Stochastic Flows And Jump Diffusions
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Author | : Hiroshi Kunita |
Publisher | : Springer |
Total Pages | : 352 |
Release | : 2019-03-26 |
Genre | : Mathematics |
ISBN | : 9811338019 |
Download Stochastic Flows and Jump-Diffusions Book in PDF, Epub and Kindle
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.
Author | : H. Kunita |
Publisher | : |
Total Pages | : 352 |
Release | : 2019 |
Genre | : Electronic books |
ISBN | : 9789811338021 |
Download Stochastic Flows and Jump-diffusions Book in PDF, Epub and Kindle
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.
Author | : Bernt Øksendal |
Publisher | : Springer Science & Business Media |
Total Pages | : 228 |
Release | : 2004-11-25 |
Genre | : Mathematics |
ISBN | : 9783540140238 |
Download Applied Stochastic Control of Jump Diffusions Book in PDF, Epub and Kindle
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author | : Floyd B. Hanson |
Publisher | : SIAM |
Total Pages | : 461 |
Release | : 2007-11-22 |
Genre | : Mathematics |
ISBN | : 0898716330 |
Download Applied Stochastic Processes and Control for Jump Diffusions Book in PDF, Epub and Kindle
A practical, entry-level text integrating the basic principles of applied mathematics and probability, and computational science.
Author | : V. Wihstutz |
Publisher | : Springer Science & Business Media |
Total Pages | : 344 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1461203899 |
Download Diffusion Processes and Related Problems in Analysis, Volume II Book in PDF, Epub and Kindle
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.
Author | : Hiroshi Kunita |
Publisher | : Cambridge University Press |
Total Pages | : 364 |
Release | : 1990 |
Genre | : Mathematics |
ISBN | : 9780521599252 |
Download Stochastic Flows and Stochastic Differential Equations Book in PDF, Epub and Kindle
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.
Author | : Fabrice Baudoin |
Publisher | : Imperial College Press |
Total Pages | : 152 |
Release | : 2004 |
Genre | : Mathematics |
ISBN | : 1860947263 |
Download An Introduction to the Geometry of Stochastic Flows Book in PDF, Epub and Kindle
This book aims to provide a self-contained introduction to the local geometry of the stochastic flows. It studies the hypoelliptic operators, which are written in HArmanderOCOs form, by using the connection between stochastic flows and partial differential equations. The book stresses the authorOCOs view that the local geometry of any stochastic flow is determined very precisely and explicitly by a universal formula referred to as the Chen-Strichartz formula. The natural geometry associated with the Chen-Strichartz formula is the sub-Riemannian geometry, and its main tools are introduced throughout the text."
Author | : H. Kunita |
Publisher | : |
Total Pages | : 144 |
Release | : 1986 |
Genre | : Flows (Differentiable dynamical systems). |
ISBN | : |
Download Lectures on Stochastic Flows and Applications Book in PDF, Epub and Kindle
Author | : Mark A. Pinsky |
Publisher | : Springer Science & Business Media |
Total Pages | : 0 |
Release | : 1992 |
Genre | : Diffusion processes |
ISBN | : 9780817635435 |
Download Diffusion Processes and Related Problems in Analysis Book in PDF, Epub and Kindle
Author | : R. W. R. Darling |
Publisher | : American Mathematical Soc. |
Total Pages | : 109 |
Release | : 1987 |
Genre | : Mathematics |
ISBN | : 0821824392 |
Download Constructing Nonhomeomorphic Stochastic Flows Book in PDF, Epub and Kindle
The purpose of this article is the construction of stochastic flows from the finite-dimensional distributions without any smoothness assumptions. Also examines the relation between covariance functions and finite-dimensional distributions. The stochastic continuity of stochastic flows in the time parameter are proved in each section. These results give some extensions of the results obtained by Harris, by Baxendale and Harris and by other authors. In particular, the author studies coalescing flows, which were introduced by Harris for the study of flows of nonsmooth maps.