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Generalized Functionals Of Brownian Motion And Their Applications
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Book Synopsis Generalized Functionals of Brownian Motion and Their Applications by : Nasir Uddin Ahmed
Download or read book Generalized Functionals of Brownian Motion and Their Applications written by Nasir Uddin Ahmed and published by World Scientific. This book was released on 2012 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable research monograph presents a unified and fascinating theory of generalized functionals of Brownian motion and other fundamental processes such as fractional Brownian motion and Levy process ? covering the classical Wiener?Ito class including the generalized functionals of Hida as special cases, among others. It presents a thorough and comprehensive treatment of the Wiener?Sobolev spaces and their duals, as well as Malliavin calculus with their applications. The presentation is lucid and logical, and is based on a solid foundation of analysis and topology. The monograph develops the notions of compactness and weak compactness on these abstract Fock spaces and their duals, clearly demonstrating their nontrivial applications to stochastic differential equations in finite and infinite dimensional Hilbert spaces, optimization and optimal control problems.Readers will find the book an interesting and easy read as materials are presented in a systematic manner with a complete analysis of classical and generalized functionals of scalar Brownian motion, Gaussian random fields and their vector versions in the increasing order of generality. It starts with abstract Fourier analysis on the Wiener measure space where a striking similarity of the celebrated Riesz?Fischer theorem for separable Hilbert spaces and the space of Wiener?Ito functionals is drawn out, thus providing a clear insight into the subject.
Download or read book Brownian Motion written by Peter Mörters and published by Cambridge University Press. This book was released on 2010-03-25 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability. Notions of fractal dimension are introduced early and are used throughout the book to describe fine properties of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory of Brownian local times from random walk embeddings. Stochastic integration is introduced as a tool and an accessible treatment of the potential theory of Brownian motion clears the path for an extensive treatment of intersections of Brownian paths. An investigation of exceptional points on the Brownian path and an appendix on SLE processes, by Oded Schramm and Wendelin Werner, lead directly to recent research themes.
Book Synopsis Handbook of Brownian Motion - Facts and Formulae by : Andrei N. Borodin
Download or read book Handbook of Brownian Motion - Facts and Formulae written by Andrei N. Borodin and published by Springer Science & Business Media. This book was released on 2015-07-14 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.
Book Synopsis Exponential Functionals of Brownian Motion and Related Processes by : Marc Yor
Download or read book Exponential Functionals of Brownian Motion and Related Processes written by Marc Yor and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.
Book Synopsis Stochastic Processes by : Andrei N Borodin
Download or read book Stochastic Processes written by Andrei N Borodin and published by Birkhäuser. This book was released on 2017-10-30 with total page 641 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a rigorous yet accessible introduction to the theory of stochastic processes. A significant part of the book is devoted to the classic theory of stochastic processes. In turn, it also presents proofs of well-known results, sometimes together with new approaches. Moreover, the book explores topics not previously covered elsewhere, such as distributions of functionals of diffusions stopped at different random times, the Brownian local time, diffusions with jumps, and an invariance principle for random walks and local times. Supported by carefully selected material, the book showcases a wealth of examples that demonstrate how to solve concrete problems by applying theoretical results. It addresses a broad range of applications, focusing on concrete computational techniques rather than on abstract theory. The content presented here is largely self-contained, making it suitable for researchers and graduate students alike.
Book Synopsis Probability, Statistics, and Their Applications by : Rabindra Nath Bhattacharya
Download or read book Probability, Statistics, and Their Applications written by Rabindra Nath Bhattacharya and published by IMS. This book was released on 2003 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Selected Papers of Takeyuki Hida by : Takeyuki Hida
Download or read book Selected Papers of Takeyuki Hida written by Takeyuki Hida and published by World Scientific. This book was released on 2001-01-01 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topics discussed in this book can be classified into three parts: . (i) Gaussian processes. The most general and in fact final representation theory of Gaussian processes is included in this book. This theory is still referred to often and its developments are discussed. (ii) White noise analysis. This book includes the notes of the series of lectures delivered in 1975 at Carleton University in Ottawa. They describe the very original idea of introducing the notion of generalized Brownian functionals (nowadays called OC generalized white noise functionalsOCO, and sometimes OC Hida distributionOCO. (iii) Variational calculus for random fields. This topic will certainly represent one of the driving research lines for probability theory in the next century, as can be seen from several papers in this volume. Sample Chapter(s). Chapter 1: Analysis of Brownian Functionals (1,502 KB). Contents: General Theory of White Noise Functionals; Gaussian and Other Processes; Infinite Dimensional Harmonic Analysis and Rotation Group; Quantum Theory; Feynman Integrals and Random Fields; Variational Calculus and Random Fields; Application to Biology. Readership: Graduate students and researchers in the fields of probability theory, functional analysis, statistics and theoretical physics."
Download or read book Brownian Motion written by T. Hida and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following the publication of the Japanese edition of this book, several inter esting developments took place in the area. The author wanted to describe some of these, as well as to offer suggestions concerning future problems which he hoped would stimulate readers working in this field. For these reasons, Chapter 8 was added. Apart from the additional chapter and a few minor changes made by the author, this translation closely follows the text of the original Japanese edition. We would like to thank Professor J. L. Doob for his helpful comments on the English edition. T. Hida T. P. Speed v Preface The physical phenomenon described by Robert Brown was the complex and erratic motion of grains of pollen suspended in a liquid. In the many years which have passed since this description, Brownian motion has become an object of study in pure as well as applied mathematics. Even now many of its important properties are being discovered, and doubtless new and useful aspects remain to be discovered. We are getting a more and more intimate understanding of Brownian motion.
Book Synopsis Quantum Information Iv, Proceedings Of The Fourth International Conference by : Takeyuki Hida
Download or read book Quantum Information Iv, Proceedings Of The Fourth International Conference written by Takeyuki Hida and published by World Scientific. This book was released on 2002-05-30 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Brownian Motion by : A. N. Borodin
Download or read book Handbook of Brownian Motion written by A. N. Borodin and published by Birkhauser. This book was released on 2002-01-01 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measure Theory and its Applications by : J.M. Belley
Download or read book Measure Theory and its Applications written by J.M. Belley and published by Springer. This book was released on 2006-12-08 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: a
Book Synopsis Advances in Mathematical Finance by : Michael C. Fu
Download or read book Advances in Mathematical Finance written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2007-06-22 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Book Synopsis Quantum Information V, Proceedings Of The Fifth International Conference by : Takeyuki Hida
Download or read book Quantum Information V, Proceedings Of The Fifth International Conference written by Takeyuki Hida and published by World Scientific. This book was released on 2006-01-18 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contents:Recognition and Teleportation (M Ohya et al.)Quantum Information and Spacetime Structure (I V Volovich)On Gaussian and Poisson White Noises (N Asai)Renormalization, Orthogonalization, and Generating Functions (N Asai et al.)Insider Trading in Continuous Time (E Barucci et al.)Existence, Uniqueness, Consistency and Dependency on Diffusion Coefficients of Generalized Solutions of Nonlinear Diffusion Equations in Colombeau's Algebra (H Deguchi)On Mathematical Treatment of Quantum Communication Gate on Fock Space (W Freudenberg et al.)A Frontier of White Noise Analysis (T Hida)An Interacting Fock Space with Periodic Jacobi Parameter Obtained from Regular Graphs in Large Scale Limit (A Hora & N Obata)Error Exponents of Codings for Stationary Gaussian Channels (S Ihara)White Noise Analysis on Classical Wiener Space Revisited (Y-J Lee & H-H Shih)Fractional Brownian Motions and the Lévy Laplacian (K Nishi et al.)Jump Finding of a Stable Process (Si Si et al.)On Entropy Production of a One-Dimensional Lattice Conductor (S Tasaki) Readership: Researchers in probability & statistics, mathematical physics, functional analysis and mathematical biology. Keywords:Quantum Information;White Noise Analysis;Fock Space;Classical Wiener Space;Brownian Motion
Book Synopsis Generalized Functions and Fourier Analysis by : Michael Oberguggenberger
Download or read book Generalized Functions and Fourier Analysis written by Michael Oberguggenberger and published by Birkhäuser. This book was released on 2017-05-06 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives an excellent and up-to-date overview on the convergence and joint progress in the fields of Generalized Functions and Fourier Analysis, notably in the core disciplines of pseudodifferential operators, microlocal analysis and time-frequency analysis. The volume is a collection of chapters addressing these fields, their interaction, their unifying concepts and their applications and is based on scientific activities related to the International Association for Generalized Functions (IAGF) and the ISAAC interest groups on Pseudo-Differential Operators (IGPDO) and on Generalized Functions (IGGF), notably on the longstanding collaboration of these groups within ISAAC.
Book Synopsis Handbook of Brownian Motion by : Andrei Borodin
Download or read book Handbook of Brownian Motion written by Andrei Borodin and published by . This book was released on 1996-10-01 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pseudo-Regularly Varying Functions and Generalized Renewal Processes by : Valeriĭ V. Buldygin
Download or read book Pseudo-Regularly Varying Functions and Generalized Renewal Processes written by Valeriĭ V. Buldygin and published by Springer. This book was released on 2018-10-12 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the main aims of this book is to exhibit some fruitful links between renewal theory and regular variation of functions. Applications of renewal processes play a key role in actuarial and financial mathematics as well as in engineering, operations research and other fields of applied mathematics. On the other hand, regular variation of functions is a property that features prominently in many fields of mathematics. The structure of the book reflects the historical development of the authors’ research work and approach – first some applications are discussed, after which a basic theory is created, and finally further applications are provided. The authors present a generalized and unified approach to the asymptotic behavior of renewal processes, involving cases of dependent inter-arrival times. This method works for other important functionals as well, such as first and last exit times or sojourn times (also under dependencies), and it can be used to solve several other problems. For example, various applications in function analysis concerning Abelian and Tauberian theorems can be studied as well as those in studies of the asymptotic behavior of solutions of stochastic differential equations. The classes of functions that are investigated and used in a probabilistic context extend the well-known Karamata theory of regularly varying functions and thus are also of interest in the theory of functions. The book provides a rigorous treatment of the subject and may serve as an introduction to the field. It is aimed at researchers and students working in probability, the theory of stochastic processes, operations research, mathematical statistics, the theory of functions, analytic number theory and complex analysis, as well as economists with a mathematical background. Readers should have completed introductory courses in analysis and probability theory.
Book Synopsis Proceedings of the International Conference on Stochastic Analysis and Applications by : Sergio Albeverio
Download or read book Proceedings of the International Conference on Stochastic Analysis and Applications written by Sergio Albeverio and published by Springer Science & Business Media. This book was released on 2004-07-28 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic analysis is a field of mathematical research having numerous interactions with other domains of mathematics such as partial differential equations, riemannian path spaces, dynamical systems, optimization. It also has many links with applications in engineering, finance, quantum physics, and other fields. This book covers recent and diverse aspects of stochastic and infinite-dimensional analysis. The included papers are written from a variety of standpoints (white noise analysis, Malliavin calculus, quantum stochastic calculus) by the contributors, and provide a broad coverage of the subject. This volume will be useful to graduate students and research mathematicians wishing to get acquainted with recent developments in the field of stochastic analysis.
