# stochastic-differential-equations-and-diffusion-processes-north-holland-mathematical-library-

**Download Book Stochastic Differential Equations And Diffusion Processes North Holland Mathematical Library in PDF format. You can Read Online Stochastic Differential Equations And Diffusion Processes North Holland Mathematical Library here in PDF, EPUB, Mobi or Docx formats.**

## Stochastic Differential Equations And Diffusion Processes

**Author :**N. Ikeda

**ISBN :**9781483296159

**Genre :**Mathematics

**File Size :**30. 91 MB

**Format :**PDF, ePub

**Download :**429

**Read :**1078

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.

## Stochastic Differential Equations And Diffusion Processes

**Author :**Nobuyuki Ikeda

**ISBN :**OCLC:1162265799

**Genre :**Diffusion processes

**File Size :**49. 3 MB

**Format :**PDF

**Download :**340

**Read :**801

Stochastic Differential Equations and Diffusion Processes.

## Ergodic Control Of Diffusion Processes

**Author :**Ari Arapostathis

**ISBN :**9780521768405

**Genre :**Mathematics

**File Size :**75. 32 MB

**Format :**PDF

**Download :**225

**Read :**431

The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control.

## Stochastic Analysis

**Author :**Paul Malliavin

**ISBN :**9783642150746

**Genre :**Mathematics

**File Size :**45. 92 MB

**Format :**PDF, ePub

**Download :**406

**Read :**499

In 5 independent sections, this book accounts recent main developments of stochastic analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.

## Stochastic Differential Equations

**Author :**Peter H. Baxendale

**ISBN :**9789812770639

**Genre :**Rozovskii, B.L.

**File Size :**69. 79 MB

**Format :**PDF, Kindle

**Download :**284

**Read :**226

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."

## Real And Stochastic Analysis

**Author :**M. M. Rao

**ISBN :**9781461220541

**Genre :**Mathematics

**File Size :**68. 12 MB

**Format :**PDF, ePub, Mobi

**Download :**234

**Read :**700

As in the case of the two previous volumes published in 1986 and 1997, the purpose of this monograph is to focus the interplay between real (functional) analysis and stochastic analysis show their mutual benefits and advance the subjects. The presentation of each article, given as a chapter, is in a research-expository style covering the respective topics in depth. In fact, most of the details are included so that each work is essentially self contained and thus will be of use both for advanced graduate students and other researchers interested in the areas considered. Moreover, numerous new problems for future research are suggested in each chapter. The presented articles contain a substantial number of new results as well as unified and simplified accounts of previously known ones. A large part of the material cov ered is on stochastic differential equations on various structures, together with some applications. Although Brownian motion plays a key role, (semi-) martingale theory is important for a considerable extent. Moreover, noncommutative analysis and probabil ity have a prominent role in some chapters, with new ideas and results. A more detailed outline of each of the articles appears in the introduction and outline to assist readers in selecting and starting their work. All chapters have been reviewed.

## Analysis And Approximation Of Rare Events

**Author :**Amarjit Budhiraja

**ISBN :**9781493995790

**Genre :**Mathematics

**File Size :**59. 10 MB

**Format :**PDF, Docs

**Download :**312

**Read :**883

This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. A feature of the book is the systematic use of variational representations for quantities of interest such as normalized logarithms of probabilities and expected values. By characterizing a large deviation principle in terms of Laplace asymptotics, one converts the proof of large deviation limits into the convergence of variational representations. These features are illustrated though their application to a broad range of discrete and continuous time models, including stochastic partial differential equations, processes with discontinuous statistics, occupancy models, and many others. The tools used in the large deviation analysis also turn out to be useful in understanding Monte Carlo schemes for the numerical approximation of the same probabilities and expected values. This connection is illustrated through the design and analysis of importance sampling and splitting schemes for rare event estimation. The book assumes a solid background in weak convergence of probability measures and stochastic analysis, and is suitable for advanced graduate students, postdocs and researchers.

## Analysis And Geometry Of Markov Diffusion Operators

**Author :**Dominique Bakry

**ISBN :**9783319002279

**Genre :**Mathematics

**File Size :**32. 29 MB

**Format :**PDF, Docs

**Download :**406

**Read :**980

The present volume is an extensive monograph on the analytic and geometric aspects of Markov diffusion operators. It focuses on the geometric curvature properties of the underlying structure in order to study convergence to equilibrium, spectral bounds, functional inequalities such as Poincaré, Sobolev or logarithmic Sobolev inequalities, and various bounds on solutions of evolution equations. At the same time, it covers a large class of evolution and partial differential equations. The book is intended to serve as an introduction to the subject and to be accessible for beginning and advanced scientists and non-specialists. Simultaneously, it covers a wide range of results and techniques from the early developments in the mid-eighties to the latest achievements. As such, students and researchers interested in the modern aspects of Markov diffusion operators and semigroups and their connections to analytic functional inequalities, probabilistic convergence to equilibrium and geometric curvature will find it especially useful. Selected chapters can also be used for advanced courses on the topic.

## Markov Processes From K It? S Perspective

**Author :**Daniel W. Stroock

**ISBN :**0691115435

**Genre :**Mathematics

**File Size :**61. 25 MB

**Format :**PDF, Mobi

**Download :**815

**Read :**543

Kiyosi Ito's greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. The book should be accessible to readers who have mastered the essentials of modern probability theory and should provide such readers with a reasonably thorough introduction to continuous-time, stochastic processes.

## Fluctuations In Markov Processes

**Author :**Tomasz Komorowski

**ISBN :**9783642298806

**Genre :**Mathematics

**File Size :**83. 26 MB

**Format :**PDF

**Download :**909

**Read :**327

The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses. The second concerns application to exclusion processes, in which the duality methods are fully exploited. The third part is about the homogenization of diffusions in random fields, including passive tracers in turbulent flows (including the superdiffusive behavior). There are no other books in the mathematical literature that deal with this kind of approach to the problem of the central limit theorem. Hence, this volume meets the demand for a monograph on this powerful approach, now widely used in many areas of probability and mathematical physics. The book also covers the connections with and application to hydrodynamic limits and homogenization theory, so besides probability researchers it will also be of interest also to mathematical physicists and analysts.

## Stochastic Simulation And Monte Carlo Methods

**Author :**Carl Graham

**ISBN :**9783642393631

**Genre :**Mathematics

**File Size :**72. 84 MB

**Format :**PDF, Mobi

**Download :**348

**Read :**690

In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations.

## Invariant Measures For Stochastic Nonlinear Schr?dinger Equations

**Author :**Jialin Hong

**ISBN :**9789813290693

**Genre :**Mathematics

**File Size :**80. 78 MB

**Format :**PDF, Docs

**Download :**107

**Read :**211

This book provides some recent advance in the study of stochastic nonlinear Schrödinger equations and their numerical approximations, including the well-posedness, ergodicity, symplecticity and multi-symplecticity. It gives an accessible overview of the existence and uniqueness of invariant measures for stochastic differential equations, introduces geometric structures including symplecticity and (conformal) multi-symplecticity for nonlinear Schrödinger equations and their numerical approximations, and studies the properties and convergence errors of numerical methods for stochastic nonlinear Schrödinger equations. This book will appeal to researchers who are interested in numerical analysis, stochastic analysis, ergodic theory, partial differential equation theory, etc.

## Statistical Methods And Applications In Insurance And Finance

**Author :**M'hamed Eddahbi

**ISBN :**9783319304175

**Genre :**Mathematics

**File Size :**81. 96 MB

**Format :**PDF, ePub

**Download :**347

**Read :**753

This book is the outcome of the CIMPA School on Statistical Methods and Applications in Insurance and Finance, held in Marrakech and Kelaat M'gouna (Morocco) in April 2013. It presents two lectures and seven refereed papers from the school, offering the reader important insights into key topics. The first of the lectures, by Frederic Viens, addresses risk management via hedging in discrete and continuous time, while the second, by Boualem Djehiche, reviews statistical estimation methods applied to life and disability insurance. The refereed papers offer diverse perspectives and extensive discussions on subjects including optimal control, financial modeling using stochastic differential equations, pricing and hedging of financial derivatives, and sensitivity analysis. Each chapter of the volume includes a comprehensive bibliography to promote further research.

## Continuous Time Random Walks For The Numerical Solution Of Stochastic Differential Equations

**Author :**Nawaf Bou-Rabee

**ISBN :**9781470431815

**Genre :**Random walks (Mathematics)

**File Size :**73. 35 MB

**Format :**PDF

**Download :**195

**Read :**984

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.

## S?minaire De Probabilit?s L

**Author :**Catherine Donati-Martin

**ISBN :**9783030285357

**Genre :**Mathematics

**File Size :**35. 98 MB

**Format :**PDF, ePub, Docs

**Download :**420

**Read :**756

This milestone 50th volume of the "Séminaire de Probabilités" pays tribute with a series of memorial texts to one of its former editors, Jacques Azéma, who passed away in January. The founders of the "Séminaire de Strasbourg", which included Jacques Azéma, probably had no idea of the possible longevity and success of the process they initiated in 1967. Continuing in this long tradition, this volume contains contributions on state-of-art research on Brownian filtrations, stochastic differential equations and their applications, regularity structures, quantum diffusion, interlacing diffusions, mod-Ø convergence, Markov soup, stochastic billiards and other current streams of research.

## Stochastic Processes In Polymeric Fluids

**Author :**Hans C. Öttinger

**ISBN :**9783642582905

**Genre :**Technology & Engineering

**File Size :**62. 48 MB

**Format :**PDF, ePub, Docs

**Download :**562

**Read :**643

This book consists of two strongly interweaved parts: the mathematical theory of stochastic processes and its applications to molecular theories of polymeric fluids. The comprehensive mathematical background provided in the first section will be equally useful in many other branches of engineering and the natural sciences. The second part provides readers with a more direct understanding of polymer dynamics, allowing them to identify exactly solvable models more easily, and to develop efficient computer simulation algorithms in a straightforward manner. In view of the examples and applications to problems taken from the front line of science, this volume may be used both as a basic textbook or as a reference book. Program examples written in FORTRAN are available via ftp from ftp.springer.de/pub/chemistry/polysim/.

## Stochastic Analysis And Applications 2014

**Author :**Dan Crisan

**ISBN :**9783319112923

**Genre :**Mathematics

**File Size :**47. 55 MB

**Format :**PDF, ePub, Docs

**Download :**851

**Read :**638

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.

## Xiii Symposium On Probability And Stochastic Processes

**Author :**Sergio I. López

**ISBN :**9783030575137

**Genre :**Mathematics

**File Size :**42. 18 MB

**Format :**PDF, Mobi

**Download :**266

**Read :**379

This volume features a collection of contributed articles and lecture notes from the XIII Symposium on Probability and Stochastic Processes, held at UNAM, Mexico, in December 2017. It is split into two main parts: the first one presents lecture notes of the course provided by Mauricio Duarte, followed by its second part which contains research contributions of some of the participants.

## Affine Diffusions And Related Processes Simulation Theory And Applications

**Author :**Aurélien Alfonsi

**ISBN :**9783319052212

**Genre :**Mathematics

**File Size :**85. 4 MB

**Format :**PDF, Docs

**Download :**193

**Read :**223

This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.

## Selected Papers On Differential Equations And Analysis

**Author :**

**ISBN :**0821839276

**Genre :**Mathematics

**File Size :**86. 4 MB

**Format :**PDF, ePub

**Download :**878

**Read :**559

This volume contains translations of papers that originally appeared in the Japanese journal Sugaku. The papers range over a variety of topics, including differential equations with free boundary, singular integral operators, operator algebras, and relations between the Brownian motion on a manifold with function theory. The volume is suitable for graduate students and research mathematicians interested in analysis and differential equations."