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Continuous Time Random Walks For The Numerical Solution Of Stochastic Differential Equations
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Book Synopsis Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations by : Nawaf Bou-Rabee
Download or read book Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations written by Nawaf Bou-Rabee and published by American Mathematical Soc.. This book was released on 2019-01-08 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.
Book Synopsis Numerical Methods for Stochastic Partial Differential Equations with White Noise by : Zhongqiang Zhang
Download or read book Numerical Methods for Stochastic Partial Differential Equations with White Noise written by Zhongqiang Zhang and published by Springer. This book was released on 2017-09-01 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begins with some motivational and background material in the introductory chapters and is divided into three parts. Part I covers numerical stochastic ordinary differential equations. Here the authors start with numerical methods for SDEs with delay using the Wong-Zakai approximation and finite difference in time. Part II covers temporal white noise. Here the authors consider SPDEs as PDEs driven by white noise, where discretization of white noise (Brownian motion) leads to PDEs with smooth noise, which can then be treated by numerical methods for PDEs. In this part, recursive algorithms based on Wiener chaos expansion and stochastic collocation methods are presented for linear stochastic advection-diffusion-reaction equations. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made. Part III covers spatial white noise. Here the authors discuss numerical methods for nonlinear elliptic equations as well as other equations with additive noise. Numerical methods for SPDEs with multiplicative noise are also discussed using the Wiener chaos expansion method. In addition, some SPDEs driven by non-Gaussian white noise are discussed and some model reduction methods (based on Wick-Malliavin calculus) are presented for generalized polynomial chaos expansion methods. Powerful techniques are provided for solving stochastic partial differential equations. This book can be considered as self-contained. Necessary background knowledge is presented in the appendices. Basic knowledge of probability theory and stochastic calculus is presented in Appendix A. In Appendix B some semi-analytical methods for SPDEs are presented. In Appendix C an introduction to Gauss quadrature is provided. In Appendix D, all the conclusions which are needed for proofs are presented, and in Appendix E a method to compute the convergence rate empirically is included. In addition, the authors provide a thorough review of the topics, both theoretical and computational exercises in the book with practical discussion of the effectiveness of the methods. Supporting Matlab files are made available to help illustrate some of the concepts further. Bibliographic notes are included at the end of each chapter. This book serves as a reference for graduate students and researchers in the mathematical sciences who would like to understand state-of-the-art numerical methods for stochastic partial differential equations with white noise.
Book Synopsis Applied Stochastic Differential Equations by : Simo Särkkä
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Book Synopsis Numerical Solution of Stochastic Differential Equations by : Peter E. Kloeden
Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Book Synopsis Statistics of Random Processes II by : Robert S. Liptser
Download or read book Statistics of Random Processes II written by Robert S. Liptser and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Book Synopsis Stochastic Integration and Differential Equations by : Philip Protter
Download or read book Stochastic Integration and Differential Equations written by Philip Protter and published by Springer. This book was released on 2013-12-21 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery’s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.
Book Synopsis Wave Propagation and Time Reversal in Randomly Layered Media by : Jean-Pierre Fouque
Download or read book Wave Propagation and Time Reversal in Randomly Layered Media written by Jean-Pierre Fouque and published by Springer Science & Business Media. This book was released on 2007-06-30 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: The content of this book is multidisciplinary by nature. It uses mathematical tools from the theories of probability and stochastic processes, partial differential equations, and asymptotic analysis, combined with the physics of wave propagation and modeling of time reversal experiments. It is addressed to a wide audience of graduate students and researchers interested in the intriguing phenomena related to waves propagating in random media. At the end of each chapter there is a section of notes where the authors give references and additional comments on the various results presented in the chapter.
Book Synopsis Quiver Grassmannians of Extended Dynkin Type D Part I: Schubert Systems and Decompositions into Affine Spaces by : Oliver Lorscheid
Download or read book Quiver Grassmannians of Extended Dynkin Type D Part I: Schubert Systems and Decompositions into Affine Spaces written by Oliver Lorscheid and published by American Mathematical Soc.. This book was released on 2019-12-02 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: Let Q be a quiver of extended Dynkin type D˜n. In this first of two papers, the authors show that the quiver Grassmannian Gre–(M) has a decomposition into affine spaces for every dimension vector e– and every indecomposable representation M of defect −1 and defect 0, with the exception of the non-Schurian representations in homogeneous tubes. The authors characterize the affine spaces in terms of the combinatorics of a fixed coefficient quiver for M. The method of proof is to exhibit explicit equations for the Schubert cells of Gre–(M) and to solve this system of equations successively in linear terms. This leads to an intricate combinatorial problem, for whose solution the authors develop the theory of Schubert systems. In Part 2 of this pair of papers, they extend the result of this paper to all indecomposable representations M of Q and determine explicit formulae for the F-polynomial of M.
Book Synopsis One-Dimensional Empirical Measures, Order Statistics, and Kantorovich Transport Distances by : Sergey Bobkov
Download or read book One-Dimensional Empirical Measures, Order Statistics, and Kantorovich Transport Distances written by Sergey Bobkov and published by American Mathematical Soc.. This book was released on 2019-12-02 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is devoted to the study of rates of convergence of the empirical measures μn=1n∑nk=1δXk, n≥1, over a sample (Xk)k≥1 of independent identically distributed real-valued random variables towards the common distribution μ in Kantorovich transport distances Wp. The focus is on finite range bounds on the expected Kantorovich distances E(Wp(μn,μ)) or [E(Wpp(μn,μ))]1/p in terms of moments and analytic conditions on the measure μ and its distribution function. The study describes a variety of rates, from the standard one 1n√ to slower rates, and both lower and upper-bounds on E(Wp(μn,μ)) for fixed n in various instances. Order statistics, reduction to uniform samples and analysis of beta distributions, inverse distribution functions, log-concavity are main tools in the investigation. Two detailed appendices collect classical and some new facts on inverse distribution functions and beta distributions and their densities necessary to the investigation.
Book Synopsis Applications in Physics, Part B by : Vasily E. Tarasov
Download or read book Applications in Physics, Part B written by Vasily E. Tarasov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-02-19 with total page 437 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 fifth volume collects authoritative chapters covering several applications of fractional calculus in physics, including electrodynamics, statistical physics and physical kinetics, and quantum theory.
Book Synopsis Fusion of Defects by : Arthur Bartels
Download or read book Fusion of Defects written by Arthur Bartels and published by American Mathematical Soc.. This book was released on 2019-04-10 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conformal nets provide a mathematical model for conformal field theory. The authors define a notion of defect between conformal nets, formalizing the idea of an interaction between two conformal field theories. They introduce an operation of fusion of defects, and prove that the fusion of two defects is again a defect, provided the fusion occurs over a conformal net of finite index. There is a notion of sector (or bimodule) between two defects, and operations of horizontal and vertical fusion of such sectors. The authors' most difficult technical result is that the horizontal fusion of the vacuum sectors of two defects is isomorphic to the vacuum sector of the fused defect. Equipped with this isomorphism, they construct the basic interchange isomorphism between the horizontal fusion of two vertical fusions and the vertical fusion of two horizontal fusions of sectors.
Book Synopsis Crossed Products of Operator Algebras by : Elias G. Katsoulis
Download or read book Crossed Products of Operator Algebras written by Elias G. Katsoulis and published by American Mathematical Soc.. This book was released on 2019-04-10 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors study crossed products of arbitrary operator algebras by locally compact groups of completely isometric automorphisms. They develop an abstract theory that allows for generalizations of many of the fundamental results from the selfadjoint theory to our context. They complement their generic results with the detailed study of many important special cases. In particular they study crossed products of tensor algebras, triangular AF algebras and various associated C -algebras. They make contributions to the study of C -envelopes, semisimplicity, the semi-Dirichlet property, Takai duality and the Hao-Ng isomorphism problem. They also answer questions from the pertinent literature.
Book Synopsis Geodesics, Retracts, and the Norm-Preserving Extension Property in the Symmetrized Bidisc by : Jim Agler
Download or read book Geodesics, Retracts, and the Norm-Preserving Extension Property in the Symmetrized Bidisc written by Jim Agler and published by American Mathematical Soc.. This book was released on 2019-04-10 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: A set V in a domain U in Cn has the norm-preserving extension property if every bounded holomorphic function on V has a holomorphic extension to U with the same supremum norm. We prove that an algebraic subset of the symmetrized bidisc
Book Synopsis Automorphisms ofTwo-Generator Free Groups and Spaces of Isometric Actions on the Hyperbolic Plane by : William Goldman
Download or read book Automorphisms ofTwo-Generator Free Groups and Spaces of Isometric Actions on the Hyperbolic Plane written by William Goldman and published by American Mathematical Soc.. This book was released on 2019-06-10 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: The automorphisms of a two-generator free group F acting on the space of orientation-preserving isometric actions of F on hyperbolic 3-space defines a dynamical system. Those actions which preserve a hyperbolic plane but not an orientation on that plane is an invariant subsystem, which reduces to an action of a group on by polynomial automorphisms preserving the cubic polynomial and an area form on the level surfaces .
Book Synopsis Geometric Pressure for Multimodal Maps of the Interval by : Feliks Przytycki
Download or read book Geometric Pressure for Multimodal Maps of the Interval written by Feliks Przytycki and published by American Mathematical Soc.. This book was released on 2019-06-10 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is an interval dynamics counterpart of three theories founded earlier by the authors, S. Smirnov and others in the setting of the iteration of rational maps on the Riemann sphere: the equivalence of several notions of non-uniform hyperbolicity, Geometric Pressure, and Nice Inducing Schemes methods leading to results in thermodynamical formalism. The authors work in a setting of generalized multimodal maps, that is, smooth maps f of a finite union of compact intervals Iˆ in R into R with non-flat critical points, such that on its maximal forward invariant set K the map f is topologically transitive and has positive topological entropy. They prove that several notions of non-uniform hyperbolicity of f|K are equivalent (including uniform hyperbolicity on periodic orbits, TCE & all periodic orbits in K hyperbolic repelling, Lyapunov hyperbolicity, and exponential shrinking of pull-backs). They prove that several definitions of geometric pressure P(t), that is pressure for the map f|K and the potential −tlog|f′|, give the same value (including pressure on periodic orbits, “tree” pressure, variational pressures and conformal pressure). Finally they prove that, provided all periodic orbits in K are hyperbolic repelling, the function P(t) is real analytic for t between the “condensation” and “freezing” parameters and that for each such t there exists unique equilibrium (and conformal) measure satisfying strong statistical properties.
Book Synopsis Flat Rank Two Vector Bundles on Genus Two Curves by : Viktoria Heu
Download or read book Flat Rank Two Vector Bundles on Genus Two Curves written by Viktoria Heu and published by American Mathematical Soc.. This book was released on 2019-06-10 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors study the moduli space of trace-free irreducible rank 2 connections over a curve of genus 2 and the forgetful map towards the moduli space of underlying vector bundles (including unstable bundles), for which they compute a natural Lagrangian rational section. As a particularity of the genus case, connections as above are invariant under the hyperelliptic involution: they descend as rank logarithmic connections over the Riemann sphere. The authors establish explicit links between the well-known moduli space of the underlying parabolic bundles with the classical approaches by Narasimhan-Ramanan, Tyurin and Bertram. This allows the authors to explain a certain number of geometric phenomena in the considered moduli spaces such as the classical -configuration of the Kummer surface. The authors also recover a Poincaré family due to Bolognesi on a degree 2 cover of the Narasimhan-Ramanan moduli space. They explicitly compute the Hitchin integrable system on the moduli space of Higgs bundles and compare the Hitchin Hamiltonians with those found by van Geemen-Previato. They explicitly describe the isomonodromic foliation in the moduli space of vector bundles with -connection over curves of genus 2 and prove the transversality of the induced flow with the locus of unstable bundles.
Book Synopsis Moufang Sets and Structurable Division Algebras by : Lien Boelaert
Download or read book Moufang Sets and Structurable Division Algebras written by Lien Boelaert and published by American Mathematical Soc.. This book was released on 2019-06-10 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Moufang set is essentially a doubly transitive permutation group such that each point stabilizer contains a normal subgroup which is regular on the remaining vertices; these regular normal subgroups are called the root groups, and they are assumed to be conjugate and to generate the whole group. It has been known for some time that every Jordan division algebra gives rise to a Moufang set with abelian root groups. The authors extend this result by showing that every structurable division algebra gives rise to a Moufang set, and conversely, they show that every Moufang set arising from a simple linear algebraic group of relative rank one over an arbitrary field k of characteristic different from 2 and 3 arises from a structurable division algebra. The authors also obtain explicit formulas for the root groups, the τ-map and the Hua maps of these Moufang sets. This is particularly useful for the Moufang sets arising from exceptional linear algebraic groups.
