Stochastic Analysis And Related Topics Vii
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Stochastic Analysis And Related Topics Vii
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Author : Laurent Decreusefond
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Analysis And Related Topics Vii written by Laurent Decreusefond 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.
One of the most challenging subjects of stochastic analysis in relation to physics is the analysis of heat kernels on infinite dimensional manifolds. The simplest nontrivial case is that of thepath and loop space on a Lie group. In this volume an up-to-date survey of the topic is given by Leonard Gross, a prominent developer of the theory. Another concise but complete survey of Hausdorff measures on Wiener space and its applications to Malliavin Calculus is given by D. Feyel, one of the most active specialists in this area. Other survey articles deal with short-time asymptotics of diffusion pro cesses with values in infinite dimensional manifolds and large deviations of diffusions with discontinuous drifts. A thorough survey is given of stochas tic integration with respect to the fractional Brownian motion, as well as Stokes' formula for the Brownian sheet, and a new version of the log Sobolev inequality on the Wiener space. Professional mathematicians looking for an overview of the state-of-the art in the above subjects will find this book helpful. In addition, graduate students as well as researchers whose domain requires stochastic analysis will find the original results of interest for their own research. The organizers acknowledge gratefully the financial help ofthe University of Oslo, and the invaluable aid of Professor Bernt 0ksendal and l'Ecole Nationale Superieure des Telecommunications.
Stochastic Analysis And Mathematical Physics
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Author : A.B. Cruzeiro
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Analysis And Mathematical Physics written by A.B. Cruzeiro 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 represents the outgrowth of an ongoing workshop on stochastic analysis held in Lisbon. The nine survey articles in the volume extend concepts from classical probability and stochastic processes to a number of areas of mathematical physics. It is a good reference text for researchers and advanced students in the fields of probability, stochastic processes, analysis, geometry, mathematical physics, and physics. Key topics covered include: nonlinear stochastic wave equations, completely positive maps, Mehler-type semigroups on Hilbert spaces, entropic projections, and many others.
Stochastic Analysis And Related Topics Vii
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Author : Laurent Decreusefond
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-01-25
Stochastic Analysis And Related Topics Vii written by Laurent Decreusefond 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 2001-01-25 with Mathematics categories.
One of the most challenging subjects of stochastic analysis in relation to physics is the analysis of heat kernels on infinite dimensional manifolds. The simplest nontrivial case is that of thepath and loop space on a Lie group. In this volume an up-to-date survey of the topic is given by Leonard Gross, a prominent developer of the theory. Another concise but complete survey of Hausdorff measures on Wiener space and its applications to Malliavin Calculus is given by D. Feyel, one of the most active specialists in this area. Other survey articles deal with short-time asymptotics of diffusion pro cesses with values in infinite dimensional manifolds and large deviations of diffusions with discontinuous drifts. A thorough survey is given of stochas tic integration with respect to the fractional Brownian motion, as well as Stokes' formula for the Brownian sheet, and a new version of the log Sobolev inequality on the Wiener space. Professional mathematicians looking for an overview of the state-of-the art in the above subjects will find this book helpful. In addition, graduate students as well as researchers whose domain requires stochastic analysis will find the original results of interest for their own research. The organizers acknowledge gratefully the financial help ofthe University of Oslo, and the invaluable aid of Professor Bernt 0ksendal and l'Ecole Nationale Superieure des Telecommunications.
New Trends In Stochastic Analysis And Related Topics
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Author : Huaizhong Zhao
language : en
Publisher: World Scientific
Release Date : 2012
New Trends In Stochastic Analysis And Related Topics written by Huaizhong Zhao 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 with Mathematics categories.
The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.
Stochastic Analysis In Discrete And Continuous Settings
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Author : Nicolas Privault
language : en
Publisher: Springer
Release Date : 2009-07-14
Stochastic Analysis In Discrete And Continuous Settings written by Nicolas Privault and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-07-14 with Mathematics categories.
This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.
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.
Stochastic Processes And Functional Analysis
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Author : Alan C. Krinik
language : en
Publisher: CRC Press
Release Date : 2004-03-23
Stochastic Processes And Functional Analysis written by Alan C. Krinik and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-03-23 with Mathematics categories.
This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochas
Stochastic Analysis For Finance With Simulations
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Author : Geon Ho Choe
language : en
Publisher: Springer
Release Date : 2016-07-22
Stochastic Analysis For Finance With Simulations written by Geon Ho Choe and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-22 with Mathematics categories.
This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts. Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.
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.
Functional Analysis And Related Topics 1991
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Author : Hikosaburo Komatsu
language : en
Publisher: Springer
Release Date : 2006-11-15
Functional Analysis And Related Topics 1991 written by Hikosaburo Komatsu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-15 with Mathematics categories.
In these proceedings of the international conference held in Kyoto in memoryof the late Professor K saku Yosida, twenty six invited speakers display in their many facets of functional analysis and its applications in the research tradition of Yosida's school. Many of the topics are related tolinear and non-linear partial differential equations, including the Schr|dinger equations, the Navier-Stokes equations and quasilinear hyperbolic equations. Several of the papers are survey articles, the others are original (unpublished) and refereed research articles. Also included is a full listing of the publications of K. Yosida. Recommendedto students and research workers looking for a bird's-eye view of current research activity in functional analysis and its applications. FROM THE CONTENTS: K. Ito: Semigroups in probability theory.- T. Kato: Abstract evolution equations, linear and quasilinear, revisited.- J.L. Lions: Remarkson systems with incompletely given initial data and incompletely given part of the boundary.- H. Brezis: New energies for harmonic maps and liquid crystals.- D. Fujiwara: Some Feynman path integrals as oscillatory integrals over a Sobolev manifold.- M. Giga, Y. Giga, H. Sohr: L estimates for the Stokes system.- Y. Kawahigashi: Exactly solvable orbifold models and subfactors.- H. Kitada: Asymptotic completeness of N-body wave operators II. A new proof for the short-range case and the asymptotic clustering for the long-range systems. Y. Kobayashi, S. Oharu: Semigroups oflocally Lipschitzian operators and applications.- H. Komatsu: Operational calculus and semi-groups of operators.