Download or read book Approximations of Stochastic Equations Driven by Predictable Processes written by Guillermo Ferreyra and published by . This book was released on 1987 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theory of stochastic integral equations driven by predictable processes in Stratonovich sense is developed. These driving processes include a large class of discontinuous semimartingales. The theory of stochastic differential equations driven by continuous semimartingales in Stratonovich sense is extended without involving Lebesgue-Stieltjes integrals as done by Meyer. Moreover, a change of variables formula without extra terms involving the jumps of the processes holds for this theory. Results on approximation of driving processes are preserved.

Download or read book Taylor Approximations for Stochastic Partial Differential Equations written by Arnulf Jentzen and published by SIAM. This book was released on 2011-01-01 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a systematic theory of Taylor expansions of evolutionary-type stochastic partial differential equations (SPDEs). The authors show how Taylor expansions can be used to derive higher order numerical methods for SPDEs, with a focus on pathwise and strong convergence. In the case of multiplicative noise, the driving noise process is assumed to be a cylindrical Wiener process, while in the case of additive noise the SPDE is assumed to be driven by an arbitrary stochastic process with Hl̲der continuous sample paths. Recent developments on numerical methods for random and stochastic ordinary differential equations are also included since these are relevant for solving spatially discretised SPDEs as well as of interest in their own right. The authors include the proof of an existence and uniqueness theorem under general assumptions on the coefficients as well as regularity estimates in an appendix.

Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Download or read book Approximations of Solutions of Stochastic Differential Equations Driven by Semimartingales written by P. Protter and published by . This book was released on 1983 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Partial Differential Equations written by Pao-Liu Chow and published by CRC Press. This book was released on 2014-12-10 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore Theory and Techniques to Solve Physical, Biological, and Financial Problems Since the first edition was published, there has been a surge of interest in stochastic partial differential equations (PDEs) driven by the Levy type of noise. Stochastic Partial Differential Equations, Second Edition incorporates these recent developments and impro

Download or read book Stochastic Integration with Jumps written by Klaus Bichteler and published by Cambridge University Press. This book was released on 2002-05-13 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.

Download or read book Stochastic Evolution Equations written by Wilfried Grecksch and published by De Gruyter Akademie Forschung. This book was released on 1995 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors give a self-contained exposition of the theory of stochastic evolution equations. Elements of infinite dimensional analysis, martingale theory in Hilbert spaces, stochastic integrals, stochastic convolutions are applied. Existence and uniqueness theorems for stochastic evolution equations in Hilbert spaces in the sense of the semigroup theory, the theory of evolution operators, and monotonous operators in rigged Hilbert spaces are discussed. Relationships between the different concepts are demonstrated. The results are used to concrete stochastic partial differential equations like parabolic and hyperbolic Ito equations and random constitutive equations of elastic viscoplastic materials. Furthermore, stochastic evolution equations in rigged Hilbert spaces are approximated by time discretization methods.

Download or read book Yosida Approximations of Stochastic Differential Equations in Infinite Dimensions and Applications written by T. E. Govindan and published by Springer. This book was released on 2016-11-11 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research monograph brings together, for the first time, the varied literature on Yosida approximations of stochastic differential equations (SDEs) in infinite dimensions and their applications into a single cohesive work. The author provides a clear and systematic introduction to the Yosida approximation method and justifies its power by presenting its applications in some practical topics such as stochastic stability and stochastic optimal control. The theory assimilated spans more than 35 years of mathematics, but is developed slowly and methodically in digestible pieces. The book begins with a motivational chapter that introduces the reader to several different models that play recurring roles throughout the book as the theory is unfolded, and invites readers from different disciplines to see immediately that the effort required to work through the theory that follows is worthwhile. From there, the author presents the necessary prerequisite material, and then launches the reader into the main discussion of the monograph, namely, Yosida approximations of SDEs, Yosida approximations of SDEs with Poisson jumps, and their applications. Most of the results considered in the main chapters appear for the first time in a book form, and contain illustrative examples on stochastic partial differential equations. The key steps are included in all proofs, especially the various estimates, which help the reader to get a true feel for the theory of Yosida approximations and their use. This work is intended for researchers and graduate students in mathematics specializing in probability theory and will appeal to numerical analysts, engineers, physicists and practitioners in finance who want to apply the theory of stochastic evolution equations. Since the approach is based mainly in semigroup theory, it is amenable to a wide audience including non-specialists in stochastic processes.

Download or read book Real and Stochastic Analysis written by M. M. Rao and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: As in the case of the two previous volumes published in 1986 and 1997, the purpose of this monograph is to focus the interplay between real (functional) analysis and stochastic analysis show their mutual benefits and advance the subjects. The presentation of each article, given as a chapter, is in a research-expository style covering the respective topics in depth. In fact, most of the details are included so that each work is essentially self contained and thus will be of use both for advanced graduate students and other researchers interested in the areas considered. Moreover, numerous new problems for future research are suggested in each chapter. The presented articles contain a substantial number of new results as well as unified and simplified accounts of previously known ones. A large part of the material cov ered is on stochastic differential equations on various structures, together with some applications. Although Brownian motion plays a key role, (semi-) martingale theory is important for a considerable extent. Moreover, noncommutative analysis and probabil ity have a prominent role in some chapters, with new ideas and results. A more detailed outline of each of the articles appears in the introduction and outline to assist readers in selecting and starting their work. All chapters have been reviewed.

Download or read book Lectures on Random Interfaces written by Tadahisa Funaki and published by Springer. This book was released on 2016-12-27 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interfaces are created to separate two distinct phases in a situation in which phase coexistence occurs. This book discusses randomly fluctuating interfaces in several different settings and from several points of view: discrete/continuum, microscopic/macroscopic, and static/dynamic theories. The following four topics in particular are dealt with in the book.Assuming that the interface is represented as a height function measured from a fixed-reference discretized hyperplane, the system is governed by the Hamiltonian of gradient of the height functions. This is a kind of effective interface model called ∇φ-interface model. The scaling limits are studied for Gaussian (or non-Gaussian) random fields with a pinning effect under a situation in which the rate functional of the corresponding large deviation principle has non-unique minimizers.Young diagrams determine decreasing interfaces, and their dynamics are introduced. The large-scale behavior of such dynamics is studied from the points of view of the hydrodynamic limit and non-equilibrium fluctuation theory. Vershik curves are derived in that limit.A sharp interface limit for the Allen–Cahn equation, that is, a reaction–diffusion equation with bistable reaction term, leads to a mean curvature flow for the interfaces. Its stochastic perturbation, sometimes called a time-dependent Ginzburg–Landau model, stochastic quantization, or dynamic P(φ)-model, is considered. Brief introductions to Brownian motions, martingales, and stochastic integrals are given in an infinite dimensional setting. The regularity property of solutions of stochastic PDEs (SPDEs) of a parabolic type with additive noises is also discussed.The Kardar–Parisi–Zhang (KPZ) equation , which describes a growing interface with fluctuation, recently has attracted much attention. This is an ill-posed SPDE and requires a renormalization. Especially its invariant measures are studied.

Download or read book Stochastic Approximation and Optimization of Random Systems written by Lennart Ljung and published by Birkhauser. This book was released on 1992 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Strong and Weak Approximation of Semilinear Stochastic Evolution Equations written by Raphael Kruse and published by Springer. This book was released on 2013-11-18 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book we analyze the error caused by numerical schemes for the approximation of semilinear stochastic evolution equations (SEEq) in a Hilbert space-valued setting. The numerical schemes considered combine Galerkin finite element methods with Euler-type temporal approximations. Starting from a precise analysis of the spatio-temporal regularity of the mild solution to the SEEq, we derive and prove optimal error estimates of the strong error of convergence in the first part of the book. The second part deals with a new approach to the so-called weak error of convergence, which measures the distance between the law of the numerical solution and the law of the exact solution. This approach is based on Bismut’s integration by parts formula and the Malliavin calculus for infinite dimensional stochastic processes. These techniques are developed and explained in a separate chapter, before the weak convergence is proven for linear SEEq.

Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 2001 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Technical Reports Awareness Circular TRAC written by and published by . This book was released on 1988-07 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Processes and Functional Analysis written by Jerome Goldstein and published by CRC Press. This book was released on 2020-09-24 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Covers the areas of modern analysis and probability theory. Presents a collection of papers given at the Festschrift held in honor of the 65 birthday of M. M. Rao, whose prolific published research includes the well-received Marcel Dekker, Inc. books Theory of Orlicz Spaces and Conditional Measures and Applications. Features previously unpublished research articles by a host of internationally recognized scholars."

Download or read book Introduction to Stochastic Integration written by Kai L. Chung and published by Springer Science & Business Media. This book was released on 1990-01-01 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (§6.4) and the material on re flected Brownian motions (§8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A Russian translation of the latter, without changes, appeared in 1987. Stochastic integration has grown in both theoretical and applicable importance in the last decade, to the extent that this new tool is now sometimes employed without heed to its rigorous requirements. This is no more surprising than the way mathematical analysis was used historically. We hope this modest introduction to the theory and application of this new field may serve as a text at the beginning graduate level, much as certain standard texts in analysis do for the deterministic counterpart. No monograph is worthy of the name of a true textbook without exercises. We have compiled a collection of these, culled from our experiences in teaching such a course at Stanford University and the University of California at San Diego, respectively. We should like to hear from readers who can supply VI PREFACE more and better exercises.