Stochastic Analysis
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Stochastic Analysis
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Author : M. T. Barlow
language : en
Publisher: Cambridge University Press
Release Date : 1991-10-25
Stochastic Analysis written by M. T. Barlow 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 1991-10-25 with Mathematics categories.
Papers from the Symposium on stochastic analysis, which took place at the University of Durham in July 1990.
Stochastic Analysis And Related Topics
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Author : H. Körezlioglu
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Analysis And Related Topics written by H. Körezlioglu 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 volume contains a large spectrum of work: super processes, Dirichlet forms, anticipative stochastic calculus, random fields and Wiener space analysis. The first part of the volume consists of two main lectures given at the third Silivri meeting in 1990: 1. "Infinitely divisible random measures and superprocesses" by D.A. Dawson, 2. "Dirichlet forms on infinite dimensional spaces and appli cations" by M. Rockner. The second part consists of recent research papers all related to Stochastic Analysis, motivated by stochastic partial differ ential equations, Markov fields, the Malliavin calculus and the Feynman path integrals. We would herewith like to thank the ENST for its material support for the above mentioned meeting as well as for the ini tial preparation of this volume and to our friend and colleague Erhan Qmlar whose help and encouragement for the realization of this volume have been essential. H. Korezlioglu A.S. Ustiinel INFINITELY DIVISIBLE RANDOM MEASURES AND SUPERPROCESSES DONALD A. DAWSON 1. Introduction.
Recent Developments In Stochastic Analysis And Related Topics
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Author : Sergio Albeverio
language : en
Publisher: World Scientific
Release Date : 2004
Recent Developments In Stochastic Analysis And Related Topics written by Sergio Albeverio and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Mathematics categories.
This volume contains 27 refereed research articles and survey papers written by experts in the field of stochastic analysis and related topics. Most contributors are well known leading mathematicians worldwide and prominent young scientists. The volume reflects a review of the recent developments in stochastic analysis and related topics. It puts in evidence the strong interconnection of stochastic analysis with other areas of mathematics, as well as with applications of mathematics in natural and social economic sciences. The volume also provides some possible future directions for the field.The proceedings have been selected for coverage in: ? Index to Scientific & Technical Proceedings? (ISTP? / ISI Proceedings)? Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)? CC Proceedings ? Engineering & Physical Sciences
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.
Nonstandard Methods In Stochastic Analysis And Mathematical Physics
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Author : Sergio Albeverio
language : en
Publisher: Courier Dover Publications
Release Date : 2009-02-26
Nonstandard Methods In Stochastic Analysis And Mathematical Physics written by Sergio Albeverio and has been published by Courier Dover Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-26 with Mathematics categories.
Two-part treatment begins with a self-contained introduction to the subject, followed by applications to stochastic analysis and mathematical physics. "A welcome addition." — Bulletin of the American Mathematical Society. 1986 edition.
Stochastic Analysis
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Author : Shigeo Kusuoka
language : en
Publisher: Springer Nature
Release Date : 2020-10-20
Stochastic Analysis written by Shigeo Kusuoka and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-20 with Mathematics categories.
This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions. In the final chapter, applications to mathematical finance are given. The preliminary knowledge needed by the reader is linear algebra and measure theory. Rigorous proofs are provided for theorems, propositions, and lemmas. In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts of the square integrable functions are used in the proof. In stochastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of stochastic differential equations.
Stochastic Analysis
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Author : Paul Malliavin
language : en
Publisher: Springer
Release Date : 2002-04-01
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 2002-04-01 with Mathematics categories.
In 5 independent sections, this book accounts 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.
Stochastic Processes Inference Theory
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Author : Malempati M. Rao
language : en
Publisher: Springer
Release Date : 2014-11-14
Stochastic Processes Inference Theory written by Malempati M. Rao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-14 with Mathematics categories.
This is the revised and enlarged 2nd edition of the authors’ original text, which was intended to be a modest complement to Grenander's fundamental memoir on stochastic processes and related inference theory. The present volume gives a substantial account of regression analysis, both for stochastic processes and measures, and includes recent material on Ridge regression with some unexpected applications, for example in econometrics. The first three chapters can be used for a quarter or semester graduate course on inference on stochastic processes. The remaining chapters provide more advanced material on stochastic analysis suitable for graduate seminars and discussions, leading to dissertation or research work. In general, the book will be of interest to researchers in probability theory, mathematical statistics and electrical and information theory.
Elements Of Stochastic Calculus And Analysis
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Author : Daniel W. Stroock
language : en
Publisher: Springer
Release Date : 2018-04-24
Elements Of Stochastic Calculus And Analysis written by Daniel W. Stroock and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-24 with Mathematics categories.
This book gives a somewhat unconventional introduction to stochastic analysis. Although most of the material coveredhere has appeared in other places, this book attempts to explain the core ideas on which that material is based. As a consequence, the presentation is more an extended mathematical essay than a ``definition,lemma, theorem'' text. In addition, it includes several topics that are not usually treated elsewhere. For example,Wiener's theory of homogeneous chaos is discussed, Stratovich integration is given a novel development and applied to derive Wong and Zakai's approximation theorem, and examples are given of the application ofMalliavin's calculus to partial differential equations. Each chapter concludes with several exercises, some of which are quite challenging. The book is intended for use by advanced graduate students and researchmathematicians who may be familiar with many of the topics but want to broaden their understanding of them.
Stochastic Analysis And Applications To Finance Essays In Honour Of Jia An Yan
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Author : Tusheng Zhang
language : en
Publisher: World Scientific
Release Date : 2012-07-17
Stochastic Analysis And Applications To Finance Essays In Honour Of Jia An Yan written by Tusheng Zhang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-17 with Mathematics categories.
This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.