Téléchargez le livre : Stochastic Flows and Jump-Diffusions

Stochastic Flows and Jump-Diffusions

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Éditeur :

Springer


Collection :

Probability Theory and Stochastic Modelling

Paru le : 2019-03-26

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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 heatequations are constructed independently of the theory of partial differential equations.
Researchers and graduate student in probability theory will find this book very useful.
Pages
352 pages
Collection
Probability Theory and Stochastic Modelling
Parution
2019-03-26
Marque
Springer
EAN papier
9789811338007
EAN PDF
9789811338014
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
35
Taille du fichier
3963 Ko
Prix
116,04 €
EAN EPUB
9789811338014
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
35
Taille du fichier
28436 Ko
Prix
116,04 €

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