Stochastic Flows And Jump Diffusions
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Stochastic Flows And Jump Diffusions
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Author : H. Kunita
language : en
Publisher:
Release Date : 2019
Stochastic Flows And Jump Diffusions written by H. Kunita and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Electronic books categories.
This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps. In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations. Researchers and graduate student in probability theory will find this book very useful.
Stochastic Flows And Jump Diffusions
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Author : Hiroshi Kunita
language : en
Publisher: Springer
Release Date : 2019-03-26
Stochastic Flows And Jump Diffusions written by Hiroshi Kunita and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-26 with Mathematics categories.
This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heatequations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.
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.
Stochastic Calculus Of Variations
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Author : Yasushi Ishikawa
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2023-07-24
Stochastic Calculus Of Variations written by Yasushi Ishikawa and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-24 with Mathematics categories.
This book is a concise introduction to the stochastic calculus of variations for processes with jumps. The author provides many results on this topic in a self-contained way for e.g., stochastic differential equations (SDEs) with jumps. The book also contains some applications of the stochastic calculus for processes with jumps to the control theory, mathematical finance and so. This third and entirely revised edition of the work is updated to reflect the latest developments in the theory and some applications with graphics.
Stochastic Processes
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Author : Pierre Del Moral
language : en
Publisher: CRC Press
Release Date : 2017-02-24
Stochastic Processes written by Pierre Del Moral and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-02-24 with Mathematics categories.
Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
Geometry And Invariance In Stochastic Dynamics
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Author : Stefania Ugolini
language : en
Publisher: Springer Nature
Release Date : 2022-02-09
Geometry And Invariance In Stochastic Dynamics written by Stefania Ugolini and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-09 with Mathematics categories.
This book grew out of the Random Transformations and Invariance in Stochastic Dynamics conference held in Verona from the 25th to the 28th of March 2019 in honour of Sergio Albeverio. It presents the new area of studies concerning invariance and symmetry properties of finite and infinite dimensional stochastic differential equations.This area constitutes a natural, much needed, extension of the theory of classical ordinary and partial differential equations, where the reduction theory based on symmetry and invariance of such classical equations has historically proved to be very important both for theoretical and numerical studies and has given rise to important applications. The purpose of the present book is to present the state of the art of the studies on stochastic systems from this point of view, present some of the underlying fundamental ideas and methods involved, and to outline the main lines for future developments. The main focus is on bridging the gap between deterministic and stochastic approaches, with the goal of contributing to the elaboration of a unified theory that will have a great impact both from the theoretical point of view and the point of view of applications. The reader is a mathematician or a theoretical physicist. The main discipline is stochastic analysis with profound ideas coming from Mathematical Physics and Lie’s Group Geometry. While the audience consists essentially of academicians, the reader can also be a practitioner with Ph.D., who is interested in efficient stochastic modelling.
New Trends In Stochastic Analysis And Related Topics
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Author : Huaizhong Zhao
language : en
Publisher: World Scientific
Release Date : 2011
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 2011 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.
L Vy Processes And Stochastic Calculus
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Author : David Applebaum
language : en
Publisher: Cambridge University Press
Release Date : 2009-04-30
L Vy Processes And Stochastic Calculus written by David Applebaum 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 2009-04-30 with Mathematics categories.
A fully revised and appended edition of this unique volume, which develops together these two important subjects.
New Models And Methods In Dynamic Portfolio Optimization
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Author : Lijun Bo
language : en
Publisher: World Scientific
Release Date : 2025-06-04
New Models And Methods In Dynamic Portfolio Optimization written by Lijun Bo and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-04 with Business & Economics categories.
This book presents some new models and methods in the context of dynamical portfolio optimization. It encapsulates the authors' recent progress in their research on several interesting, featured issues of dynamic portfolio optimization problems with default contagion, tracking benchmark, consumption habit, and reinforcement learning.These models include the default contagion model with infinite regime-switching under complete information and partial information; portfolio optimization model with consumption habit formation; optimal tracking model; extended Merton's problem with relaxed benchmark tracking and reinforcement learning of tracking portfolio.The methods for addressing these problems are by developing the monotone dynamical system, martingale representation theorem under partial information, quadratic BSDE with jumps, duality method, decomposition-homogenization technique of Neumann problem, stochastic flow, and q-function learning with state reflection. For the sake of the reader's convenience, preliminary knowledge on stochastic analysis and stochastic control are summarized in Chapters 2 and 3, which also serve as a brief basic introduction to the theory of SDEs, BSDEs, and the theory of optimal stochastic control.The book will be a good reference for graduate students and researchers working on stochastic control and mathematical finance. The reader may pursue some presented research problems and be inspired to formulate and study other new and interesting problems in dynamic portfolio optimization and beyond.
Current Trends In Analysis Its Applications And Computation
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Author : Paula Cerejeiras
language : en
Publisher: Springer Nature
Release Date : 2022-10-03
Current Trends In Analysis Its Applications And Computation written by Paula Cerejeiras and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-10-03 with Mathematics categories.
This volume contains the contributions of the participants of the 12th ISAAC congress which was held at the University of Aveiro, Portugal, from July 29 to August 3, 2019. These contributions originate from the following sessions: Applications of dynamical systems theory in biology, Complex Analysis and Partial Differential Equations, Complex Geometry, Complex Variables and Potential Theory, Constructive Methods in the Theory of Composite and Porous Media, Function Spaces and Applications, Generalized Functions and Applications, Geometric & Regularity Properties of Solutions to Elliptic and Parabolic PDEs, Geometries Defined by Differential Forms, Partial Differential Equations on Curved Spacetimes, Partial Differential Equations with Nonstandard Growth, Quaternionic and Clifford Analysis, Recent Progress in Evolution Equations, Wavelet theory and its Related Topics.