explained with a view to applying them to obtain the solutions to the different problems presented in the book. Advanced topics such as nonlinear problems, Lévy processes and semi-Markov models in interactions with the diffusion models are discussed, as well as possible future interactions among engineering, finance and insurance. Contents 1. Diffusion Phenomena and Models. 2. Probabilistic Models of Diffusion Processes. 3. Solving Partial Differential Equations of Second Order. 4. Problems in Finance. 5. Basic PDE in Finance. 6. Exotic and American Options Pricing Theory. 7. Hitting Times for Diffusion Processes and Stochastic Models in Insurance. 8. Numerical Methods. 9. Advanced Topics in Engineering: Nonlinear Models. 10. Lévy Processes. 11. Advanced Topics in Insurance: Copula Models and VaR Techniques. 12. Advanced Topics in Finance: Semi-Markov Models. 13. Monte Carlo Semi-Markov Simulation Methods.
Functional Analytic Techniques For Diffusion Processes
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Author : Kazuaki Taira
language : en
Publisher: Springer Nature
Release Date : 2022-05-28
Functional Analytic Techniques For Diffusion Processes written by Kazuaki Taira and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-28 with Mathematics categories.
This book is an easy-to-read reference providing a link between functional analysis and diffusion processes. More precisely, the book takes readers to a mathematical crossroads of functional analysis (macroscopic approach), partial differential equations (mesoscopic approach), and probability (microscopic approach) via the mathematics needed for the hard parts of diffusion processes. This work brings these three fields of analysis together and provides a profound stochastic insight (microscopic approach) into the study of elliptic boundary value problems. The author does a massive study of diffusion processes from a broad perspective and explains mathematical matters in a more easily readable way than one usually would find. The book is amply illustrated; 14 tables and 141 figures are provided with appropriate captions in such a fashion that readers can easily understand powerful techniques of functional analysis for the study of diffusion processes in probability. The scope of the author’s work has been and continues to be powerful methods of functional analysis for future research of elliptic boundary value problems and Markov processes via semigroups. A broad spectrum of readers can appreciate easily and effectively the stochastic intuition that this book conveys. Furthermore, the book will serve as a sound basis both for researchers and for graduate students in pure and applied mathematics who are interested in a modern version of the classical potential theory and Markov processes. For advanced undergraduates working in functional analysis, partial differential equations, and probability, it provides an effective opening to these three interrelated fields of analysis. Beginning graduate students and mathematicians in the field looking for a coherent overview will find the book to be a helpful beginning. This work will be a major influence in a very broad field of study for a long time.
Semigroups Boundary Value Problems And Markov Processes
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Author : Kazuaki Taira
language : en
Publisher: Springer
Release Date : 2014-08-07
Semigroups Boundary Value Problems And Markov Processes written by Kazuaki Taira and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-07 with Mathematics categories.
A careful and accessible exposition of functional analytic methods in stochastic analysis is provided in this book. It focuses on the interrelationship between three subjects in analysis: Markov processes, semi groups and elliptic boundary value problems. The author studies a general class of elliptic boundary value problems for second-order, Waldenfels integro-differential operators in partial differential equations and proves that this class of elliptic boundary value problems provides a general class of Feller semigroups in functional analysis. As an application, the author constructs a general class of Markov processes in probability in which a Markovian particle moves both by jumps and continuously in the state space until it 'dies' at the time when it reaches the set where the particle is definitely absorbed. Augmenting the 1st edition published in 2004, this edition includes four new chapters and eight re-worked and expanded chapters. It is amply illustrated and all chapters are rounded off with Notes and Comments where bibliographical references are primarily discussed. Thanks to the kind feedback from many readers, some errors in the first edition have been corrected. In order to keep the book up-to-date, new references have been added to the bibliography. Researchers and graduate students interested in PDEs, functional analysis and probability will find this volume useful.
Encyclopedic Dictionary Of Mathematics
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Author : Nihon Sūgakkai
language : en
Publisher: MIT Press
Release Date : 1993
Encyclopedic Dictionary Of Mathematics written by Nihon Sūgakkai and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Mathematics categories.
V.1. A.N. v.2. O.Z. Apendices and indexes.
Stochastic Processes Theory And Methods
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Author : D N Shanbhag
language : en
Publisher: Gulf Professional Publishing
Release Date : 2001
Stochastic Processes Theory And Methods written by D N Shanbhag and has been published by Gulf Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.
This volume in the series contains chapters on areas such as pareto processes, branching processes, inference in stochastic processes, Poisson approximation, Levy processes, and iterated random maps and some classes of Markov processes. Other chapters cover random walk and fluctuation theory, a semigroup representation and asymptomatic behavior of certain statistics of the Fisher-Wright-Moran coalescent, continuous-time ARMA processes, record sequence and their applications, stochastic networks with product form equilibrium, and stochastic processes in insurance and finance. Other subjects include renewal theory, stochastic processes in reliability, supports of stochastic processes of multiplicity one, Markov chains, diffusion processes, and Ito's stochastic calculus and its applications. c. Book News Inc.
Basic Stochastic Processes
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Author : Pierre Devolder
language : en
Publisher: John Wiley & Sons
Release Date : 2015-08-05
Basic Stochastic Processes written by Pierre Devolder 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 2015-08-05 with Mathematics categories.
This book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fair pricing play a central role and will be presented. The authors also present basic concepts so that this series is relatively self-contained for the main audience formed by actuaries and particularly with ERM (enterprise risk management) certificates, insurance risk managers, students in Master in mathematics or economics and people involved in Solvency II for insurance companies and in Basel II and III for banks.
Diffusion Processes And Partial Differential Equations
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Author : Kazuaki Taira
language : en
Publisher:
Release Date : 1988
Diffusion Processes And Partial Differential Equations written by Kazuaki Taira and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Mathematics categories.
This book provides a careful and accessible exposition of functional analytic methods in stochastic analysis. It focuses on the relationship between Markov processes and elliptic boundary value problems and explores several recent developments in the theory of partial differential equations which have made further progress in the study of Markov processes possible. This book will have great appeal to both advanced students and researchers as an introduction to three interrelated subjects in analysis (Markov processes, semigroups, and elliptic boundary value problems), providing powerful methods for future research.
Stochastic Processes And Applications
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Author : Grigorios A. Pavliotis
language : en
Publisher: Springer
Release Date : 2014-11-19
Stochastic Processes And Applications written by Grigorios A. Pavliotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-19 with Mathematics categories.
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
The Theory Of Stochastic Processes
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Author : D.R. Cox
language : en
Publisher: Routledge
Release Date : 2017-09-04
The Theory Of Stochastic Processes written by D.R. Cox and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-04 with Mathematics categories.
This book should be of interest to undergraduate and postgraduate students of probability theory.