Trends in Stochastic Analysis

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Publisher : Cambridge University Press
ISBN 13 : 052171821X
Total Pages : 397 pages
Book Rating : 4.5/5 (217 download)

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Book Synopsis Trends in Stochastic Analysis by : Jochen Blath

Download or read book Trends in Stochastic Analysis written by Jochen Blath and published by Cambridge University Press. This book was released on 2009-04-09 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting important trends in the field of stochastic analysis, this collection of thirteen articles provides an overview of recent developments and new results. Written by leading experts in the field, the articles cover a wide range of topics, ranging from an alternative set-up of rigorous probability to the sampling of conditioned diffusions. Applications in physics and biology are treated, with discussion of Feynman formulas, intermittency of Anderson models and genetic inference. A large number of the articles are topical surveys of probabilistic tools such as chaining techniques, and of research fields within stochastic analysis, including stochastic dynamics and multifractal analysis. Showcasing the diversity of research activities in the field, this book is essential reading for any student or researcher looking for a guide to modern trends in stochastic analysis and neighbouring fields.

Trends in Stochastic Analysis

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Publisher : Cambridge University Press
ISBN 13 : 1139476017
Total Pages : 391 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Trends in Stochastic Analysis by : Jochen Blath

Download or read book Trends in Stochastic Analysis written by Jochen Blath and published by Cambridge University Press. This book was released on 2009-04-09 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting important trends in the field of stochastic analysis, this collection of thirteen articles provides an overview of recent developments and new results. Written by leading experts in the field, the articles cover a wide range of topics, ranging from an alternative set-up of rigorous probability to the sampling of conditioned diffusions. Applications in physics and biology are treated, with discussion of Feynman formulas, intermittency of Anderson models and genetic inference. A large number of the articles are topical surveys of probabilistic tools such as chaining techniques, and of research fields within stochastic analysis, including stochastic dynamics and multifractal analysis. Showcasing the diversity of research activities in the field, this book is essential reading for any student or researcher looking for a guide to modern trends in stochastic analysis and neighbouring fields.

New Trends in Stochastic Analysis and Related Topics

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Author :
Publisher : World Scientific
ISBN 13 : 9814360910
Total Pages : 458 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis New Trends in Stochastic Analysis and Related Topics by : Huaizhong Zhao

Download or read book New Trends in Stochastic Analysis and Related Topics written by Huaizhong Zhao and published by World Scientific. This book was released on 2012 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.

Real and Stochastic AnalysisRecent Advances

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Publisher : CRC Press
ISBN 13 : 9780849380785
Total Pages : 426 pages
Book Rating : 4.3/5 (87 download)

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Book Synopsis Real and Stochastic AnalysisRecent Advances by : M.M. Rao

Download or read book Real and Stochastic AnalysisRecent Advances written by M.M. Rao and published by CRC Press. This book was released on 1997-03-06 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real and Stochastic Analysis: Recent Advances presents a carefully edited collection of research articles written by research mathematicians and highlighting advances in RSA. A balanced blend of both theory and applications, this book covers six aspects of stochastic analysis in depth and detail. The first chapters cover the state of the art in tracers analysis, stochastic modeling as it applies to AIDS epidemiology, and the current state of higher order SDEs. Subsequent chapters present a simple approach to Gaussian dichotomy, an overview of harmonizable processes, and stochastic Fubini and Green theorems. Common to all the chapters, the employment of functional analytic methods creates a unified approach. Each chapter includes detailed proofs. Throughout the book, a substantial amount of new material is presented, much of it for the first time. This forward-looking work presents current accounts of important areas of research, evaluates recent advances, and identifies research frontiers and new challenges.

Real And Stochastic Analysis: Current Trends

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Publisher : World Scientific
ISBN 13 : 9814551295
Total Pages : 576 pages
Book Rating : 4.8/5 (145 download)

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Book Synopsis Real And Stochastic Analysis: Current Trends by : Malempati Madhusudana Rao

Download or read book Real And Stochastic Analysis: Current Trends written by Malempati Madhusudana Rao and published by World Scientific. This book was released on 2013-11-26 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the current status and research trends in Stochastic Analysis. Several new and emerging research areas are described in detail, highlighting the present outlook in Stochastic Analysis and its impact on abstract analysis. The book focuses on treating problems in areas that serve as a launching pad for continual research.

Modern Trends in Controlled Stochastic Processes

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Publisher : Luniver Press
ISBN 13 : 1905986300
Total Pages : 342 pages
Book Rating : 4.9/5 (59 download)

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Book Synopsis Modern Trends in Controlled Stochastic Processes by : Alexey B. Piunovskiy

Download or read book Modern Trends in Controlled Stochastic Processes written by Alexey B. Piunovskiy and published by Luniver Press. This book was released on 2010-09 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.

New Trends In Stochastic Analysis: Proceedings Of The Tanaguchi International Symposium

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Publisher : World Scientific
ISBN 13 : 9814547123
Total Pages : 442 pages
Book Rating : 4.8/5 (145 download)

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Book Synopsis New Trends In Stochastic Analysis: Proceedings Of The Tanaguchi International Symposium by : K David Elworthy

Download or read book New Trends In Stochastic Analysis: Proceedings Of The Tanaguchi International Symposium written by K David Elworthy and published by World Scientific. This book was released on 1997-05-05 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Taniguchi International workshop on 'New Trends in Stochastic Analysis' was held at Charingworth Manor, Gloucestershire, England from September 21-27, 1994. The workshop was followed by a symposium held with the Mathematics Research Centre of the University of Warwick from Sep 28 to Oct 1. In these meetings several of the new directions that stochastic analysis is taking were discussed, ranging from analysis on fractals to analysis on loop spaces.This volume contains articles by 15 participants, reflecting this range of topics. Amongst them are discussed: Sobolev and logrithmic Sobolev inequalities for Markov semigroups, asymptotics for heat equations on the exterior of convex domains, 2 D stochastic Ising models, reaction diffusion equations with noise and new approaches to infinite dimensional stochastic analysis including a Malliavin type calculus for equations driven by 'rough signals'.

New Trends in Stochastic Analysis

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Author :
Publisher : World Scientific Publishing Company Incorporated
ISBN 13 : 9789810228675
Total Pages : 429 pages
Book Rating : 4.2/5 (286 download)

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Book Synopsis New Trends in Stochastic Analysis by : K. D. Elworthy

Download or read book New Trends in Stochastic Analysis written by K. D. Elworthy and published by World Scientific Publishing Company Incorporated. This book was released on 1997 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Real and Stochastic Analysis

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 1461220548
Total Pages : 411 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Real and Stochastic Analysis by : M. M. Rao

Download or read book Real and Stochastic Analysis written by M. M. Rao and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: As in the case of the two previous volumes published in 1986 and 1997, the purpose of this monograph is to focus the interplay between real (functional) analysis and stochastic analysis show their mutual benefits and advance the subjects. The presentation of each article, given as a chapter, is in a research-expository style covering the respective topics in depth. In fact, most of the details are included so that each work is essentially self contained and thus will be of use both for advanced graduate students and other researchers interested in the areas considered. Moreover, numerous new problems for future research are suggested in each chapter. The presented articles contain a substantial number of new results as well as unified and simplified accounts of previously known ones. A large part of the material cov ered is on stochastic differential equations on various structures, together with some applications. Although Brownian motion plays a key role, (semi-) martingale theory is important for a considerable extent. Moreover, noncommutative analysis and probabil ity have a prominent role in some chapters, with new ideas and results. A more detailed outline of each of the articles appears in the introduction and outline to assist readers in selecting and starting their work. All chapters have been reviewed.

Recent Developments in Stochastic Analysis and Related Topics

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Publisher : World Scientific
ISBN 13 : 9789812702241
Total Pages : 476 pages
Book Rating : 4.7/5 (22 download)

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Book Synopsis Recent Developments in Stochastic Analysis and Related Topics by : Sergio Albeverio

Download or read book Recent Developments in Stochastic Analysis and Related Topics written by Sergio Albeverio and published by World Scientific. This book was released on 2004 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains 27 refereed research articles and survey papers written by experts in the field of stochastic analysis and related topics. Most contributors are well known leading mathematicians worldwide and prominent young scientists. The volume reflects a review of the recent developments in stochastic analysis and related topics. It puts in evidence the strong interconnection of stochastic analysis with other areas of mathematics, as well as with applications of mathematics in natural and social economic sciences. The volume also provides some possible future directions for the field. The proceedings have been selected for coverage in: . OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings). OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings). OCo CC Proceedings OCo Engineering & Physical Sciences."

Recent Development In Stochastic Dynamics And Stochastic Analysis

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Publisher : World Scientific
ISBN 13 : 981446760X
Total Pages : 306 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Recent Development In Stochastic Dynamics And Stochastic Analysis by : Jinqiao Duan

Download or read book Recent Development In Stochastic Dynamics And Stochastic Analysis written by Jinqiao Duan and published by World Scientific. This book was released on 2010-02-08 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic dynamical systems and stochastic analysis are of great interests not only to mathematicians but also to scientists in other areas. Stochastic dynamical systems tools for modeling and simulation are highly demanded in investigating complex phenomena in, for example, environmental and geophysical sciences, materials science, life sciences, physical and chemical sciences, finance and economics.The volume reflects an essentially timely and interesting subject and offers reviews on the recent and new developments in stochastic dynamics and stochastic analysis, and also some possible future research directions. Presenting a dozen chapters of survey papers and research by leading experts in the subject, the volume is written with a wide audience in mind ranging from graduate students, junior researchers to professionals of other specializations who are interested in the subject.

Stochastic Analysis and Partial Differential Equations

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Publisher : American Mathematical Soc.
ISBN 13 : 0821840592
Total Pages : 290 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Stochastic Analysis and Partial Differential Equations by : Gui-Qiang Chen

Download or read book Stochastic Analysis and Partial Differential Equations written by Gui-Qiang Chen and published by American Mathematical Soc.. This book was released on 2007 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original research papers and expository articles from the scientific program of the 2004-05 Emphasis Year on Stochastic Analysis and Partial Differential Equations at Northwestern University. Many well-known mathematicians attended the events and submitted their contributions for this volume. Topics from stochastic analysis discussed in this volume include stochastic analysis of turbulence, Markov processes, microscopic lattice dynamics, microscopic interacting particle systems, and stochastic analysis on manifolds. Topics from partial differential equations include kinetic equations, hyperbolic conservation laws, Navier-Stokes equations, and Hamilton-Jacobi equations. A variety of methods, such as numerical analysis, homogenization, measure-theoretical analysis, entropy analysis, weak convergence analysis, Fourier analysis, and Ito's calculus, are further developed and applied. All these topics are naturally interrelated and represent a cross-section of the most significant recent advances and current trends and directions in stochastic analysis and partial differential equations. This volume is suitable for researchers and graduate students interested in stochastic analysis, partial differential equations, and related analysis and applications.

Stochastic Analysis and Applications to Finance

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Publisher : World Scientific
ISBN 13 : 9814383589
Total Pages : 465 pages
Book Rating : 4.8/5 (143 download)

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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.

Stochastic Analysis and Mathematical Physics

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Publisher : Springer Science & Business Media
ISBN 13 : 146121372X
Total Pages : 168 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Stochastic Analysis and Mathematical Physics by : Rolando Rebolledo

Download or read book Stochastic Analysis and Mathematical Physics written by Rolando Rebolledo and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seminar on Stochastic Analysis and Mathematical Physics started in 1984 at the Catholic University of Chile in Santiago and has been an on going research activity. Since 1995, the group has organized international workshops as a way of promoting a broader dialogue among experts in the areas of classical and quantum stochastic analysis, mathematical physics and physics. This volume, consisting primarily of contributions to the Third Inter national Workshop on Stochastic Analysis and Mathematical Physics (in Spanish ANESTOC), held in Santiago, Chile, in October 1998, focuses on an analysis of quantum dynamics and related problems in probability the ory. Various articles investigate quantum dynamical semigroups and new results on q-deformed oscillator algebras, while others examine the appli cation of classical stochastic processes in quantum modeling. As in previous workshops, the topic of quantum flows and semigroups occupied an important place. In her paper, R. Carbone uses a spectral type analysis to obtain exponential rates of convergence towards the equilibrium of a quantum dynamical semigroup in the £2 sense. The method is illus trated with a quantum extension of a classical birth and death process. Quantum extensions of classical Markov processes lead to subtle problems of domains. This is in particular illustrated by F. Fagnola, who presents a pathological example of a semigroup for which the largest * -subalgebra (of the von Neumann algebra of bounded linear operators of £2 (lR+, IC)), con tained in the domain of its infinitesimal generator, is not a-weakly dense.

Stochastic Analysis

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Publisher : Springer
ISBN 13 : 3642150748
Total Pages : 346 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Stochastic Analysis by : Paul Malliavin

Download or read book Stochastic Analysis written by Paul Malliavin and published by Springer. This book was released on 2015-06-12 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 5 independent sections, this book accounts recent main developments of stochastic analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.

Modern Trends in Controlled Stochastic Processes:

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Publisher : Springer Nature
ISBN 13 : 3030769283
Total Pages : 356 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Modern Trends in Controlled Stochastic Processes: by : Alexey Piunovskiy

Download or read book Modern Trends in Controlled Stochastic Processes: written by Alexey Piunovskiy and published by Springer Nature. This book was released on 2021-06-04 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents state-of-the-art solution methods and applications of stochastic optimal control. It is a collection of extended papers discussed at the traditional Liverpool workshop on controlled stochastic processes with participants from both the east and the west. New problems are formulated, and progresses of ongoing research are reported. Topics covered in this book include theoretical results and numerical methods for Markov and semi-Markov decision processes, optimal stopping of Markov processes, stochastic games, problems with partial information, optimal filtering, robust control, Q-learning, and self-organizing algorithms. Real-life case studies and applications, e.g., queueing systems, forest management, control of water resources, marketing science, and healthcare, are presented. Scientific researchers and postgraduate students interested in stochastic optimal control,- as well as practitioners will find this book appealing and a valuable reference. ​

New Trends in Stochastic Analysis

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Publisher :
ISBN 13 : 9789814530491
Total Pages : 442 pages
Book Rating : 4.5/5 (34 download)

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Book Synopsis New Trends in Stochastic Analysis by : K. David Elworthy

Download or read book New Trends in Stochastic Analysis written by K. David Elworthy and published by . This book was released on 1997 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: