Semiclassical Analysis for Diffusions an
β Vassili N. Kolokoltsov (auth.)
π Library
π
2000
π Springer-Verlag Berlin Heidelberg
π English
β¦ LIBER β¦
π
Stochastic Analysis and Diffusion Processes
β Scribed by Gopinath Kallianpur, P Sundar
- Publisher
- Oxford University Press
- Year
- 2014
- Tongue
- English
- Leaves
- 365
- Series
- Oxford Graduate Texts in Mathematics
- Edition
- 1
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
β¦ Synopsis
Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic theory and offers a careful account of important research directions in Stochastic Analysis. The breadth and power of Stochastic Analysis, and probabilistic behavior of diffusion processes are told without compromising on the mathematical details.
Starting with the construction of stochastic processes, the book introduces Brownian motion and martingales. The book proceeds to construct stochastic integrals, establish the Ito formula, and discuss its applications. Next, attention is focused on stochastic differential equations (SDEs) which arise in modeling physical phenomena, perturbed by random forces. Diffusion processes are solutions of SDEs and form the main theme of this book.
The Stroock-Varadhan martingale problem, the connection between diffusion processes and partial differential equations, Gaussian solutions of SDEs, and Markov processes with jumps are presented in successive chapters. The book culminates with a careful treatment of important research topics such as invariant measures, ergodic behavior, and large deviation principle for diffusions.
Examples are given throughout the book to illustrate concepts and results. In addition, exercises are given at the end of each chapter that will help the reader to understand the concepts better. The book is written for graduate students, young researchers and applied scientists who are interested in stochastic processes and their applications. The reader is assumed to be familiar with probability theory at graduate level. The book can be used as a text for a graduate course on Stochastic Analysis.
β¦ Subjects
Stochastic Modeling Applied Mathematics Science Math Algebra Trigonometry Calculus Geometry Statistics New Used Rental Textbooks Specialty Boutique
π SIMILAR VOLUMES
Semiclassical Analysis for Diffusions an
β Vassili N. Kolokoltsov (auth.)
π Library
π
2000
π Springer-Verlag Berlin Heidelberg
π English
<p>The monograph is devoted mainly to the analytical study of the differential, pseudo-differential and stochastic evolution equations describing the transition probabilities of various Markov processes. These include (i) diffusions (in particular,degenerate diffusions), (ii) more general jump-diffu
Diffusion Processes and Related Problems
β Peter H. Baxendale (auth.), Mark A. Pinsky, Volker Wihstutz (eds.)
π Library
π
1992
π BirkhΓ€user Basel
π English
<p>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 t
Diffusion Processes and Related Problems
β Peter H. Baxendale (auth.), Mark A. Pinsky, Volker Wihstutz (eds.)
π Library
π
1992
π BirkhΓ€user Basel
π English
<p>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 t
Diffusion Processes and Stochastic Calcu
β Fabrice Baudoin
π Library
π
2014
π European Mathematical Society
π English
The main purpose of the book is to present at a graduate level and in a self-contained way the most important aspects of the theory of continuous stochastic processes in continuous time and to introduce to some of its ramifications like the theory of semigroups, the Malliavin calculus and the Lyonsβ
Applied Stochastic Processes and Control
β Floyd B. Hanson
π Library
π
2007
π Society for Industrial and Applied Mathematics
π English