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Author: Kiyosi Itô
Publisher: Springer Science & Business Media
ISBN: 3642620256
Category : Mathematics
Languages : en
Pages : 341
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Book Description
Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.
Author: Kiyosi Itô
Publisher: Springer Science & Business Media
ISBN: 3642620256
Category : Mathematics
Languages : en
Pages : 341
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Book Description
Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.
Author: Mark S. Swanson
Publisher: Courier Corporation
ISBN: 0486493067
Category : Science
Languages : en
Pages : 463
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Book Description
Graduate-level, systematic presentation of path integral approach to calculating transition elements, partition functions, and source functionals. Covers Grassmann variables, field and gauge field theory, perturbation theory, and nonperturbative results. 1992 edition.
Author: Mohamed Abdelghani
Publisher: CRC Press
ISBN: 0429809247
Category : Business & Economics
Languages : en
Pages : 493
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Book Description
It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc. Authors Mohamed Abdelghani completed his PhD in mathematical finance from the University of Alberta, Edmonton, Canada. He is currently working as a vice president in quantitative finance and machine learning at Morgan Stanley, New York, USA. Alexander Melnikov is a professor in mathematical finance at the University of Alberta. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in mathematical finance, statistics and actuarial science. He has written six books as well as over 100 research papers in leading academic journals.
Author: Horacio S. Wio
Publisher: World Scientific
ISBN: 9814449040
Category : Mathematics
Languages : en
Pages : 174
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Book Description
This book provides an introductory albeit solid presentation of path integration techniques as applied to the field of stochastic processes. The subject began with the work of Wiener during the 1920''s, corresponding to a sum over random trajectories, anticipating by two decades Feynman''s famous work on the path integral representation of quantum mechanics. However, the true trigger for the application of these techniques within nonequilibrium statistical mechanics and stochastic processes was the work of Onsager and Machlup in the early 1950''s. The last quarter of the 20th century has witnessed a growing interest in this technique and its application in several branches of research, even outside physics (for instance, in economy).The aim of this book is to offer a brief but complete presentation of the path integral approach to stochastic processes. It could be used as an advanced textbook for graduate students and even ambitious undergraduates in physics. It describes how to apply these techniques for both Markov and non-Markov processes. The path expansion (or semiclassical approximation) is discussed and adapted to the stochastic context. Also, some examples of nonlinear transformations and some applications are discussed, as well as examples of rather unusual applications. An extensive bibliography is included. The book is detailed enough to capture the interest of the curious reader, and complete enough to provide a solid background to explore the research literature and start exploiting the learned material in real situations.
Author: John O'Brien
Publisher:
ISBN: 9781927771051
Category : Group facilitation
Languages : en
Pages : 71
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Book Description
Author: Horacio Sergio Wio
Publisher: World Scientific
ISBN: 9814449059
Category : Science
Languages : en
Pages : 174
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Book Description
This book provides an introductory albeit solid presentation of path integration techniques as applied to the field of stochastic processes. The subject began with the work of Wiener during the 1920's, corresponding to a sum over random trajectories, anticipating by two decades Feynman's famous work on the path integral representation of quantum mechanics. However, the true trigger for the application of these techniques within nonequilibrium statistical mechanics and stochastic processes was the work of Onsager and Machlup in the early 1950's. The last quarter of the 20th century has witnessed a growing interest in this technique and its application in several branches of research, even outside physics (for instance, in economy).The aim of this book is to offer a brief but complete presentation of the path integral approach to stochastic processes. It could be used as an advanced textbook for graduate students and even ambitious undergraduates in physics. It describes how to apply these techniques for both Markov and non-Markov processes. The path expansion (or semiclassical approximation) is discussed and adapted to the stochastic context. Also, some examples of nonlinear transformations and some applications are discussed, as well as examples of rather unusual applications. An extensive bibliography is included. The book is detailed enough to capture the interest of the curious reader, and complete enough to provide a solid background to explore the research literature and start exploiting the learned material in real situations. remove /a
Author: Peter K. Friz
Publisher: Cambridge University Press
ISBN: 1139487213
Category : Mathematics
Languages : en
Pages : 671
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Book Description
Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differential equations. Key theorems of modern stochastic analysis (existence and limit theorems for stochastic flows, Freidlin-Wentzell theory, the Stroock-Varadhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (Wong-Zakai, McShane's counterexample) receive 'obvious' rough path explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.
Author: Robert T. Balmer
Publisher: Academic Press
ISBN: 0123850738
Category : Technology & Engineering
Languages : en
Pages : 905
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Book Description
Modern Engineering Thermodynamics - Textbook with Tables Booklet offers a problem-solving approach to basic and applied engineering thermodynamics, with historical vignettes, critical thinking boxes and case studies throughout to help relate abstract concepts to actual engineering applications. It also contains applications to modern engineering issues. This textbook is designed for use in a standard two-semester engineering thermodynamics course sequence, with the goal of helping students develop engineering problem solving skills through the use of structured problem-solving techniques. The first half of the text contains material suitable for a basic Thermodynamics course taken by engineers from all majors. The second half of the text is suitable for an Applied Thermodynamics course in mechanical engineering programs. The Second Law of Thermodynamics is introduced through a basic entropy concept, providing students a more intuitive understanding of this key course topic. Property Values are discussed before the First Law of Thermodynamics to ensure students have a firm understanding of property data before using them. Over 200 worked examples and more than 1,300 end of chapter problems provide an extensive opportunity to practice solving problems. For greater instructor flexibility at exam time, thermodynamic tables are provided in a separate accompanying booklet. University students in mechanical, chemical, and general engineering taking a thermodynamics course will find this book extremely helpful. Provides the reader with clear presentations of the fundamental principles of basic and applied engineering thermodynamics. Helps students develop engineering problem solving skills through the use of structured problem-solving techniques. Introduces the Second Law of Thermodynamics through a basic entropy concept, providing students a more intuitive understanding of this key course topic. Covers Property Values before the First Law of Thermodynamics to ensure students have a firm understanding of property data before using them. Over 200 worked examples and more than 1,300 end of chapter problems offer students extensive opportunity to practice solving problems. Historical Vignettes, Critical Thinking boxes and Case Studies throughout the book help relate abstract concepts to actual engineering applications. For greater instructor flexibility at exam time, thermodynamic tables are provided in a separate accompanying booklet.
Author: Will McWhinney
Publisher: SAGE
ISBN: 9780761910077
Category : Business & Economics
Languages : en
Pages : 228
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Book Description
Provides the reader with a strategy for making changes and resolving issues more effectively. This book addresses the problems faced in the daily operations of organizational life and offers a foundation and theory for effective and sustained issue resolution.
Author: Witold Abramowicz
Publisher: Springer
ISBN: 3030048497
Category : Computers
Languages : en
Pages : 711
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Book Description
This book constitutes revised papers from the seven workshops and one accompanying event which took place at the 21st International Conference on Business Information Systems, BIS 2018, held in Berlin, Germany, in July 2018. Overall across all workshops, 58 out of 122 papers were accepted. The workshops included in this volume are: AKTB 2018 - 10th Workshop on Applications of Knowledge-Based Technologies in Business BITA 2018 - 9th Workshop on Business and IT Alignment BSCT 2018 - 1st Workshop on Blockchain and Smart Contract Technologies IDEA 2018 - 4th International Workshop on Digital Enterprise Engineering and Architecture IDEATE 2018 - 3rd Workshop on Big Data and Business Analytics Ecosystems SciBOWater 2018 - Scientific Challenges & Business Opportunities in Water Management QOD 2018 - 1st Workshop on Quality of Open Data In addition, one keynote speech in full-paper length and contributions from the Doctoral Consortium are included
