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Stochastic Flows and Jump-Diffusions - Hiroshi Kunita

Hiroshi Kunita

(0)
Kirjoita arvostelu
englanti
2019-04-09
152,45 € 203,26 €

-25% koodilla BOOKS

Pehmeäkantinen Kovakantinen 203,26 €
Toimittajalla varastossa

Toimitus 17-23 arkipäivässä

30 päivän palautusoikeus

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 de ... Täydellinen kuvaus

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Kuvaus

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.

Lisätietoja

Kirjoittaja Hiroshi Kunita
Julkaisija Springer Nature Singapore
Julkaisuvuosi 2019
Kannen tyyppi Kovakantinen
EAN 9789811338007
Kirjoita oma arvostelusi
Arvostelet: Stochastic Flows and Jump-Diffusions
Arvostelusi:

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152,45 € 203,26 €