Quelques propriétés des équations différentielles stochastiques dans des espaces de Besov-Orlicz PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Quelques propriétés des équations différentielles stochastiques dans des espaces de Besov-Orlicz PDF full book. Access full book title Quelques propriétés des équations différentielles stochastiques dans des espaces de Besov-Orlicz by Mohammed Mellouk. Download full books in PDF and EPUB format.
Author: Mohammed Mellouk
Publisher:
ISBN:
Category :
Languages : en
Pages : 124
Get Book Here
Book Description
LA THESE SE DECOMPOSE EN QUATRES PARTIES INDEPENDANTES QUI TRAITENT DE QUESTIONS RELATIVES AUX PROPRIETES DES TRAJECTOIRES DE DIFFUSIONS (THEOREME DE SUPPORT, GRANDES DEVIATIONS, LOI DE STRASSEN) ET DU TEMPS LOCAL BROWNIEN DANS DES SOUS ESPACES DE FONCTIONS CONTINUES MUNIS D'UNE TOPLOGIE PLUS FORTE QUE CELLE DEFINIE PAR LA NORME UNIFORME CLASSIQUE. PLUS PARTICULIEREMENT, CE TRAVAIL ANALYSE CES PROPRIETES DANS LES ESPACES DE BESOV-ORLICZ QUI CONSTITUENT LA CLASSE LA PLUS FINE RENDANT COMPTE DES PROPRIETES DES TRAJECTOIRES BROWNIENNES AINSI QU'IL RESULTE DES TRAVAUX DE CIESIELSKI, KERKYACHARIAN ET ROYNETTE PAR L'INTERMEDIAIRE DES DESCRIPTIONS ANALYTIQUES DES ESPACES DE BESOV-ORLICZ SUR LA BASE DE HAAR. DANS LES QUATRES PARTIES DE CE TRAVAIL, ON ETUDIE SUCCESSIVEMENT, DANS CES ESPACES, LA REGULARITE DE LA TRAJECTOIRE SPATIALE DU TEMPS LOCAL BROWNIEN (ON MONTRE GRACE A UNE VERSION, DUE A BIANE ET YOR, DU THEOREME DE RAY, QUE LA REGULARITE EN ESPACE DU TEMPS LOCAL BROWNIEN EST LA MEME QUE CELLE DU BROWNIEN LUI MEME), LES GRANDES DEVIATIONS DES EQUATIONS DIFFERENTIELLES ANTICIPATIVES (AU SENS DE STRATONOVICH), LE THEOREME DE SUPPORT DE STROOCK-VARADHAN DE CES MEMES EQUATIONS (EN UTILISANT L'APPROCHE MILLET-SANZ QUI FAIT USAGE DE TRANSFORMATIONS ABSOLUMENT CONTINUES DE L'ESPACE DES TRAJECTOIRES CONSTRUITES PAR INTERPOLATION LINEAIRE ADAPTEE, ON CARACTERISE LE SUPPORT TOPLOGIQUE DE LA LOI DE CES EQUATIONS), LA QUATRIEME PARTIE, PLUS INDEPENDANTE QUE LES AUTRES, EST CONSACREE AU PRINCIPE DE GRANDES DEVIATIONS DES EQUATIONS D'EVOLUTIONS A COEFFICIENTS ALEATOIRES (CE RESULTAT EST OBTENU A L'AIDE D'UN PRINCIPE DE CONTRACTION ETENDU), GENERALISANT AINSI DIVERS TRAVAUX ANTERIEURS.
Author: Mohammed Mellouk
Publisher:
ISBN:
Category :
Languages : en
Pages : 124
Get Book Here
Book Description
LA THESE SE DECOMPOSE EN QUATRES PARTIES INDEPENDANTES QUI TRAITENT DE QUESTIONS RELATIVES AUX PROPRIETES DES TRAJECTOIRES DE DIFFUSIONS (THEOREME DE SUPPORT, GRANDES DEVIATIONS, LOI DE STRASSEN) ET DU TEMPS LOCAL BROWNIEN DANS DES SOUS ESPACES DE FONCTIONS CONTINUES MUNIS D'UNE TOPLOGIE PLUS FORTE QUE CELLE DEFINIE PAR LA NORME UNIFORME CLASSIQUE. PLUS PARTICULIEREMENT, CE TRAVAIL ANALYSE CES PROPRIETES DANS LES ESPACES DE BESOV-ORLICZ QUI CONSTITUENT LA CLASSE LA PLUS FINE RENDANT COMPTE DES PROPRIETES DES TRAJECTOIRES BROWNIENNES AINSI QU'IL RESULTE DES TRAVAUX DE CIESIELSKI, KERKYACHARIAN ET ROYNETTE PAR L'INTERMEDIAIRE DES DESCRIPTIONS ANALYTIQUES DES ESPACES DE BESOV-ORLICZ SUR LA BASE DE HAAR. DANS LES QUATRES PARTIES DE CE TRAVAIL, ON ETUDIE SUCCESSIVEMENT, DANS CES ESPACES, LA REGULARITE DE LA TRAJECTOIRE SPATIALE DU TEMPS LOCAL BROWNIEN (ON MONTRE GRACE A UNE VERSION, DUE A BIANE ET YOR, DU THEOREME DE RAY, QUE LA REGULARITE EN ESPACE DU TEMPS LOCAL BROWNIEN EST LA MEME QUE CELLE DU BROWNIEN LUI MEME), LES GRANDES DEVIATIONS DES EQUATIONS DIFFERENTIELLES ANTICIPATIVES (AU SENS DE STRATONOVICH), LE THEOREME DE SUPPORT DE STROOCK-VARADHAN DE CES MEMES EQUATIONS (EN UTILISANT L'APPROCHE MILLET-SANZ QUI FAIT USAGE DE TRANSFORMATIONS ABSOLUMENT CONTINUES DE L'ESPACE DES TRAJECTOIRES CONSTRUITES PAR INTERPOLATION LINEAIRE ADAPTEE, ON CARACTERISE LE SUPPORT TOPLOGIQUE DE LA LOI DE CES EQUATIONS), LA QUATRIEME PARTIE, PLUS INDEPENDANTE QUE LES AUTRES, EST CONSACREE AU PRINCIPE DE GRANDES DEVIATIONS DES EQUATIONS D'EVOLUTIONS A COEFFICIENTS ALEATOIRES (CE RESULTAT EST OBTENU A L'AIDE D'UN PRINCIPE DE CONTRACTION ETENDU), GENERALISANT AINSI DIVERS TRAVAUX ANTERIEURS.
Author: Madalina Deaconu
Publisher:
ISBN:
Category :
Languages : fr
Pages : 186
Get Book Here
Book Description
La première partie de cette thèse étudie certains processus stochastiques et leur lien avec les équations aux dérivées partielles via les équations différentielles stochastiques. Nous montrons tout d'abord la convergence en loi vers la mesure stationnaire pour un processus stochastique non-linéaire et réfléchi dans l'intervalle [-1,1]. Nous calculons explicitement la mesure stationnaire et nous présentons des approximations numériques pour deux cas particuliers. Ensuite, nous décrivons le comportement des temps d'atteinte pour une diffusion réelle fortement rentrante. Puis, nous considérons certains mouvements browniens réfléchis dans le disque unité et nous cherchons à maximiser l'espérance de leur temps de séjour dans ce disque. Dans la deuxième partie de ce travail, nous présentons quelques applications des espaces de Besov aux processus stochastiques. Nous nous intéressons au départ à l'appartenance du mouvement brownien itéré aux espaces de Besov et aux espaces de Besov-Orlicz. Nous examinons ensuite la régularité dans ces espaces d'un processus à deux indices, solution de l'équation de Walsh. La dernière application présente l'approximation d'une fonction sur le cube d-dimensionnel par le produit tensoriel des réseaux de neurones.
Author: Vladimir Igorevich Bogachev
Publisher: American Mathematical Soc.
ISBN: 082184993X
Category : Mathematics
Languages : en
Pages : 506
Get Book Here
Book Description
This book provides the reader with the principal concepts and results related to differential properties of measures on infinite dimensional spaces. In the finite dimensional case such properties are described in terms of densities of measures with respect to Lebesgue measure. In the infinite dimensional case new phenomena arise. For the first time a detailed account is given of the theory of differentiable measures, initiated by S. V. Fomin in the 1960s; since then the method has found many various important applications. Differentiable properties are described for diverse concrete classes of measures arising in applications, for example, Gaussian, convex, stable, Gibbsian, and for distributions of random processes. Sobolev classes for measures on finite and infinite dimensional spaces are discussed in detail. Finally, we present the main ideas and results of the Malliavin calculus--a powerful method to study smoothness properties of the distributions of nonlinear functionals on infinite dimensional spaces with measures. The target readership includes mathematicians and physicists whose research is related to measures on infinite dimensional spaces, distributions of random processes, and differential equations in infinite dimensional spaces. The book includes an extensive bibliography on the subject.
Author: Björn Böttcher
Publisher: Springer
ISBN: 3319026844
Category : Mathematics
Languages : en
Pages : 215
Get Book Here
Book Description
This volume presents recent developments in the area of Lévy-type processes and more general stochastic processes that behave locally like a Lévy process. Although written in a survey style, quite a few results are extensions of known theorems, and others are completely new. The focus is on the symbol of a Lévy-type process: a non-random function which is a counterpart of the characteristic exponent of a Lévy process. The class of stochastic processes which can be associated with a symbol is characterized, various schemes constructing a stochastic process from a given symbol are discussed, and it is shown how one can use the symbol in order to describe the sample path properties of the underlying process. Lastly, the symbol is used to approximate and simulate Levy-type processes. This is the third volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters. Each volume describes a number of important topics in the theory or applications of Lévy processes and pays tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world.
Author: Frederi Viens
Publisher: Springer Science & Business Media
ISBN: 1461459060
Category : Mathematics
Languages : en
Pages : 580
Get Book Here
Book Description
The stochastic calculus of variations of Paul Malliavin (1925 - 2010), known today as the Malliavin Calculus, has found many applications, within and beyond the core mathematical discipline. Stochastic analysis provides a fruitful interpretation of this calculus, particularly as described by David Nualart and the scores of mathematicians he influences and with whom he collaborates. Many of these, including leading stochastic analysts and junior researchers, presented their cutting-edge research at an international conference in honor of David Nualart's career, on March 19-21, 2011, at the University of Kansas, USA. These scholars and other top-level mathematicians have kindly contributed research articles for this refereed volume.
Author:
Publisher: Nova Publishers
ISBN: 9781600213311
Category : Mathematics
Languages : en
Pages : 194
Get Book Here
Book Description
The African Diaspora presents mathematical research of highest rank. It offers a forum for mathematical research with some emphasis on the contributions of all African mathematicians and the rich connections between all African universities and those of other continents. This includes the Denjoy integral, equivalent cohomology, semi-linear equations, rational approximants, automorphic solutions and characterisations of mulitvariate exponential families.
Author: M. B. Paranjape
Publisher: Springer Nature
ISBN: 3030557774
Category : Electronic books
Languages : en
Pages : 670
Get Book Here
Book Description
This volume of the CRM Conference Series is based on a carefully refereed selection of contributions presented at the "11th International Symposium on Quantum Theory and Symmetries", held in Montreal, Canada from July 1-5, 2019. The main objective of the meeting was to share and make accessible new research and recent results in several branches of Theoretical and Mathematical Physics, including Algebraic Methods, Condensed Matter Physics, Cosmology and Gravitation, Integrability, Non-perturbative Quantum Field Theory, Particle Physics, Quantum Computing and Quantum Information Theory, and String/ADS-CFT. There was also a special session in honour of Decio Levi. The volume is divided into sections corresponding to the sessions held during the symposium, allowing the reader to appreciate both the homogeneity and the diversity of mathematical tools that have been applied in these subject areas. Several of the plenary speakers, who are internationally recognized experts in their fields, have contributed reviews of the main topics to complement the original contributions. .
Author: Daniel Revuz
Publisher: Springer Science & Business Media
ISBN: 3662064006
Category : Mathematics
Languages : en
Pages : 608
Get Book Here
Book Description
"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." –BULLETIN OF THE L.M.S.
Author: Robert C. Dalang
Publisher: Birkhäuser
ISBN: 3034882092
Category : Mathematics
Languages : en
Pages : 310
Get Book Here
Book Description
This volume contains 20 refereed research or review papers presented at the five-day Third Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from September 20 to 24, 1999. The seminar focused on three topics: fundamental aspects of stochastic analysis, physical modeling, and applications to financial engineering. The third topic was the subject of a mini-symposium on stochastic methods in financial models.
Author: Tusheng Zhang
Publisher: World Scientific
ISBN: 9814383589
Category : Business & Economics
Languages : en
Pages : 465
Get Book Here
Book Description
This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory. It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance. Sample Chapter(s). Editorial Foreword (58 KB). Chapter 1: Non-Linear Evolution Equations Driven by Rough Paths (399 KB). Contents: Non-Linear Evolution Equations Driven by Rough Paths (Thomas Cass, Zhongmin Qian and Jan Tudor); Optimal Stopping Times with Different Information Levels and with Time Uncertainty (Arijit Chakrabarty and Xin Guo); Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs (Yingshan Chen, Min Dai and Kun Zhao); MUniform Integrability of Exponential Martingales and Spectral Bounds of Non-Local Feynman-Kac Semigroups (Zhen-Qing Chen); Continuous-Time Mean-Variance Portfolio Selection with Finite Transactions (Xiangyu Cui, Jianjun Gao and Duan Li); Quantifying Model Uncertainties in the Space of Probability Measures (J Duan, T Gao and G He); A PDE Approach to Multivariate Risk Theory (Robert J Elliott, Tak Kuen Siu and Hailiang Yang); Stochastic Analysis on Loop Groups (Shizan Fang); Existence and Stability of Measure Solutions for BSDE with Generators of Quadratic Growth (Alexander Fromm, Peter Imkeller and Jianing Zhang); Convex Capital Requirements for Large Portfolios (Hans FAllmer and Thomas Knispel); The Mixed Equilibrium of Insider Trading in the Market with Rational Expected Price (Fuzhou Gong and Hong Liu); Some Results on Backward Stochastic Differential Equations Driven by Fractional Brownian Motions (Yaozhong Hu, Daniel Ocone and Jian Song); Potential Theory of Subordinate Brownian Motions Revisited (Panki Kim, Renming Song and Zoran Vondraiek); Research on Social Causes of the Financial Crisis (Steven Kou); Wick Formulas and Inequalities for the Quaternion Gaussian and -Permanental Variables (Wenbo V Li and Ang Wei); Further Study on Web Markov Skeleton Processes (Yuting Liu, Zhi-Ming Ma and Chuan Zhou); MLE of Parameters in the Drifted Brownian Motion and Its Error (Lemee Nakamura and Weian Zheng); Optimal Partial Information Control of SPDEs with Delay and Time-Advanced Backward SPDEs (Bernt yksendal, Agn s Sulem and Tusheng Zhang); Simulation of Diversified Portfolios in Continuous Financial Markets (Eckhard Platen and Renata Rendek); Coupling and Applications (Feng-Yu Wang); SDEs and a Generalised Burgers Equation (Jiang-Lun Wu and Wei Yang); Mean-Variance Hedging in the Discontinuous Case (Jianming Xia). Readership: Graduates and researchers in stochatic analysis and mathematical finance.
