Diffusion Processes, Jump Processes, and Stochastic Differential Equations

Diffusion Processes, Jump Processes, and Stochastic Differential Equations PDF Author: Wojbor A. Woyczyński
Publisher: CRC Press
ISBN: 1000475352
Category : Mathematics
Languages : en
Pages : 138

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Book Description
Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.

Diffusion Processes, Jump Processes, and Stochastic Differential Equations

Diffusion Processes, Jump Processes, and Stochastic Differential Equations PDF Author: Wojbor A. Woyczyński
Publisher: CRC Press
ISBN: 1000475352
Category : Mathematics
Languages : en
Pages : 138

Get Book Here

Book Description
Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.

Applied Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions PDF Author: Bernt Øksendal
Publisher: Springer Science & Business Media
ISBN: 3540698264
Category : Mathematics
Languages : en
Pages : 263

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Book Description
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Stochastic Flows and Jump-Diffusions

Stochastic Flows and Jump-Diffusions PDF Author: Hiroshi Kunita
Publisher: Springer
ISBN: 9811338019
Category : Mathematics
Languages : en
Pages : 366

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Book Description
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.

Diffusion Processes, Jump Processes, and Stochastic Differential Equations

Diffusion Processes, Jump Processes, and Stochastic Differential Equations PDF Author: Wojbor Andrzej Woyczyński
Publisher: CRC Press
ISBN: 9781032100678
Category : Diffusion processes
Languages : en
Pages : 144

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Book Description
Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.

Stochastic Flows and Stochastic Differential Equations

Stochastic Flows and Stochastic Differential Equations PDF Author: Hiroshi Kunita
Publisher: Cambridge University Press
ISBN: 9780521599252
Category : Mathematics
Languages : en
Pages : 364

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Book Description
The main purpose of this book is to give a systematic treatment of the theory of stochastic differential equations and stochastic flow of diffeomorphisms, and through the former to study the properties of stochastic flows.The classical theory was initiated by K. Itô and since then has been much developed. Professor Kunita's approach here is to regard the stochastic differential equation as a dynamical system driven by a random vector field, including thereby Itô's theory as a special case. The book can be used with advanced courses on probability theory or for self-study.

Stochastic Modelling of Reaction–Diffusion Processes

Stochastic Modelling of Reaction–Diffusion Processes PDF Author: Radek Erban
Publisher: Cambridge University Press
ISBN: 1108572995
Category : Mathematics
Languages : en
Pages : 322

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Book Description
This practical introduction to stochastic reaction-diffusion modelling is based on courses taught at the University of Oxford. The authors discuss the essence of mathematical methods which appear (under different names) in a number of interdisciplinary scientific fields bridging mathematics and computations with biology and chemistry. The book can be used both for self-study and as a supporting text for advanced undergraduate or beginning graduate-level courses in applied mathematics. New mathematical approaches are explained using simple examples of biological models, which range in size from simulations of small biomolecules to groups of animals. The book starts with stochastic modelling of chemical reactions, introducing stochastic simulation algorithms and mathematical methods for analysis of stochastic models. Different stochastic spatio-temporal models are then studied, including models of diffusion and stochastic reaction-diffusion modelling. The methods covered include molecular dynamics, Brownian dynamics, velocity jump processes and compartment-based (lattice-based) models.

Multidimensional Diffusion Processes

Multidimensional Diffusion Processes PDF Author: Daniel W. Stroock
Publisher: Springer
ISBN: 3540289992
Category : Mathematics
Languages : en
Pages : 338

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Book Description
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik

Inference for Diffusion Processes

Inference for Diffusion Processes PDF Author: Christiane Fuchs
Publisher: Springer Science & Business Media
ISBN: 3642259693
Category : Mathematics
Languages : en
Pages : 439

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Book Description
Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.

Applied Stochastic Differential Equations

Applied Stochastic Differential Equations PDF Author: Simo Särkkä
Publisher: Cambridge University Press
ISBN: 1316510085
Category : Business & Economics
Languages : en
Pages : 327

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Book Description
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Point Processes and Jump Diffusions

Point Processes and Jump Diffusions PDF Author: Tomas Björk
Publisher: Cambridge University Press
ISBN: 1316518671
Category : Business & Economics
Languages : en
Pages : 323

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Book Description
Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.