Stochastic Differential Inclusions And Applications

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Stochastic Differential Inclusions And Applications

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Author : Michał Kisielewicz
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-12

Stochastic Differential Inclusions And Applications written by Michał Kisielewicz 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 2013-06-12 with Mathematics categories.

​This book aims to further develop the theory of stochastic functional inclusions and their applications for describing the solutions of the initial and boundary value problems for partial differential inclusions. The self-contained volume is designed to introduce the reader in a systematic fashion, to new methods of the stochastic optimal control theory from the very beginning. The exposition contains detailed proofs and uses new and original methods to characterize the properties of stochastic functional inclusions that, up to the present time, have only been published recently by the author. The work is divided into seven chapters, with the first two acting as an introduction, containing selected material dealing with point- and set-valued stochastic processes, and the final two devoted to applications and optimal control problems. The book presents recent and pressing issues in stochastic processes, control, differential games, optimization and their application in finance, manufacturing, queueing networks, and climate control. Written by an award-winning author in the field of stochastic differential inclusions and their application to control theory, This book is intended for students and researchers in mathematics and applications; particularly those studying optimal control theory. It is also highly relevant for students of economics and engineering. The book can also be used as a reference on stochastic differential inclusions. Knowledge of select topics in analysis and probability theory are required.

Stochastic Differential Inclusions And Applications

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Author : Micha Kisielewicz
language : en
Publisher:
Release Date : 2013-07-31

Stochastic Differential Inclusions And Applications written by Micha Kisielewicz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-31 with categories.

Stochastic Differential Equations

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Author : Bernt Oksendal
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09

Stochastic Differential Equations written by Bernt Oksendal 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 2013-03-09 with Mathematics categories.

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.

Stochastic Calculus And Applications

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Author : Samuel N. Cohen
language : en
Publisher: Birkhäuser
Release Date : 2015-11-18

Stochastic Calculus And Applications written by Samuel N. Cohen and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-18 with Mathematics categories.

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)

Theory And Applications Of Stochastic Processes

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Author : Zeev Schuss
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-09

Theory And Applications Of Stochastic Processes written by Zeev Schuss 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 2009-12-09 with Mathematics categories.

Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.

Stochastic Integration And Differential Equations

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Author : Philip E. Protter
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-03-04

Stochastic Integration And Differential Equations written by Philip E. Protter 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 2005-03-04 with Mathematics categories.

It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery’s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.

Global And Stochastic Analysis With Applications To Mathematical Physics

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Author : Yuri E. Gliklikh
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-12-07

Global And Stochastic Analysis With Applications To Mathematical Physics written by Yuri E. Gliklikh 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 2010-12-07 with Mathematics categories.

Methods of global analysis and stochastic analysis are most often applied in mathematical physics as separate entities, thus forming important directions in the field. However, while combination of the two subject areas is rare, it is fundamental for the consideration of a broader class of problems. This book develops methods of Global Analysis and Stochastic Analysis such that their combination allows one to have a more or less common treatment for areas of mathematical physics that traditionally are considered as divergent and requiring different methods of investigation. Global and Stochastic Analysis with Applications to Mathematical Physics covers branches of mathematics that are currently absent in monograph form. Through the demonstration of new topics of investigation and results, both in traditional and more recent problems, this book offers a fresh perspective on ordinary and stochastic differential equations and inclusions (in particular, given in terms of Nelson's mean derivatives) on linear spaces and manifolds. Topics covered include classical mechanics on non-linear configuration spaces, problems of statistical and quantum physics, and hydrodynamics. A self-contained book that provides a large amount of preliminary material and recent results which will serve to be a useful introduction to the subject and a valuable resource for further research. It will appeal to researchers, graduate and PhD students working in global analysis, stochastic analysis and mathematical physics.

Approximation And Optimization Of Discrete And Differential Inclusions

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Author : Elimhan N Mahmudov
language : en
Publisher: Elsevier
Release Date : 2011-08-25

Approximation And Optimization Of Discrete And Differential Inclusions written by Elimhan N Mahmudov and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-25 with Mathematics categories.

Optimal control theory has numerous applications in both science and engineering. This book presents basic concepts and principles of mathematical programming in terms of set-valued analysis and develops a comprehensive optimality theory of problems described by ordinary and partial differential inclusions. In addition to including well-recognized results of variational analysis and optimization, the book includes a number of new and important ones Includes practical examples

Stochastic Flows And Stochastic Differential Equations

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Author : Hiroshi Kunita
language : en
Publisher: Cambridge University Press
Release Date : 1990

Stochastic Flows And Stochastic Differential Equations written by Hiroshi Kunita 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 1990 with Mathematics categories.

The main purpose of this book is to give a systematic treatment of the theory of stochastic differential equations and stochastic flow of diffeomorphisms, and through the former to study the properties of stochastic flows.The classical theory was initiated by K. Itô and since then has been much developed. Professor Kunita's approach here is to regard the stochastic differential equation as a dynamical system driven by a random vector field, including thereby Itô's theory as a special case. The book can be used with advanced courses on probability theory or for self-study.

Advances In Variable Structure Systems And Sliding Mode Control Theory And Applications

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Author : Shihua Li
language : en
Publisher: Springer
Release Date : 2017-08-10

Advances In Variable Structure Systems And Sliding Mode Control Theory And Applications written by Shihua Li and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-10 with Technology & Engineering categories.

This book reflects the latest developments in variable structure systems (VSS) and sliding mode control (SMC), highlighting advances in various branches of the VSS/SMC field, e.g., from conventional SMC to high-order SMC, from the continuous-time domain to the discrete-time domain, from theories to applications, etc. The book consists of three parts and 16 chapters: in the first part, new VSS/SMC algorithms are proposed and their properties are analyzed, while the second focuses on the use of VSS/SMC techniques to solve a variety of control problems; the third part examines the applications of VSS/SMC to real-time systems. The book introduces postgraduates and researchers to the state-of-the-art in VSS/SMC field, including the theory, methodology, and applications. Relative academic disciplines include Automation, Mathematics, Electrical Engineering, Mechanical Engineering, Instrument Science and Engineering, Electronic Engineering, Computer Science and Technology, Transportation Engineering, Energy and Power Engineering, etc.