Stochastic Differential Equations and Diffusion Processes

Author: N. Ikeda,S. Watanabe

Publisher: Elsevier

ISBN: 1483296156

Category: Mathematics

Page: 572

View: 6443

Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis. A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sections discussing complex (conformal) martingales and Kahler diffusions have been added.
Posted in Mathematics

Numerical Solution of Stochastic Differential Equations

Author: Peter E. Kloeden,Eckhard Platen

Publisher: Springer Science & Business Media

ISBN: 3662126168

Category: Mathematics

Page: 636

View: 4999

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Posted in Mathematics

Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

Author: Etienne Pardoux,Aurel Rӑşcanu

Publisher: Springer

ISBN: 3319057146

Category: Mathematics

Page: 667

View: 7941

This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter. Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, Economics and Finance, where random processes play an increasingly important role. One important aspect is the connection between diffusion processes and linear partial differential equations of second order, which is in particular the basis for Monte Carlo numerical methods for linear PDEs. Since the pioneering work of Peng and Pardoux in the early 1990s, a new type of SDEs called backward stochastic differential equations (BSDEs) has emerged. The two main reasons why this new class of equations is important are the connection between BSDEs and semilinear PDEs, and the fact that BSDEs constitute a natural generalization of the famous Black and Scholes model from Mathematical Finance, and thus offer a natural mathematical framework for the formulation of many new models in Finance.
Posted in Mathematics

Stochastic Differential Equations

Author: Joseph Bishop Keller

Publisher: American Mathematical Soc.

ISBN: 9780821813256

Category: Mathematics

Page: 209

View: 4319

Posted in Mathematics

Stochastic Differential Equations

With Applications to Physics and Engineering

Author: K. Sobczyk

Publisher: Springer Science & Business Media

ISBN: 9781402003455

Category: Mathematics

Page: 400

View: 2911

'Et moi, ..~ si lavait su CO.llUlJalt en revc:nir, One acMcc matbcmatica bu JaIdcred the human rac:c. It bu put COIDIDOD _ beet je n'y serais point aBe.' Jules Verne wbac it bdoup, 0Jl !be~ IbcII _t to !be dusty cauialcr Iabc&d 'diMardod__ The series is divergent; thc:reforc we may be -'. I!.ticT. Bc:I1 able to do something with it. O. Hcavisidc Mathematics is a tool for thought. A highly necessary tool in a world when: both feedback and non­ linearities abound. Similarly. all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statcmalts as: 'One service topology has rendered mathematical physics ...•; 'One service logic has rendered c0m­ puter science ...'; 'One service category theory has rendered mathematics ...'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series. This series, Mathematics and Its Applications. started in 19n. Now that over one hundred volumes have appeared it seems opportune to reexamine its scope. At the time I wrote "Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However. the 'tree' of knowledge of mathematics and related fields does not grow only by putting forth new branc:hes. It also happens, quite often in fact, that branches which were thought to be completely.
Posted in Mathematics

Stochastic Processes and Applications

Diffusion Processes, the Fokker-Planck and Langevin Equations

Author: Grigorios A. Pavliotis

Publisher: Springer

ISBN: 1493913239

Category: Mathematics

Page: 339

View: 7721

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.
Posted in Mathematics

Stochastic Differential Equations

Lectures given at a Summer School of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Cortona (Arezzo), Italy, May 29-June 10, 1978

Author: Jaures Cecconi

Publisher: Springer Science & Business Media

ISBN: 9783642110795

Category: Mathematics

Page: 249

View: 2124

C. Doleans-Dade: Stochastic processes and stochastic differential equations.- A. Friedman: Stochastic differential equations and applications.- D.W. Stroock, S.R.S. Varadhan: Theory of diffusion processes.- G.C. Papanicolaou: Wave propagation and heat conduction in a random medium.- C. Dewitt Morette: A stochastic problem in Physics.- G.S. Goodman: The embedding problem for stochastic matrices.
Posted in Mathematics

Stochastic Analysis and Diffusion Processes

Author: Gopinath Kallianpur,P Sundar

Publisher: Oxford University Press

ISBN: 0199657068

Category: Mathematics

Page: 352

View: 2026

Beginning with the concept of random processes and Brownian motion and building on the theory and research directions in a self-contained manner, this book provides an introduction to stochastic analysis for graduate students, researchers and applied scientists interested in stochastic processes and their applications.
Posted in Mathematics

Stochastic Differential Equations

Theory and Applications

Author: Ludwig Arnold

Publisher: Severn House Paperbacks

ISBN: 9780486482361

Category: Stochastic differential equations

Page: 256

View: 5322

Practical and not too rigorous, this highly readable text on stochastic calculus provides an excellent introduction to stochastic partial differential equations. Written at a moderately advanced level, it covers important topics often ignored by other texts on the subject—including Fokker-Planck equations—and it functions as both a classroom text and a reference for professionals and students. The only prerequisite is the mathematical preparation usual for students of physical and engineering sciences. An introductory chapter, intended for reference and review, covers the basics of probability theory. Subsequent chapters focus on Markov and diffusion processes, Wiener process and white noise, and stochastic integrals and differential equations. Additional topics include questions of modeling and approximation, stability of stochastic dynamic systems, optimal filtering of a disturbed signal, and optimal control of stochastic dynamic systems.
Posted in Stochastic differential equations

Statistical Methods for Stochastic Differential Equations

Author: Mathieu Kessler,Alexander Lindner,Michael Sorensen

Publisher: CRC Press

ISBN: 1439849765

Category: Mathematics

Page: 507

View: 409

The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research. The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions. Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
Posted in Mathematics

High-dimensional Nonlinear Diffusion Stochastic Processes

Modelling for Engineering Applications

Author: Yevgeny Mamontov,M. Willander

Publisher: World Scientific

ISBN: 9789812810540

Category: Mathematics

Page: 297

View: 5775

Annotation This book is one of the first few devoted to high-dimensional diffusion stochastic processes with nonlinear coefficients. These processes are closely associated with large systems of Ito's stochastic differential equations and with discretized-in-the-parameter versions of Ito's stochastic differential equations that are nonlocally dependent on the parameter. The latter models include Ito's stochastic integro-differential, partial differential and partial integro-differential equations.The book presents the new analytical treatment which can serve as the basis of a combined, analytical -- numerical approach to greater computational efficiency. Some examples of the modelling of noise in semiconductor devices are provided
Posted in Mathematics

Diffusion Processes and Related Problems in Analysis, Volume II

Stochastic Flows

Author: V. Wihstutz,M.A. Pinsky

Publisher: Springer Science & Business Media

ISBN: 1461203899

Category: Mathematics

Page: 346

View: 7012

During the weekend of March 16-18, 1990 the University of North Carolina at Charlotte hosted a conference on the subject of stochastic flows, as part of a Special Activity Month in the Department of Mathematics. This conference was supported jointly by a National Science Foundation grant and by the University of North Carolina at Charlotte. Originally conceived as a regional conference for researchers in the Southeastern United States, the conference eventually drew participation from both coasts of the U. S. and from abroad. This broad-based par ticipation reflects a growing interest in the viewpoint of stochastic flows, particularly in probability theory and more generally in mathematics as a whole. While the theory of deterministic flows can be considered classical, the stochastic counterpart has only been developed in the past decade, through the efforts of Harris, Kunita, Elworthy, Baxendale and others. Much of this work was done in close connection with the theory of diffusion processes, where dynamical systems implicitly enter probability theory by means of stochastic differential equations. In this regard, the Charlotte conference served as a natural outgrowth of the Conference on Diffusion Processes, held at Northwestern University, Evanston Illinois in October 1989, the proceedings of which has now been published as Volume I of the current series. Due to this natural flow of ideas, and with the assistance and support of the Editorial Board, it was decided to organize the present two-volume effort.
Posted in Mathematics

Wahrscheinlichkeitstheorie und Stochastische Prozesse

Author: Michael Mürmann

Publisher: Springer-Verlag

ISBN: 364238160X

Category: Mathematics

Page: 428

View: 2134

Dieses Lehrbuch beschäftigt sich mit den zentralen Gebieten einer maßtheoretisch orientierten Wahrscheinlichkeitstheorie im Umfang einer zweisemestrigen Vorlesung. Nach den Grundlagen werden Grenzwertsätze und schwache Konvergenz behandelt. Es folgt die Darstellung und Betrachtung der stochastischen Abhängigkeit durch die bedingte Erwartung, die mit der Radon-Nikodym-Ableitung realisiert wird. Sie wird angewandt auf die Theorie der stochastischen Prozesse, die nach der allgemeinen Konstruktion aus der Untersuchung von Martingalen und Markov-Prozessen besteht. Neu in einem Lehrbuch über allgemeine Wahrscheinlichkeitstheorie ist eine Einführung in die stochastische Analysis von Semimartingalen auf der Grundlage einer geeigneten Stetigkeitsbedingung mit Anwendungen auf die Theorie der Finanzmärkte. Das Buch enthält zahlreiche Übungen, teilweise mit Lösungen. Neben der Theorie vertiefen Anmerkungen, besonders zu mathematischen Modellen für Phänomene der Realität, das Verständnis.​
Posted in Mathematics

Stochastic Differential Equations

Convection-Diffusion Equation, Doléans-Dade Exponential, Dynkin's Formula, Euler-Maruyama Method, Filtering Problem

Author: Source Wikipedia

Publisher: University-Press.org

ISBN: 9781230498966

Category:

Page: 90

View: 5734

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Pages: 28. Chapters: Convection-diffusion equation, Doleans-Dade exponential, Dynkin's formula, Euler-Maruyama method, Filtering problem (stochastic processes), Freidlin-Wentzell theorem, Green measure, Hormander's condition, Infinitesimal generator (stochastic processes), It diffusion, Kalman filter, Kolmogorov backward equations (diffusion), Milstein method, Ornstein-Uhlenbeck process, Random dynamical system, Reversible diffusion, Runge-Kutta method (SDE), Stochastic differential equation, Stochastic partial differential equation, Stochastic processes and boundary value problems, Tanaka equation, Telegraph process, Wiener equation, Zakai equation.
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Simulation and Inference for Stochastic Differential Equations

With R Examples

Author: Stefano M. Iacus

Publisher: Springer Science & Business Media

ISBN: 9780387758398

Category: Computers

Page: 286

View: 9153

This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential equations, the concentration here on inference makes this book stand out. No other direct competitors are known to date. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners and students with minimal mathematical background. What’s more, because of the many R programs, the information here is appropriate for many mathematically well educated practitioners, too.
Posted in Computers

The Theory of Stochastic Processes III

Author: I. I. Gihman,A. V. Skorohod

Publisher: Springer Science & Business Media

ISBN: 146158065X

Category: Mathematics

Page: 388

View: 3986

Posted in Mathematics

Probability Theory III

Stochastic Calculus

Author: Yurij V. Prokhorov,Albert N. Shiryaev

Publisher: Springer Science & Business Media

ISBN: 3662036401

Category: Mathematics

Page: 256

View: 4705

This volume of the Encyclopaedia is a survey of stochastic calculus, an increasingly important part of probability, authored by well-known experts in the field. The book addresses graduate students and researchers in probability theory and mathematical statistics, as well as physicists and engineers who need to apply stochastic methods.
Posted in Mathematics