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Potential Analysis Of Stable Processes And Its Extensions
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Book Synopsis Potential Analysis of Stable Processes and its Extensions by : Krzysztof Bogdan
Download or read book Potential Analysis of Stable Processes and its Extensions written by Krzysztof Bogdan and published by Springer Science & Business Media. This book was released on 2009-07-14 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stable Lévy processes and related stochastic processes play an important role in stochastic modelling in applied sciences, in particular in financial mathematics. This book is about the potential theory of stable stochastic processes. It also deals with related topics, such as the subordinate Brownian motions (including the relativistic process) and Feynman–Kac semigroups generated by certain Schrödinger operators. The authors focus on classes of stable and related processes that contain the Brownian motion as a special case. This is the first book devoted to the probabilistic potential theory of stable stochastic processes, and, from the analytical point of view, of the fractional Laplacian. The introduction is accessible to non-specialists and provides a general presentation of the fundamental objects of the theory. Besides recent and deep scientific results the book also provides a didactic approach to its topic, as all chapters have been tested on a wide audience, including young mathematicians at a CNRS/HARP Workshop, Angers 2006. The reader will gain insight into the modern theory of stable and related processes and their potential analysis with a theoretical motivation for the study of their fine properties.
Book Synopsis Stochastic Analysis and Applications to Finance by : Tusheng Zhang
Download or read book Stochastic Analysis and Applications to Finance written by Tusheng Zhang and published by World Scientific. This book was released on 2012 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Data Analysis and Applications 4 by : Andreas Makrides
Download or read book Data Analysis and Applications 4 written by Andreas Makrides and published by John Wiley & Sons. This book was released on 2020-04-09 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data analysis as an area of importance has grown exponentially, especially during the past couple of decades. This can be attributed to a rapidly growing computer industry and the wide applicability of computational techniques, in conjunction with new advances of analytic tools. This being the case, the need for literature that addresses this is self-evident. New publications are appearing, covering the need for information from all fields of science and engineering, thanks to the universal relevance of data analysis and statistics packages. This book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis. The chapters included in this volume represent a cross-section of current concerns and research interests in these scientific areas. The material is divided into three parts: Financial Data Analysis and Methods, Statistics and Stochastic Data Analysis and Methods, and Demographic Methods and Data Analysis- providing the reader with both theoretical and applied information on data analysis methods, models and techniques and appropriate applications.
Download or read book Basic Theory written by Anatoly Kochubei and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-02-19 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: This multi-volume handbook is the most up-to-date and comprehensive reference work in the field of fractional calculus and its numerous applications. This first volume collects authoritative chapters covering the mathematical theory of fractional calculus, including fractional-order operators, integral transforms and equations, special functions, calculus of variations, and probabilistic and other aspects.
Book Synopsis Feynman-Kac-Type Formulae and Gibbs Measures by : József Lörinczi
Download or read book Feynman-Kac-Type Formulae and Gibbs Measures written by József Lörinczi and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-01-20 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the second updated and extended edition of the successful book on Feynman-Kac theory. It offers a state-of-the-art mathematical account of functional integration methods in the context of self-adjoint operators and semigroups using the concepts and tools of modern stochastic analysis. The first volume concentrates on Feynman-Kac-type formulae and Gibbs measures.
Book Synopsis Fractional Deterministic and Stochastic Calculus by : Giacomo Ascione
Download or read book Fractional Deterministic and Stochastic Calculus written by Giacomo Ascione and published by Walter de Gruyter GmbH & Co KG. This book was released on 2023-12-31 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bernstein Functions by : René L. Schilling
Download or read book Bernstein Functions written by René L. Schilling and published by Walter de Gruyter. This book was released on 2012-10-01 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bernstein functions appear in various fields of mathematics, e.g. probability theory, potential theory, operator theory, functional analysis and complex analysis – often with different definitions and under different names. Among the synonyms are `Laplace exponent' instead of Bernstein function, and complete Bernstein functions are sometimes called `Pick functions', `Nevanlinna functions' or `operator monotone functions'. This monograph – now in its second revised and extended edition – offers a self-contained and unified approach to Bernstein functions and closely related function classes, bringing together old and establishing new connections. For the second edition the authors added a substantial amount of new material. As in the first edition Chapters 1 to 11 contain general material which should be accessible to non-specialists, while the later Chapters 12 to 15 are devoted to more specialized topics. An extensive list of complete Bernstein functions with their representations is provided.
Book Synopsis Fractional Differential Equations by : Anatoly Kochubei
Download or read book Fractional Differential Equations written by Anatoly Kochubei and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-02-19 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This multi-volume handbook is the most up-to-date and comprehensive reference work in the field of fractional calculus and its numerous applications. This second volume collects authoritative chapters covering the mathematical theory of fractional calculus, including ordinary and partial differential equations of fractional order, inverse problems, and evolution equations.
Book Synopsis Mutational Analysis by : Thomas Lorenz
Download or read book Mutational Analysis written by Thomas Lorenz and published by Springer. This book was released on 2010-05-29 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ordinary differential equations play a central role in science and have been extended to evolution equations in Banach spaces. For many applications, however, it is difficult to specify a suitable normed vector space. Shapes without a priori restrictions, for example, do not have an obvious linear structure. This book generalizes ordinary differential equations beyond the borders of vector spaces with a focus on the well-posed Cauchy problem in finite time intervals. Here are some of the examples: - Feedback evolutions of compact subsets of the Euclidean space - Birth-and-growth processes of random sets (not necessarily convex) - Semilinear evolution equations - Nonlocal parabolic differential equations - Nonlinear transport equations for Radon measures - A structured population model - Stochastic differential equations with nonlocal sample dependence and how they can be coupled in systems immediately - due to the joint framework of Mutational Analysis. Finally, the book offers new tools for modelling.
Book Synopsis The Analysis of Fractional Differential Equations by : Kai Diethelm
Download or read book The Analysis of Fractional Differential Equations written by Kai Diethelm and published by Springer Science & Business Media. This book was released on 2010-09-03 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fractional calculus was first developed by pure mathematicians in the middle of the 19th century. Some 100 years later, engineers and physicists have found applications for these concepts in their areas. However there has traditionally been little interaction between these two communities. In particular, typical mathematical works provide extensive findings on aspects with comparatively little significance in applications, and the engineering literature often lacks mathematical detail and precision. This book bridges the gap between the two communities. It concentrates on the class of fractional derivatives most important in applications, the Caputo operators, and provides a self-contained, thorough and mathematically rigorous study of their properties and of the corresponding differential equations. The text is a useful tool for mathematicians and researchers from the applied sciences alike. It can also be used as a basis for teaching graduate courses on fractional differential equations.
Book Synopsis In Memoriam Marc Yor - Séminaire de Probabilités XLVII by : Catherine Donati-Martin
Download or read book In Memoriam Marc Yor - Séminaire de Probabilités XLVII written by Catherine Donati-Martin and published by Springer. This book was released on 2015-09-07 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is dedicated to the memory of Marc Yor, who passed away in 2014. The invited contributions by his collaborators and former students bear testament to the value and diversity of his work and of his research focus, which covered broad areas of probability theory. The volume also provides personal recollections about him, and an article on his essential role concerning the Doeblin documents. With contributions by P. Salminen, J-Y. Yen & M. Yor; J. Warren; T. Funaki; J. Pitman& W. Tang; J-F. Le Gall; L. Alili, P. Graczyk & T. Zak; K. Yano & Y. Yano; D. Bakry & O. Zribi; A. Aksamit, T. Choulli & M. Jeanblanc; J. Pitman; J. Obloj, P. Spoida & N. Touzi; P. Biane; J. Najnudel; P. Fitzsimmons, Y. Le Jan & J. Rosen; L.C.G. Rogers & M. Duembgen; E. Azmoodeh, G. Peccati & G. Poly, timP-L Méliot, A. Nikeghbali; P. Baldi; N. Demni, A. Rouault & M. Zani; N. O'Connell; N. Ikeda & H. Matsumoto; A. Comtet & Y. Tourigny; P. Bougerol; L. Chaumont; L. Devroye & G. Letac; D. Stroock and M. Emery.
Book Synopsis Applications in Rigorous Quantum Field Theory by : Fumio Hiroshima
Download or read book Applications in Rigorous Quantum Field Theory written by Fumio Hiroshima and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-03-09 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the second updated and extended edition of the successful book on Feynman-Kac theory. It offers a state-of-the-art mathematical account of functional integration methods in the context of self-adjoint operators and semigroups using the concepts and tools of modern stochastic analysis. In the second volume, these ideas are applied principally to a rigorous treatment of some fundamental models of quantum field theory.
Book Synopsis Generalized Bessel Functions of the First Kind by : Árpád Baricz
Download or read book Generalized Bessel Functions of the First Kind written by Árpád Baricz and published by Springer Science & Business Media. This book was released on 2010-05-25 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume studies the generalized Bessel functions of the first kind by using a number of classical and new findings in complex and classical analysis. It presents interesting geometric properties and functional inequalities for these generalized functions.
Book Synopsis Mathematical Models in the Manufacturing of Glass by : Angiolo Farina
Download or read book Mathematical Models in the Manufacturing of Glass written by Angiolo Farina and published by Springer. This book was released on 2010-11-27 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a review of advanced technological problems in the glass industry and of the mathematics involved. It is amazing that such a seemingly small research area is extremely rich and calls for an impressively large variety of mathematical methods, including numerical simulations of considerable complexity. The problems treated here are very typical of the field of glass manufacturing and cover a large spectrum of complementary subjects: injection molding by various techniques, radiative heat transfer in glass, nonisothermal flows and fibre spinning. The book can certainly be useful not only to applied mathematicians, but also to physicists and engineers, who can find in it an overview of the most advanced models and methods.
Book Synopsis Intersection Spaces, Spatial Homology Truncation, and String Theory by : Markus Banagl
Download or read book Intersection Spaces, Spatial Homology Truncation, and String Theory written by Markus Banagl and published by Springer Science & Business Media. This book was released on 2010-07-08 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present monograph introduces a method that assigns to certain classes of stratified spaces cell complexes, called intersection spaces, whose ordinary rational homology satisfies generalized Poincaré duality.
Book Synopsis The Use of Ultraproducts in Commutative Algebra by : Hans Schoutens
Download or read book The Use of Ultraproducts in Commutative Algebra written by Hans Schoutens and published by Springer Science & Business Media. This book was released on 2010-07-31 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exploring ultraproducts of Noetherian local rings from an algebraic perspective, this volume illustrates the many ways they can be used in commutative algebra. The text includes an introduction to tight closure in characteristic zero, a survey of flatness criteria, and more.
Book Synopsis Controllability of Partial Differential Equations Governed by Multiplicative Controls by : Alexander Y. Khapalov
Download or read book Controllability of Partial Differential Equations Governed by Multiplicative Controls written by Alexander Y. Khapalov and published by Springer. This book was released on 2010-05-19 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph addresses the global controllability of partial differential equations in the context of multiplicative (or bilinear) controls, which enter the model equations as coefficients. The methodology is illustrated with a variety of model equations.
