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Author: Ivan Avramidi
Publisher: Birkhäuser
ISBN: 3319262661
Category : Mathematics
Languages : en
Pages : 402
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Book Description
The heart of the book is the development of a short-time asymptotic expansion for the heat kernel. This is explained in detail and explicit examples of some advanced calculations are given. In addition some advanced methods and extensions, including path integrals, jump diffusion and others are presented. The book consists of four parts: Analysis, Geometry, Perturbations and Applications. The first part shortly reviews of some background material and gives an introduction to PDEs. The second part is devoted to a short introduction to various aspects of differential geometry that will be needed later. The third part and heart of the book presents a systematic development of effective methods for various approximation schemes for parabolic differential equations. The last part is devoted to applications in financial mathematics, in particular, stochastic differential equations. Although this book is intended for advanced undergraduate or beginning graduate students in, it should also provide a useful reference for professional physicists, applied mathematicians as well as quantitative analysts with an interest in PDEs.
Author: Ivan Avramidi
Publisher: Birkhäuser
ISBN: 3319262661
Category : Mathematics
Languages : en
Pages : 402
Get Book Here
Book Description
The heart of the book is the development of a short-time asymptotic expansion for the heat kernel. This is explained in detail and explicit examples of some advanced calculations are given. In addition some advanced methods and extensions, including path integrals, jump diffusion and others are presented. The book consists of four parts: Analysis, Geometry, Perturbations and Applications. The first part shortly reviews of some background material and gives an introduction to PDEs. The second part is devoted to a short introduction to various aspects of differential geometry that will be needed later. The third part and heart of the book presents a systematic development of effective methods for various approximation schemes for parabolic differential equations. The last part is devoted to applications in financial mathematics, in particular, stochastic differential equations. Although this book is intended for advanced undergraduate or beginning graduate students in, it should also provide a useful reference for professional physicists, applied mathematicians as well as quantitative analysts with an interest in PDEs.
Author: J.J. Duistermaat
Publisher: Springer Science & Business Media
ISBN: 1461253446
Category : Mathematics
Languages : en
Pages : 245
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Book Description
When visiting M.I.T. for two weeks in October 1994, Victor Guillemin made me enthusiastic about a problem in symplectic geometry which involved the use of the so-called spin-c Dirac operator. Back in Berkeley, where I had l spent a sabbatical semester , I tried to understand the basic facts about this operator: its definition, the main theorems about it, and their proofs. This book is an outgrowth of the notes in which I worked this out. For me this was a great learning experience because of the many beautiful mathematical structures which are involved. I thank the Editorial Board of Birkhauser, especially Haim Brezis, for sug gesting the publication of these notes as a book. I am also very grateful for the suggestions by the referees, which have led to substantial improvements in the presentation. Finally I would like to express special thanks to Ann Kostant for her help and her prodding me, in her charming way, into the right direction. J.J. Duistermaat Utrecht, October 16, 1995.
Author: Ivan G. Avramidi
Publisher: Springer Nature
ISBN: 3031274512
Category : Mathematics
Languages : en
Pages : 197
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Book Description
This monograph studies the heat kernel for the spin-tensor Laplacians on Lie groups and maximally symmetric spaces. It introduces many original ideas, methods, and tools developed by the author and provides a list of all known exact results in explicit form – and derives them – for the heat kernel on spheres and hyperbolic spaces. Part I considers the geometry of simple Lie groups and maximally symmetric spaces in detail, and Part II discusses the calculation of the heat kernel for scalar, spinor, and generic Laplacians on spheres and hyperbolic spaces in various dimensions. This text will be a valuable resource for researchers and graduate students working in various areas of mathematics – such as global analysis, spectral geometry, stochastic processes, and financial mathematics – as well in areas of mathematical and theoretical physics – including quantum field theory, quantum gravity, string theory, and statistical physics.
Author: Ivan G. Avramidi
Publisher: Springer Science & Business Media
ISBN: 3540465235
Category : Science
Languages : en
Pages : 153
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Book Description
This book tackles quantum gravity via the so-called background field method and its effective action functional. The author presents an explicitly covariant and effective technique to calculate the de Witt coefficients and to analyze the Schwinger-de Wit asymptotic expansion of the effective action. He also investigates the ultraviolet behaviour of higher-derivative quantum gravity. The book addresses theoretical physicists, graduate students as well as researchers, but should also be of interest to physicists working in mathematical or elementary particle physics.
Author: Alexander Grigoryan
Publisher: American Mathematical Soc.
ISBN: 0821893939
Category : Education
Languages : en
Pages : 504
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Book Description
The heat kernel has long been an essential tool in both classical and modern mathematics but has become especially important in geometric analysis as a result of major innovations beginning in the 1970s. The methods based on heat kernels have been used in areas as diverse as analysis, geometry, and probability, as well as in physics. This book is a comprehensive introduction to heat kernel techniques in the setting of Riemannian manifolds, which inevitably involves analysis of the Laplace-Beltrami operator and the associated heat equation. The first ten chapters cover the foundations of the subject, while later chapters deal with more advanced results involving the heat kernel in a variety of settings. The exposition starts with an elementary introduction to Riemannian geometry, proceeds with a thorough study of the spectral-theoretic, Markovian, and smoothness properties of the Laplace and heat equations on Riemannian manifolds, and concludes with Gaussian estimates of heat kernels. Grigor'yan has written this book with the student in mind, in particular by including over 400 exercises. The text will serve as a bridge between basic results and current research.Titles in this series are co-published with International Press, Cambridge, MA, USA.
Author: Berthold-georg Englert
Publisher: World Scientific
ISBN: 9811213151
Category : Science
Languages : en
Pages : 336
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Book Description
The Julian Schwinger Centennial Conference of 2018 assembled many of Schwinger's students, colleagues, and friends to celebrate this towering figure of twentieth century physics one hundred years after his birth. This proceedings volume collects talks delivered on this occasion. They cover a wide range of topics, all related to Schwinger's rich scientific legacy — supplemented by personal recollections about Julian Schwinger, the physicist, the teacher, and the gentleman.Also included are an essay of 1985, co-authored by Schwinger but not published previously, as well as the transcripts of speeches by distinguished colleagues at the 1978 gathering when Schwinger's sixtieth birthday was celebrated.
Author: Carlos A. Berenstein
Publisher: American Mathematical Soc.
ISBN: 0821827618
Category : Mathematics
Languages : en
Pages : 333
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Book Description
For nearly two centuries, the relation between analytic functions of one complex variable, their boundary values, harmonic functions, and the theory of Fourier series has been one of the central topics of study in mathematics. The topic stands on its own, yet also provides very useful mathematical applications. This text provides a self-contained introduction to the corresponding questions in several complex variables: namely, analysis on the Heisenberg group and the study of the solutions of the boundary Cauchy-Riemann equations. In studying this material, readers are exposed to analysis in non-commutative compact and Lie groups, specifically the rotation group and the Heisenberg groups-both fundamental in the theory of group representations and physics. Introduced in a concrete setting are the main ideas of the Calderón-Zygmund-Stein school of harmonic analysis. Also considered in the book are some less conventional problems of harmonic and complex analysis, in particular, the Morera and Pompeiu problems for the Heisenberg group, which relates to questions in optics, tomography, and engineering. The book was borne of graduate courses and seminars held at the University of Maryland (College Park), the University of Toronto (ON), Georgetown University (Washington, DC), and the University of Georgia (Athens). Readers should have an advanced undergraduate understanding of Fourier analysis and complex analysis in one variable.
Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 534
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Book Description
Author: Ovidiu Calin
Publisher: Springer Science & Business Media
ISBN: 0817649956
Category : Mathematics
Languages : en
Pages : 444
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Book Description
This monograph is a unified presentation of several theories of finding explicit formulas for heat kernels for both elliptic and sub-elliptic operators. These kernels are important in the theory of parabolic operators because they describe the distribution of heat on a given manifold as well as evolution phenomena and diffusion processes. Heat Kernels for Elliptic and Sub-elliptic Operators is an ideal reference for graduate students, researchers in pure and applied mathematics, and theoretical physicists interested in understanding different ways of approaching evolution operators.
Author: Ovidiu Calin
Publisher: World Scientific Publishing Company
ISBN: 9813203102
Category : Business & Economics
Languages : en
Pages : 482
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Book Description
What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.Topics covered:
