Download or read book Decoupling on the Wiener Space Related Besov Spaces and Applications to BSDEs written by Stefan Geiss and published by American Mathematical Society. This book was released on 2021-11-16 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.
Download or read book A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black Scholes Partial Differential Equations written by Philipp Grohs and published by American Mathematical Society. This book was released on 2023-04-07 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.
Download or read book Backward Stochastic Differential Equations written by N El Karoui and published by CRC Press. This book was released on 1997-01-17 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.
Download or read book Differentiable Measures and the Malliavin Calculus written by Vladimir Igorevich Bogachev and published by American Mathematical Soc.. This book was released on 2010-07-21 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the reader with the principal concepts and results related to differential properties of measures on infinite dimensional spaces. In the finite dimensional case such properties are described in terms of densities of measures with respect to Lebesgue measure. In the infinite dimensional case new phenomena arise. For the first time a detailed account is given of the theory of differentiable measures, initiated by S. V. Fomin in the 1960s; since then the method has found many various important applications. Differentiable properties are described for diverse concrete classes of measures arising in applications, for example, Gaussian, convex, stable, Gibbsian, and for distributions of random processes. Sobolev classes for measures on finite and infinite dimensional spaces are discussed in detail. Finally, we present the main ideas and results of the Malliavin calculus--a powerful method to study smoothness properties of the distributions of nonlinear functionals on infinite dimensional spaces with measures. The target readership includes mathematicians and physicists whose research is related to measures on infinite dimensional spaces, distributions of random processes, and differential equations in infinite dimensional spaces. The book includes an extensive bibliography on the subject.
Download or read book Stochastic Integration by Parts and Functional It Calculus written by Vlad Bally and published by Birkhäuser. This book was released on 2016-03-11 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains lecture notes from the courses given by Vlad Bally and Rama Cont at the Barcelona Summer School on Stochastic Analysis (July 2012). The notes of the course by Vlad Bally, co-authored with Lucia Caramellino, develop integration by parts formulas in an abstract setting, extending Malliavin's work on abstract Wiener spaces. The results are applied to prove absolute continuity and regularity results of the density for a broad class of random processes. Rama Cont's notes provide an introduction to the Functional Itô Calculus, a non-anticipative functional calculus that extends the classical Itô calculus to path-dependent functionals of stochastic processes. This calculus leads to a new class of path-dependent partial differential equations, termed Functional Kolmogorov Equations, which arise in the study of martingales and forward-backward stochastic differential equations. This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to practitioners in mathematical finance.
Download or read book Foundations of Computational Mathematics written by Ronald A. DeVore and published by Cambridge University Press. This book was released on 2001-05-17 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collection of papers by leading researchers in computational mathematics, suitable for graduate students and researchers.
Download or read book Local Well Posedness and Break Down Criterion of the Incompressible Euler Equations with Free Boundary written by Chao Wang and published by American Mathematical Soc.. This book was released on 2021-07-21 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we prove the local well-posedness of the free boundary problem for the incompressible Euler equations in low regularity Sobolev spaces, in which the velocity is a Lipschitz function and the free surface belongs to C 3 2 +ε. Moreover, we also present a Beale-Kato-Majda type break-down criterion of smooth solution in terms of the mean curvature of the free surface, the gradient of the velocity and Taylor sign condition.
Download or read book Cell Complexes Poset Topology and the Representation Theory of Algebras Arising in Algebraic Combinatorics and Discrete Geometry written by Stuart Margolis and published by American Mathematical Society. This book was released on 2021-12-30 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.
Download or read book Frontiers in Stochastic Analysis BSDEs SPDEs and their Applications written by Samuel N. Cohen and published by Springer Nature. This book was released on 2019-08-31 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics. This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.
Download or read book Large Deviations at Saint Flour written by Robert Azencott and published by Springer. This book was released on 2012-10-25 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contents: Azencott, R. : Large deviations and applications.- Freidlin, Mark I. Semi-linear PDE's and limit theorems for large deviations- Varadhan, Srinivasa R.S.: Large deviations and applications.
Download or read book Quasi Interpolation written by Martin Buhmann and published by Cambridge University Press. This book was released on 2022-03-03 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt: Delve into an in-depth description and analysis of quasi-interpolation, starting from various areas of approximation theory.
Download or read book Local Boundedness Maximum Principles and Continuity of Solutions to Infinitely Degenerate Elliptic Equations with Rough Coefficients written by Lyudmila Korobenko and published by American Mathematical Soc.. This book was released on 2021-06-21 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract: https://bookstore.ams.org/memo-269-1311/
Download or read book Transformation of Measure on Wiener Space written by A.Süleyman Üstünel and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique book on the subject addresses fundamental problems and will be the standard reference for a long time to come. The authors have different scientific origins and combine these successfully, creating a text aimed at graduate students and researchers that can be used for courses and seminars.
Download or read book On Finite GK Dimensional Nichols Algebras over Abelian Groups written by Nicol s Andruskiewitsch and published by American Mathematical Society. This book was released on 2021-09-24 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.
Download or read book Monte Carlo Methods and Stochastic Processes written by Emmanuel Gobet and published by CRC Press. This book was released on 2016-09-15 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear and nonlinear problems in biology, finance, geophysics, mechanics, chemistry, and other application areas. The text also thoroughly develops the problem of numerical integration and computation of expectation by the Monte-Carlo method. The book begins with a history of Monte-Carlo methods and an overview of three typical Monte-Carlo problems: numerical integration and computation of expectation, simulation of complex distributions, and stochastic optimization. The remainder of the text is organized in three parts of progressive difficulty. The first part presents basic tools for stochastic simulation and analysis of algorithm convergence. The second part describes Monte-Carlo methods for the simulation of stochastic differential equations. The final part discusses the simulation of non-linear dynamics.
Download or read book On Generalized Bounded Variation and Approximation of SDEs written by Rainer Avikainen and published by . This book was released on 2009 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Noncommutative Homological Mirror Functor written by Cheol-Hyun Cho and published by American Mathematical Society. This book was released on 2021-09-24 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: View the abstract.
