Theory Of Stochastic Canonical Equations
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Theory Of Stochastic Canonical Equations
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Author : V.L. Girko
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Theory Of Stochastic Canonical Equations written by V.L. Girko 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.
Theory of Stochastic Canonical Equations collects the major results of thirty years of the author's work in the creation of the theory of stochastic canonical equations. It is the first book to completely explore this theory and to provide the necessary tools for dealing with these equations. Included are limit phenomena of sequences of random matrices and the asymptotic properties of the eigenvalues of such matrices. The book is especially interesting since it gives readers a chance to study proofs written by the mathematician who discovered them. All fifty-nine canonical equations are derived and explored along with their applications in such diverse fields as probability and statistics, economics and finance, statistical physics, quantum mechanics, control theory, cryptography, and communications networks. Some of these equations were first published in Russian in 1988 in the book Spectral Theory of Random Matrices, published by Nauka Science, Moscow. An understanding of the structure of random eigenvalues and eigenvectors is central to random matrices and their applications. Random matrix analysis uses a broad spectrum of other parts of mathematics, linear algebra, geometry, analysis, statistical physics, combinatories, and so forth. In return, random matrix theory is one of the chief tools of modern statistics, to the extent that at times the interface between matrix analysis and statistics is notably blurred. Volume I of Theory of Stochastic Canonical Equations discusses the key canonical equations in advanced random matrix analysis. Volume II turns its attention to a broad discussion of some concrete examples of matrices. It contains in-depth discussion of modern, highly-specialized topics in matrix analysis, such as unitary random matrices and Jacoby random matrices. The book is intended for a variety of readers: students, engineers, statisticians, economists and others.
Theory Of Stochastic Canonical Equations
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Author : Vi︠a︡cheslav Leonidovich Girko
language : en
Publisher:
Release Date : 2001
Theory Of Stochastic Canonical Equations written by Vi︠a︡cheslav Leonidovich Girko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.
Theory Of Stochastic Canonical Equations
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Author : Vi︠a︡cheslav Leonidovich Girko
language : en
Publisher: Springer Science & Business Media
Release Date : 2001
Theory Of Stochastic Canonical Equations written by Vi︠a︡cheslav Leonidovich Girko 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 with Mathematics categories.
Stochastic Systems
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Author : Vladimir Semenovich Pugachev
language : en
Publisher: World Scientific
Release Date : 2001
Stochastic Systems written by Vladimir Semenovich Pugachev and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.
General theory and basic methods of linear and nonlinear stocastic systems (StS), based on the equations for characteristic functions and functionals.Special attention is paid to methods based on canonical expansions and integral canonical represntations.
Stochastic Systems Theory And Applications
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Author : V S Pugachev
language : en
Publisher: World Scientific Publishing Company
Release Date : 2002-01-02
Stochastic Systems Theory And Applications written by V S Pugachev and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-01-02 with Mathematics categories.
This book presents the general theory and basic methods of linear and nonlinear stochastic systems (StS) i.e. dynamical systems described by stochastic finite- and infinite-dimensional differential, integral, integrodifferential, difference etc equations. The general StS theory is based on the equations for characteristic functions and functionals. The book outlines StS structural theory, including direct numerical methods, methods of normalization, equivalent linearization and parametrization of one- and multi-dimensional distributions, based on moments, quasimoments, semi-invariants and orthogonal expansions. Special attention is paid to methods based on canonical expansions and integral canonical representations. About 500 exercises and problems are provided. The authors also consider applications in mathematics and mechanics, physics and biology, control and information processing, operations research and finance.
Statistical Thermodynamics And Stochastic Theory Of Nonequilibrium Systems
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Author : Werner Ebeling
language : en
Publisher: World Scientific
Release Date : 2005
Statistical Thermodynamics And Stochastic Theory Of Nonequilibrium Systems written by Werner Ebeling and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Science categories.
This book presents both the fundamentals and the major research topics in statistical physics of systems out of equilibrium. It summarizes different approaches to describe such systems on the thermodynamic and stochastic levels, and discusses a variety of areas including reactions, anomalous kinetics, and the behavior of self-propelling particles.
Nonlinear Stochastic Integrators Equations And Flows
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Author : René Carmona
language : en
Publisher: CRC Press
Release Date : 1990-01-01
Nonlinear Stochastic Integrators Equations And Flows written by René Carmona and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-01-01 with Mathematics categories.
Highly technical monograph in which the authors, writing on the basis of their own recent research for the benefit of expert readers, describe a general theory of stochastic integration appropriate to situations in which the integral is a nonlinear function of the integrand. Book club price, $37. (NW) Annotation copyrighted by Book News, Inc., Portland, OR
Stochastic Quantization
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Author : Poul Henrik Damgaard
language : en
Publisher: World Scientific Publishing Company Incorporated
Release Date : 1988
Stochastic Quantization written by Poul Henrik Damgaard and has been published by World Scientific Publishing Company Incorporated this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Science categories.
Introductory chapters. 1. Introduction -- 2. Stochastic quantization of field theories -- 3. A guide to the reprinted papers -- Reprinted papers. The classic. R1. Perturbation theory without gauge fixing / G. Parisi and Wu Yongshi -- Perturbation theory. R2. Equivalence of stochastic and canonical quantization in perturbation theory / E.G. Floratos and J. Iliopoulos -- R3. Perturbation theory from stochastic quantization of scalar fields / W. Grimus and H. Hüffel -- R4. Stochastic diagrams and Feynman diagrams / H. Hüffel and P.V. Landshoff -- Gauge fields. R5. Covariant quantization of gauge fields without Gribov ambiguity / D. Zwanziger -- R6. Equivalence of stochastic quantization and the Faddeev-Popov ansatz / L. Baulieu and D. Zwanziger -- R7. Stochastic quantization of non-Abelian gauge field / M. Namiki [und weitere] -- R8. A covariant ghost-free perturbation expansion for Yang-Mills theories / E.G. Floratos, J. Iliopoulos and D. Zwanziger -- Fermions. R9. Stochastic quantization method of fermionfields / T. Fukai [und weitere] -- R10. Stochastic quantization with fermions / P.H. Damgaard and K. Tsokos -- Gravity. R11. Stochastic quantization of Einstein gravity / H. Rumpf -- Supersymmetry. R12. Random magnetic fields, supersymmetry and negative dimensions / G. Parisi and N. Sourlas -- R13. Stochastic and parastochastic aspects of supersymmetric functional measures: a new nonperturbative approach to supersymmetry / S. Cecotti and L. Girardello -- R14. Functional integral approach to Parisi-Wu stochastic quantization: Scalar theory / E. Gozzi -- R15. A superfield formulation of stochastic quantization with fictitious time / E. Egorian and S. Kalitzin -- R16. Stochastic quantization, supersymmetry and the Nicolai map / P.H. Damgaard and K. Tsokos -- R17. Quantization by stochastic relaxation processes and supersymmetry / R. Kirschner -- Canonical stochastic quantization. R18. Canonical stochastic quantization / S. Ryang, T. Saito and K. Shigemoto -- R19. Stochastic quantization in phase space / A.M. Horowitz -- Stochastic regularization. R20. Stochastic quantization and regularization / J.D. Breit, S. Gupta and A. Zaks -- R21. Stochastic regularization of scalar electrodynamics / Z. Bern -- R22. Evaluation of critical exponents on the basis of stochastic quantization / J. Alfaro, R. Jengo and N. Parga -- R23. Continuum regularization of QCD / Z. Bern [und weitere] -- A Rigorous construction. R24. On the stochastic quantization of field theory / G. Jona-Lasinio and P.K. Mitter -- Large-N limit. R25. Quenched master fields / J. Greensite and M.B. Halpern -- R26. Derivation of quenched momentum prescription by means of stochastic quantization / J. Alfaro and B. Sakita -- Complex actions. R27. On complex probabilities / G. Parisi -- R28. Spectrum of certain non-self-adjoint operators and solutions of Langevin equations with complex drift / J.R. Klauder and W.P. Petersen -- R29. Numerical problems in applying the Langevin equation to complex effective actions / J. Ambjorn and S.-K. Yang -- R30. Complex Langevin simulation of the SU(3) spin model with non-zero chemical potential / F. Karsch and H.W. Wyld -- Minkowski space. R31. Stochastic quantization in Minkowski space / H. Hüffel and H. Rumpf -- R32. Langevin simulation in Minkowski space? / E. Gozzi -- Numerical applications. R33. Correlation functions and computer simulations / G. Parisi -- R34. Considerations on numerical analysis of QCD / H.W. Hamber [und weitere] -- R35. Glueball-mass estimates in lattice QCD / H.W. Hamber and U.M. Heller -- R36. Numerical evidence for a barrier at the Gribov horizon / E. Seiler, I.O. Stamatescu and D. Zwanziger -- R37. Langevin simulation including dynamical quark loops / A. Ukawa and M. Fukugita -- R38. Langevin simulations of lattice field theories / G.G. Batrouni [und weitere]
Quadratic Vector Equations On Complex Upper Half Plane
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Author : Oskari Ajanki
language : en
Publisher: American Mathematical Soc.
Release Date : 2019-12-02
Quadratic Vector Equations On Complex Upper Half Plane written by Oskari Ajanki and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-02 with Education categories.
The authors consider the nonlinear equation −1m=z+Sm with a parameter z in the complex upper half plane H, where S is a positivity preserving symmetric linear operator acting on bounded functions. The solution with values in H is unique and its z-dependence is conveniently described as the Stieltjes transforms of a family of measures v on R. In a previous paper the authors qualitatively identified the possible singular behaviors of v: under suitable conditions on S we showed that in the density of v only algebraic singularities of degree two or three may occur. In this paper the authors give a comprehensive analysis of these singularities with uniform quantitative controls. They also find a universal shape describing the transition regime between the square root and cubic root singularities. Finally, motivated by random matrix applications in the authors' companion paper they present a complete stability analysis of the equation for any z∈H, including the vicinity of the singularities.
Stochastic Integration And Differential Equations
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Author : Philip Protter
language : en
Publisher: Springer
Release Date : 2013-12-21
Stochastic Integration And Differential Equations written by Philip Protter and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-21 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.