stochastic differential equations and diffusion processes north holland mathematical library

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Stochastic Differential Equations And Diffusion Processes

Author : N. Ikeda
ISBN : 9781483296159
Genre : Mathematics
File Size : 35. 19 MB
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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.

Ergodic Control Of Diffusion Processes

Author : Ari Arapostathis
ISBN : 9780521768405
Genre : Mathematics
File Size : 30. 74 MB
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The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control.

Stochastic Differential Equations

Author : Peter H. Baxendale
ISBN : 9789812770639
Genre : Rozovskii, B.L.
File Size : 86. 30 MB
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This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large class of both linear and non-linear equations. The other papers in this volume were specially written for the occasion of Prof RozovskiiOCOs 60th birthday. They tackle a wide range of topics in the theory and applications of stochastic differential equations, both ordinary and with partial derivatives."

L Enseignement Math Matique

Author :
ISBN : UCAL:B3689519
Genre : Mathematics
File Size : 55. 23 MB
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Vols. for 1965- include a separately paged section, Bulletin bibliographique.

Journal Of Integral Equations

Author :
ISBN : UOM:39015046563410
Genre : Integral equations
File Size : 63. 17 MB
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Semilinear Stochastic Differential Equations In Hilbert Spaces Driven By Non Gaussian Noise And Their Asymptotic Properties

Author : Li Wang
ISBN : MSU:31293027364664
Genre : Hilbert space
File Size : 81. 6 MB
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Notices Of The American Mathematical Society

Author : American Mathematical Society
ISBN : UCSD:31822005594676
Genre : Mathematics
File Size : 86. 29 MB
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Hypoelliptic Heat Kernel Inequalities On Lie Groups

Author : Tai Alexis Melcher
ISBN : UCSD:31822009435975
Genre :
File Size : 49. 24 MB
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Stochastic Processes In Polymeric Fluids

Author : Hans Christian Öttinger
ISBN : UCSD:31822021559778
Genre : Fluid dynamics
File Size : 36. 39 MB
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Stochastic Processes In Physics And Chemistry

Author : N.G. Van Kampen
ISBN : 0080475361
Genre : Science
File Size : 86. 57 MB
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The third edition of Van Kampen's standard work has been revised and updated. The main difference with the second edition is that the contrived application of the quantum master equation in section 6 of chapter XVII has been replaced with a satisfactory treatment of quantum fluctuations. Apart from that throughout the text corrections have been made and a number of references to later developments have been included. From the recent textbooks the following are the most relevant. C.W.Gardiner, Quantum Optics (Springer, Berlin 1991) D.T. Gillespie, Markov Processes (Academic Press, San Diego 1992) W.T. Coffey, Yu.P.Kalmykov, and J.T.Waldron, The Langevin Equation (2nd edition, World Scientific, 2004) * Comprehensive coverage of fluctuations and stochastic methods for describing them * A must for students and researchers in applied mathematics, physics and physical chemistry

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