Download or read book New Trends in Stochastic Analysis and Related Topics written by Huaizhong Zhao and published by World Scientific. This book was released on 2012 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.
Download or read book Stochastic Analysis and Related Topics VII written by Laurent Decreusefond and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most challenging subjects of stochastic analysis in relation to physics is the analysis of heat kernels on infinite dimensional manifolds. The simplest nontrivial case is that of thepath and loop space on a Lie group. In this volume an up-to-date survey of the topic is given by Leonard Gross, a prominent developer of the theory. Another concise but complete survey of Hausdorff measures on Wiener space and its applications to Malliavin Calculus is given by D. Feyel, one of the most active specialists in this area. Other survey articles deal with short-time asymptotics of diffusion pro cesses with values in infinite dimensional manifolds and large deviations of diffusions with discontinuous drifts. A thorough survey is given of stochas tic integration with respect to the fractional Brownian motion, as well as Stokes' formula for the Brownian sheet, and a new version of the log Sobolev inequality on the Wiener space. Professional mathematicians looking for an overview of the state-of-the art in the above subjects will find this book helpful. In addition, graduate students as well as researchers whose domain requires stochastic analysis will find the original results of interest for their own research. The organizers acknowledge gratefully the financial help ofthe University of Oslo, and the invaluable aid of Professor Bernt 0ksendal and l'Ecole Nationale Superieure des Telecommunications.
Download or read book Stochastic Analysis and Related Topics written by J.E. Lindstrom and published by CRC Press. This book was released on 1993-12-08 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1993. Routledge is an imprint of Taylor & Francis, an informa company.
Download or read book Recent Development In Stochastic Dynamics And Stochastic Analysis written by Jinqiao Duan and published by World Scientific. This book was released on 2010-02-08 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic dynamical systems and stochastic analysis are of great interests not only to mathematicians but also to scientists in other areas. Stochastic dynamical systems tools for modeling and simulation are highly demanded in investigating complex phenomena in, for example, environmental and geophysical sciences, materials science, life sciences, physical and chemical sciences, finance and economics.The volume reflects an essentially timely and interesting subject and offers reviews on the recent and new developments in stochastic dynamics and stochastic analysis, and also some possible future research directions. Presenting a dozen chapters of survey papers and research by leading experts in the subject, the volume is written with a wide audience in mind ranging from graduate students, junior researchers to professionals of other specializations who are interested in the subject.
Download or read book Stochastic Analysis A Series of Lectures written by Robert C. Dalang and published by Birkhäuser. This book was released on 2015-07-28 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in thirteen refereed survey articles an overview of modern activity in stochastic analysis, written by leading international experts. The topics addressed include stochastic fluid dynamics and regularization by noise of deterministic dynamical systems; stochastic partial differential equations driven by Gaussian or Lévy noise, including the relationship between parabolic equations and particle systems, and wave equations in a geometric framework; Malliavin calculus and applications to stochastic numerics; stochastic integration in Banach spaces; porous media-type equations; stochastic deformations of classical mechanics and Feynman integrals and stochastic differential equations with reflection. The articles are based on short courses given at the Centre Interfacultaire Bernoulli of the Ecole Polytechnique Fédérale de Lausanne, Switzerland, from January to June 2012. They offer a valuable resource not only for specialists, but also for other researchers and Ph.D. students in the fields of stochastic analysis and mathematical physics. Contributors: S. Albeverio M. Arnaudon V. Bally V. Barbu H. Bessaih Z. Brzeźniak K. Burdzy A.B. Cruzeiro F. Flandoli A. Kohatsu-Higa S. Mazzucchi C. Mueller J. van Neerven M. Ondreját S. Peszat M. Veraar L. Weis J.-C. Zambrini
Download or read book Stochastic Analysis And Applications To Finance Essays In Honour Of Jia an Yan written by Tusheng Zhang and published by World Scientific. This book was released on 2012-07-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.
Download or read book Stochastic Analysis and Applications 2014 written by Dan Crisan and published by Springer. This book was released on 2014-12-13 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developments. It constitutes the proceedings of the conference on "Stochastic Analysis and Applications" held at the University of Oxford and the Oxford-Man Institute during 23-27 September, 2013. The conference honored the 60th birthday of Professor Terry Lyons FLSW FRSE FRS, Wallis Professor of Mathematics, University of Oxford. Terry Lyons is one of the leaders in the field of stochastic analysis. His introduction of the notion of rough paths has revolutionized the field, both in theory and in practice. Stochastic Analysis is the branch of mathematics that deals with the analysis of dynamical systems affected by noise. It emerged as a core area of mathematics in the late 20th century and has subsequently developed into an important theory with a wide range of powerful and novel tools, and with impressive applications within and beyond mathematics. Many systems are profoundly affected by stochastic fluctuations and it is not surprising that the array of applications of Stochastic Analysis is vast and touches on many aspects of life. The present volume is intended for researchers and Ph.D. students in stochastic analysis and its applications, stochastic optimization and financial mathematics, as well as financial engineers and quantitative analysts.
Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.
Download or read book Seminar on Stochastic Analysis Random Fields and Applications IV written by Robert Dalang and published by Birkhäuser. This book was released on 2012-12-06 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains twenty refereed papers presented at the 4th Seminar on Stochastic Processes, Random Fields and Applications, which took place in Ascona, Switzerland, from May 2002. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance and insurance.
Download or read book Stochastic Processes and Models in Operations Research written by Anbazhagan, Neelamegam and published by IGI Global. This book was released on 2016-03-24 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision-making is an important task no matter the industry. Operations research, as a discipline, helps alleviate decision-making problems through the extraction of reliable information related to the task at hand in order to come to a viable solution. Integrating stochastic processes into operations research and management can further aid in the decision-making process for industrial and management problems. Stochastic Processes and Models in Operations Research emphasizes mathematical tools and equations relevant for solving complex problems within business and industrial settings. This research-based publication aims to assist scholars, researchers, operations managers, and graduate-level students by providing comprehensive exposure to the concepts, trends, and technologies relevant to stochastic process modeling to solve operations research problems.
Download or read book Stochastic Flows and Jump Diffusions written by Hiroshi Kunita and published by Springer. This book was released on 2019-03-26 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stochastic Analysis and Mathematical Physics written by A.B. Cruzeiro and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume represents the outgrowth of an ongoing workshop on stochastic analysis held in Lisbon. The nine survey articles in the volume extend concepts from classical probability and stochastic processes to a number of areas of mathematical physics. It is a good reference text for researchers and advanced students in the fields of probability, stochastic processes, analysis, geometry, mathematical physics, and physics. Key topics covered include: nonlinear stochastic wave equations, completely positive maps, Mehler-type semigroups on Hilbert spaces, entropic projections, and many others.
Download or read book An Introduction To Nonautonomous Dynamical Systems And Their Attractors written by Peter Kloeden and published by World Scientific. This book was released on 2020-11-25 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: The nature of time in a nonautonomous dynamical system is very different from that in autonomous systems, which depend only on the time that has elapsed since starting rather than on the actual time itself. Consequently, limiting objects may not exist in actual time as in autonomous systems. New concepts of attractors in nonautonomous dynamical system are thus required.In addition, the definition of a dynamical system itself needs to be generalised to the nonautonomous context. Here two possibilities are considered: two-parameter semigroups or processes and the skew product flows. Their attractors are defined in terms of families of sets that are mapped onto each other under the dynamics rather than a single set as in autonomous systems. Two types of attraction are now possible: pullback attraction, which depends on the behaviour from the system in the distant past, and forward attraction, which depends on the behaviour of the system in the distant future. These are generally independent of each other.The component subsets of pullback and forward attractors exist in actual time. The asymptotic behaviour in the future limit is characterised by omega-limit sets, in terms of which form what are called forward attracting sets. They are generally not invariant in the conventional sense, but are asymptotically invariant in general and, if the future dynamics is appropriately uniform, also asymptotically negatively invariant.Much of this book is based on lectures given by the authors in Frankfurt and Wuhan. It was written mainly when the first author held a 'Thousand Expert' Professorship at the Huazhong University of Science and Technology in Wuhan.
Download or read book Stochastic Analysis and Applications written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2007-04-24 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over presented the newest developments within the exciting and fast growing field of stochastic analysis. This volume combines both papers from the invited speakers and contributions by the presenting lecturers. In addition, it includes the Memoirs that Kiyoshi Ito wrote for this occasion.
Download or read book Mathematical Reviews written by and published by . This book was released on 2004 with total page 1804 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Analysis 2010 written by Dan Crisan and published by Springer Science & Business Media. This book was released on 2010-11-26 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume “Stochastic Analysis 2010” provides a sample of the current research in the different branches of the subject. It includes the collected works of the participants at the Stochastic Analysis section of the 7th ISAAC Congress organized at Imperial College London in July 2009.
Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.
