Download or read book Stochastic Analysis and Applications Volume 3 written by Yeol Je Cho and published by Nova Publishers. This book was released on 2003 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Analysis & Applications, Volume 3

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 Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Download or read book Stochastic Calculus and Financial Applications written by J. Michael Steele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

Download or read book Global and Stochastic Analysis with Applications to Mathematical Physics written by Yuri E. Gliklikh and published by Springer Science & Business Media. This book was released on 2010-12-07 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Methods of global analysis and stochastic analysis are most often applied in mathematical physics as separate entities, thus forming important directions in the field. However, while combination of the two subject areas is rare, it is fundamental for the consideration of a broader class of problems. This book develops methods of Global Analysis and Stochastic Analysis such that their combination allows one to have a more or less common treatment for areas of mathematical physics that traditionally are considered as divergent and requiring different methods of investigation. Global and Stochastic Analysis with Applications to Mathematical Physics covers branches of mathematics that are currently absent in monograph form. Through the demonstration of new topics of investigation and results, both in traditional and more recent problems, this book offers a fresh perspective on ordinary and stochastic differential equations and inclusions (in particular, given in terms of Nelson's mean derivatives) on linear spaces and manifolds. Topics covered include classical mechanics on non-linear configuration spaces, problems of statistical and quantum physics, and hydrodynamics. A self-contained book that provides a large amount of preliminary material and recent results which will serve to be a useful introduction to the subject and a valuable resource for further research. It will appeal to researchers, graduate and PhD students working in global analysis, stochastic analysis and mathematical physics.

Download or read book Stochastic Analysis written by Ichirō Shigekawa and published by American Mathematical Soc.. This book was released on 2004 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a concise introduction to stochastic analysis, particularly the Malliavin calculus. A detailed description is given of all technical tools necessary to describe the theory, such as the Wiener process, the Ornstein-Uhlenbeck process, and Sobolev spaces. Applications of stochastic cal

Download or read book Stochastic Processes and Their Applications written by Frank Beichelt and published by CRC Press. This book was released on 2001-10-18 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces stochastic processes and their applications for students in engineering, industrial statistics, science, operations research, business, and finance. It provides the theoretical foundations for modeling time-dependent random phenomena encountered in these disciplines. Through numerous science and engineering-based examples and exercises, the author presents the subject in a comprehensible, practically oriented way, but he also includes some important proofs and theoretically challenging examples and exercises that will appeal to more mathematically minded readers. Solutions to most of the exercises are included either in an appendix or within the text.

Download or read book Stochastic Analysis written by Shigeo Kusuoka and published by Springer Nature. This book was released on 2020-10-20 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions. In the final chapter, applications to mathematical finance are given. The preliminary knowledge needed by the reader is linear algebra and measure theory. Rigorous proofs are provided for theorems, propositions, and lemmas. In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts of the square integrable functions are used in the proof. In stochastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of stochastic differential equations.

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 Algebraic Structures and Applications written by Sergei Silvestrov and published by Springer Nature. This book was released on 2020-06-18 with total page 976 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the latest advances in algebraic structures and applications, and focuses on mathematical concepts, methods, structures, problems, algorithms and computational methods important in the natural sciences, engineering and modern technologies. In particular, it features mathematical methods and models of non-commutative and non-associative algebras, hom-algebra structures, generalizations of differential calculus, quantum deformations of algebras, Lie algebras and their generalizations, semi-groups and groups, constructive algebra, matrix analysis and its interplay with topology, knot theory, dynamical systems, functional analysis, stochastic processes, perturbation analysis of Markov chains, and applications in network analysis, financial mathematics and engineering mathematics. The book addresses both theory and applications, which are illustrated with a wealth of ideas, proofs and examples to help readers understand the material and develop new mathematical methods and concepts of their own. The high-quality chapters share a wealth of new methods and results, review cutting-edge research and discuss open problems and directions for future research. Taken together, they offer a source of inspiration for a broad range of researchers and research students whose work involves algebraic structures and their applications, probability theory and mathematical statistics, applied mathematics, engineering mathematics and related areas.

Download or read book Stochastic Analysis Control Optimization and Applications written by William M. McEneaney and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.

Download or read book Theory and Applications of Stochastic Processes written by Zeev Schuss and published by Springer Science & Business Media. This book was released on 2009-12-09 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.

Download or read book Stochastic Calculus and Applications written by Samuel N. Cohen and published by Birkhäuser. This book was released on 2015-11-18 with total page 673 pages. Available in PDF, EPUB and Kindle. Book excerpt: Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)

Download or read book Stochastic Differential Equations written by Bernt Oksendal and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.

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 Stochastic Analysis of Biochemical Systems written by David F. Anderson and published by Springer. This book was released on 2015-04-23 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on counting processes and continuous-time Markov chains motivated by examples and applications drawn from chemical networks in systems biology. The book should serve well as a supplement for courses in probability and stochastic processes. While the material is presented in a manner most suitable for students who have studied stochastic processes up to and including martingales in continuous time, much of the necessary background material is summarized in the Appendix. Students and Researchers with a solid understanding of calculus, differential equations and elementary probability and who are well-motivated by the applications will find this book of interest. David F. Anderson is Associate Professor in the Department of Mathematics at the University of Wisconsin and Thomas G. Kurtz is Emeritus Professor in the Departments of Mathematics and Statistics at that university. Their research is focused on probability and stochastic processes with applications in biology and other areas of science and technology. These notes are based in part on lectures given by Professor Anderson at the University of Wisconsin – Madison and by Professor Kurtz at Goethe University Frankfurt.

Download or read book Theory of Stochastic Differential Equations with Jumps and Applications written by Rong SITU and published by Springer Science & Business Media. This book was released on 2006-05-06 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere.