Download or read book Multiple Wiener Ito Integrals written by Springer and published by . This book was released on 2014-01-15 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multiple Wiener Ito Integrals written by Springer and published by . This book was released on 2013-12-31 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multiple Wiener Ito Integrals written by P. Major and published by Springer. This book was released on 2006-11-14 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Chaos Expansions Multiple Wiener Ito Integrals and Their Applications written by Christian Houdre and published by CRC Press. This book was released on 1994-04-05 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of chaos expansions and multiple Wiener-Ito integrals has become a field of considerable interest in applied and theoretical areas of probability, stochastic processes, mathematical physics, and statistics. Divided into four parts, this book features a wide selection of surveys and recent developments on these subjects. Part 1 introduces the concepts, techniques, and applications of multiple Wiener-Ito and related integrals. The second part includes papers on chaos random variables appearing in many limiting theorems. Part 3 is devoted to mixing, zero-one laws, and path continuity properties of chaos processes. The final part presents several applications to stochastic analysis.
Download or read book Multiple Wiener It Integrals written by Péter Major and published by Springer. This book was released on 2013-12-02 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this Lecture Note is to prove a new type of limit theorems for normalized sums of strongly dependent random variables that play an important role in probability theory or in statistical physics. Here non-linear functionals of stationary Gaussian fields are considered, and it is shown that the theory of Wiener–Itô integrals provides a valuable tool in their study. More precisely, a version of these random integrals is introduced that enables us to combine the technique of random integrals and Fourier analysis. The most important results of this theory are presented together with some non-trivial limit theorems proved with their help. This work is a new, revised version of a previous volume written with the goal of giving a better explanation of some of the details and the motivation behind the proofs. It does not contain essentially new results; it was written to give a better insight to the old ones. In particular, a more detailed explanation of generalized fields is included to show that what is at the first sight a rather formal object is actually a useful tool for carrying out heuristic arguments.
Download or read book Wiener Integrals of Multiple Variations written by Margaret Owchar and published by . This book was released on 1950 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book About mixed multiple Wiener integrals written by Horst Liske and published by . This book was released on 1982 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Remark on the Multiple Wiener Integral written by R. Brigola and published by . This book was released on 1987 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: A short proof is given for Ito's result that the multiple Wiener integral can be written as an iterated stochastic integral, using the martingale property of Brownian motion and a simple property of symmetric tensor products of the L squared - space. (Author).
Download or read book Multiple Integrals written by Walter Ledermann and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to give an elementary treatment of multiple integrals. The notions of integrals extended over a curve, a plane region, a surface and a solid are introduced in tum, and methods for evaluating these integrals are presented in detail. Especial reference is made to the results required in Physics and other mathematical sciences, in which multiple integrals are an indispensable tool. A full theoretical discussion of this topic would involve deep problems of analysis and topology, which are outside the scope of this volume, and concessions had to be made in respect of completeness without, it is hoped, impairing precision and a reasonable standard of rigour. As in the author's Integral Calculus (in this series), the main existence theorems are first explained informally and then stated exactly, but not proved. Topological difficulties are circumvented by imposing some what stringent, though no unrealistic, restrictions on the regions of integration. Numerous examples are worked out in the text, and each chapter is followed by a set of exercises. My thanks are due to my colleague Dr. S. Swierczkowski, who read the manuscript and made valuable suggestions. w. LEDERMANN The University of Sussex, Brighton.
Download or read book On the Estimation of Multiple Random Integrals and U Statistics written by Péter Major and published by Springer. This book was released on 2013-06-28 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work starts with the study of those limit theorems in probability theory for which classical methods do not work. In many cases some form of linearization can help to solve the problem, because the linearized version is simpler. But in order to apply such a method we have to show that the linearization causes a negligible error. The estimation of this error leads to some important large deviation type problems, and the main subject of this work is their investigation. We provide sharp estimates of the tail distribution of multiple integrals with respect to a normalized empirical measure and so-called degenerate U-statistics and also of the supremum of appropriate classes of such quantities. The proofs apply a number of useful techniques of modern probability that enable us to investigate the non-linear functionals of independent random variables. This lecture note yields insights into these methods, and may also be useful for those who only want some new tools to help them prove limit theorems when standard methods are not a viable option.
Download or read book The Multiple Stochastic Integral written by David Douglas Engel and published by American Mathematical Soc.. This book was released on 1982 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author establishes a relation between the theory of multiple stochastic integration and the theory of Banach space valued measures.
Download or read book Multiple Wiener Integrals and Nonlinear Functionals of a Nuclear Space Valued Wiener Process written by Víctor Pérez Abreu and published by . This book was released on 1985 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Let phi be the dual of a Countably Hilbert nuclear space and W sub t be a phi-Wiener process. This work constructs stochastic integrals and multiple Wiener integrals of operator valued processes with respect to W sub t. The Wiener decomposition of the space of phi-valued nonlinear functionals of W sub t is established. Also obtained are multiple stochastic integral expansions and representations of phi-valued nonlinear functionals of W sub t operator valued stochastic integrals of Ito type. (Author).
Download or read book Gaussian Processes written by Takeyuki Hida and published by American Mathematical Soc.. This book was released on with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at students and researchers in mathematics, communications engineering, and economics, this book describes the probabilistic structure of a Gaussian process in terms of its canonical representation (or its innovation process). Multiple Markov properties of a Gaussian process and equivalence problems of Gaussian processes are clearly presented. The authors' approach is unique, involving causality in time evolution and information-theoretic aspects. Because the book is self-contained and only requires background in the fundamentals of probability theory and measure theory, it would be suitable as a textbook at the senior undergraduate or graduate level.
Download or read book Lil Laws and Multiple Wiener It Integrals in Banach Function Spaces Two Papers written by Norvaĭsa, Rimas and published by . This book was released on 1993 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essentials of Stochastic Processes written by Kiyosi Itō and published by American Mathematical Soc.. This book was released on 2006 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an English translation of Kiyosi Ito's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Levy processes), stationary processes, and Markov processes, which constitute the three most important classes of stochastic processes. Written by one of the leading experts in the field, this volume presents to the reader lucid explanations of the fundamental concepts and basic results in each of these three major areasof the theory of stochastic processes. With the requirements limited to an introductory graduate course on analysis (especially measure theory) and basic probability theory, this book is an excellent text for any graduate course on stochastic processes. Kiyosi Ito is famous throughout the world forhis work on stochastic integrals (including the Ito formula), but he has made substantial contributions to other areas of probability theory as well, such as additive processes, stationary processes, and Markov processes (especially diffusion processes), which are topics covered in this book. For his contributions and achievements, he has received, among others, the Wolf Prize, the Japan Academy Prize, and the Kyoto Prize.
Download or read book Stochastic and Multiple Wiener Integrals for Gaussian Processes written by Steel T. Huang and published by . This book was released on 1976 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mulitple Wiener integrals and stochastic integrals are defined for Gaussian processes, extending the related notions for the Wiener process. It is shown that every L2-functional of a Gaussian process admits an adapted stochastic integral representation and an orthogonal series expansion in terms of multiple Wiener integrals. Also some results of Wiener's theory of nonlinear noise are generalized to noises other than white. (Author).
Download or read book Introduction to Stochastic Integration written by Hui-Hsiung Kuo and published by Springer Science & Business Media. This book was released on 2006-02-04 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews: "Introduction to Stochastic Integration is exactly what the title says. I would maybe just add a ‘friendly’ introduction because of the clear presentation and flow of the contents." --THE MATHEMATICAL SCIENCES DIGITAL LIBRARY
