Stochastic Analysis And Diffusion Processes
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Stochastic Analysis And Diffusion Processes
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Author : Gopinath Kallianpur
language : en
Publisher: OUP Oxford
Release Date : 2014-01-09
Stochastic Analysis And Diffusion Processes written by Gopinath Kallianpur and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-09 with Mathematics categories.
Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic theory and offers a careful account of important research directions in Stochastic Analysis. The breadth and power of Stochastic Analysis, and probabilistic behavior of diffusion processes are told without compromising on the mathematical details. Starting with the construction of stochastic processes, the book introduces Brownian motion and martingales. The book proceeds to construct stochastic integrals, establish the Itô formula, and discuss its applications. Next, attention is focused on stochastic differential equations (SDEs) which arise in modeling physical phenomena, perturbed by random forces. Diffusion processes are solutions of SDEs and form the main theme of this book. The Stroock-Varadhan martingale problem, the connection between diffusion processes and partial differential equations, Gaussian solutions of SDEs, and Markov processes with jumps are presented in successive chapters. The book culminates with a careful treatment of important research topics such as invariant measures, ergodic behavior, and large deviation principle for diffusions. Examples are given throughout the book to illustrate concepts and results. In addition, exercises are given at the end of each chapter that will help the reader to understand the concepts better. The book is written for graduate students, young researchers and applied scientists who are interested in stochastic processes and their applications. The reader is assumed to be familiar with probability theory at graduate level. The book can be used as a text for a graduate course on Stochastic Analysis.
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.
Analysis For Diffusion Processes On Riemannian Manifolds
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Author : Feng-Yu Wang
language : en
Publisher: World Scientific
Release Date : 2014
Analysis For Diffusion Processes On Riemannian Manifolds written by Feng-Yu Wang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Mathematics categories.
Stochastic analysis on Riemannian manifolds without boundary has been well established. However, the analysis for reflecting diffusion processes and sub-elliptic diffusion processes is far from complete. This book contains recent advances in this direction along with new ideas and efficient arguments, which are crucial for further developments. Many results contained here (for example, the formula of the curvature using derivatives of the semigroup) are new among existing monographs even in the case without boundary.
Diffusion Processes And Related Problems In Analysis Volume Ii
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Author : V. Wihstutz
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Diffusion Processes And Related Problems In Analysis Volume Ii written by V. Wihstutz 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.
During the weekend of March 16-18, 1990 the University of North Carolina at Charlotte hosted a conference on the subject of stochastic flows, as part of a Special Activity Month in the Department of Mathematics. This conference was supported jointly by a National Science Foundation grant and by the University of North Carolina at Charlotte. Originally conceived as a regional conference for researchers in the Southeastern United States, the conference eventually drew participation from both coasts of the U. S. and from abroad. This broad-based par ticipation reflects a growing interest in the viewpoint of stochastic flows, particularly in probability theory and more generally in mathematics as a whole. While the theory of deterministic flows can be considered classical, the stochastic counterpart has only been developed in the past decade, through the efforts of Harris, Kunita, Elworthy, Baxendale and others. Much of this work was done in close connection with the theory of diffusion processes, where dynamical systems implicitly enter probability theory by means of stochastic differential equations. In this regard, the Charlotte conference served as a natural outgrowth of the Conference on Diffusion Processes, held at Northwestern University, Evanston Illinois in October 1989, the proceedings of which has now been published as Volume I of the current series. Due to this natural flow of ideas, and with the assistance and support of the Editorial Board, it was decided to organize the present two-volume effort.
Stochastic Analysis And Applications
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Author : Yeol Je Cho
language : en
Publisher: Nova Publishers
Release Date : 2000
Stochastic Analysis And Applications written by Yeol Je Cho and has been published by Nova Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Mathematics categories.
Theory And Statistical Applications Of Stochastic Processes
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Author : Yuliya Mishura
language : en
Publisher: John Wiley & Sons
Release Date : 2018-01-04
Theory And Statistical Applications Of Stochastic Processes written by Yuliya Mishura 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 2018-01-04 with Mathematics categories.
This book is concerned with the theory of stochastic processes and the theoretical aspects of statistics for stochastic processes. It combines classic topics such as construction of stochastic processes, associated filtrations, processes with independent increments, Gaussian processes, martingales, Markov properties, continuity and related properties of trajectories with contemporary subjects: integration with respect to Gaussian processes, Itȏ integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models.
Diffusion Processes And Related Problems In Analysis Volume I
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Author : Pinsky
language : en
Publisher: Birkhäuser
Release Date : 2013-05-14
Diffusion Processes And Related Problems In Analysis Volume I written by Pinsky and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-14 with Mathematics categories.
During the week of October 23-27,1989, Northwestern University hosted an international conference on the theme "Diffusion Processes and Related Problems in Analysis." This was attended by 105 partici pants representing 14 different countries. The conference, which is part of the "Emphasis Year" program traditionally supported by the Mathematics Department, was additionally supported by grants from the National Science Foundation, the National Security Agency, the Institute for Mathematics and Applications, as well as by supplemen tary sources from Northwestern University. The purpose of this meeting was to bring together workers in vari ous parts of probability theory, mathematical physics, and partial dif ferential equations. Previous efforts in this direction were represented by the 1987 AMS Summer Research Conference "Geometry of Random Motion" co-sponsored with Rick Durrett, the proceedings of which ap peared as volume 73 in the AMS series "Contemporary Mathematics." The present effort is intended to extend beyond the strictly geometric theme and to include problems of large deviations, stochastic flows, and other areas of stochastic analysis in which diffusion processes play a leading role.
Diffusion Processes And Related Problems In Analysis Volume I
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Author : Pinsky
language : en
Publisher: Birkhäuser
Release Date : 2012-02-17
Diffusion Processes And Related Problems In Analysis Volume I written by Pinsky and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-02-17 with Mathematics categories.
During the week of October 23-27,1989, Northwestern University hosted an international conference on the theme "Diffusion Processes and Related Problems in Analysis." This was attended by 105 partici pants representing 14 different countries. The conference, which is part of the "Emphasis Year" program traditionally supported by the Mathematics Department, was additionally supported by grants from the National Science Foundation, the National Security Agency, the Institute for Mathematics and Applications, as well as by supplemen tary sources from Northwestern University. The purpose of this meeting was to bring together workers in vari ous parts of probability theory, mathematical physics, and partial dif ferential equations. Previous efforts in this direction were represented by the 1987 AMS Summer Research Conference "Geometry of Random Motion" co-sponsored with Rick Durrett, the proceedings of which ap peared as volume 73 in the AMS series "Contemporary Mathematics." The present effort is intended to extend beyond the strictly geometric theme and to include problems of large deviations, stochastic flows, and other areas of stochastic analysis in which diffusion processes play a leading role.
Lectures On Stochastic Analysis Diffusion Theory
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Author : Daniel W. Stroock
language : en
Publisher: Cambridge University Press
Release Date : 1987-02-19
Lectures On Stochastic Analysis Diffusion Theory written by Daniel W. Stroock 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 1987-02-19 with Mathematics categories.
This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
Stochastic Processes And Related Topics
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Author : Jeff Englebert
language : en
Publisher: CRC Press
Release Date : 1996-02-09
Stochastic Processes And Related Topics written by Jeff Englebert and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-02-09 with Mathematics categories.
The aim of this volume is to make accessible to a greater audience papers given at the 10th Winterschool on Stochastic Processes in Siegmundsburg, Germany, March 1994. The papers include developments in stochastic analysis, applications to finance mathematics, Markov processes and diffusion processes, stochastic differential equations and stochastic partial differential equations.