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Author : Shinzo Watanabe
Publisher :
ISBN 13 :
Total Pages : 140 pages
Book Rating : 4.:/5 (318 download)
Download or read book Lectures on Stochastic Differential Equations and Malliavin Calculus written by Shinzo Watanabe and published by . This book was released on 1984 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (471 download)
Download or read book Lectures on Stochastic Differential Equations and written by and published by . This book was released on 1984 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giuseppe Da Prato
Publisher : Springer
ISBN 13 : 8876424997
Total Pages : 286 pages
Book Rating : 4.8/5 (764 download)
Download or read book Introduction to Stochastic Analysis and Malliavin Calculus written by Giuseppe Da Prato and published by Springer. This book was released on 2014-07-01 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents an introductory course on differential stochastic equations and Malliavin calculus. The material of the book has grown out of a series of courses delivered at the Scuola Normale Superiore di Pisa (and also at the Trento and Funchal Universities) and has been refined over several years of teaching experience in the subject. The lectures are addressed to a reader who is familiar with basic notions of measure theory and functional analysis. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Itô's formula. The second part deals with differential stochastic equations and their connection with parabolic problems. The third part provides an introduction to the Malliavin calculus. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von Neumann theorems. In this third edition several small improvements are added and a new section devoted to the differentiability of the Feynman-Kac semigroup is introduced. A considerable number of corrections and improvements have been made.
Author : Robert C. Dalang
Publisher : Birkhäuser
ISBN 13 : 3034809093
Total Pages : 402 pages
Book Rating : 4.0/5 (348 download)
Download or read book Stochastic Analysis: A Series of Lectures written by Robert C. Dalang and published by Birkhäuser. This book was released on 2015-07-28 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in thirteen refereed survey articles an overview of modern activity in stochastic analysis, written by leading international experts. The topics addressed include stochastic fluid dynamics and regularization by noise of deterministic dynamical systems; stochastic partial differential equations driven by Gaussian or Lévy noise, including the relationship between parabolic equations and particle systems, and wave equations in a geometric framework; Malliavin calculus and applications to stochastic numerics; stochastic integration in Banach spaces; porous media-type equations; stochastic deformations of classical mechanics and Feynman integrals and stochastic differential equations with reflection. The articles are based on short courses given at the Centre Interfacultaire Bernoulli of the Ecole Polytechnique Fédérale de Lausanne, Switzerland, from January to June 2012. They offer a valuable resource not only for specialists, but also for other researchers and Ph.D. students in the fields of stochastic analysis and mathematical physics. Contributors: S. Albeverio M. Arnaudon V. Bally V. Barbu H. Bessaih Z. Brzeźniak K. Burdzy A.B. Cruzeiro F. Flandoli A. Kohatsu-Higa S. Mazzucchi C. Mueller J. van Neerven M. Ondreját S. Peszat M. Veraar L. Weis J.-C. Zambrini
Author : David Nualart
Publisher :
ISBN 13 : 9781475724387
Total Pages : 284 pages
Book Rating : 4.7/5 (243 download)
Download or read book The Malliavin Calculus and Related Topics written by David Nualart and published by . This book was released on 2014-09-01 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert C. Dalang
Publisher : Springer Science & Business Media
ISBN 13 : 3540859934
Total Pages : 230 pages
Book Rating : 4.5/5 (48 download)
Download or read book A Minicourse on Stochastic Partial Differential Equations written by Robert C. Dalang and published by Springer Science & Business Media. This book was released on 2009 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title contains lectures that offer an introduction to modern topics in stochastic partial differential equations and bring together experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic PDEs.
Author : Daniel W. Stroock
Publisher : Springer
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.3/5 (91 download)
Download or read book Lectures on Topics in Stochastic Differential Equations written by Daniel W. Stroock and published by Springer. This book was released on 1982 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. H. A. Davis
Publisher : Springer
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.3/5 (91 download)
Download or read book Lectures on Stochastic Control and Nonlinear Filtering written by M. H. A. Davis and published by Springer. This book was released on 1984 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shinzo Watanabe
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.F/5 ( download)
Download or read book Lectures on Stochastic Differential Equations and Malliavin Calculus written by Shinzo Watanabe and published by . This book was released on 1984 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : N. Ikeda
Publisher : Elsevier
ISBN 13 : 1483296156
Total Pages : 572 pages
Book Rating : 4.4/5 (832 download)
Download or read book Stochastic Differential Equations and Diffusion Processes written by N. Ikeda and published by Elsevier. This book was released on 2014-06-28 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sections discussing complex (conformal) martingales and Kahler diffusions have been added.
Author : Marta Sanz Solé
Publisher : EPFL Press
ISBN 13 : 9782940222063
Total Pages : 184 pages
Book Rating : 4.2/5 (22 download)
Download or read book Malliavin Calculus written by Marta Sanz Solé and published by EPFL Press. This book was released on 2005-01-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed in the 1970s to study the existence and smoothness of density for the probability laws of random vectors, Malliavin calculus--a stochastic calculus of variation on the Wiener space--has proven fruitful in many problems in probability theory, particularly in probabilistic numerical methods in financial mathematics. This book presents applications of Malliavin calculus to the analysis of probability laws of solutions to stochastic partial differential equations driven by Gaussian noises that are white in time and coloured in space. The first five chapters introduce the calculus itself b.
Author : Laurent Decreusefond
Publisher : Springer Science & Business Media
ISBN 13 : 146122022X
Total Pages : 414 pages
Book Rating : 4.4/5 (612 download)
Download or read book Stochastic Analysis and Related Topics VI written by Laurent Decreusefond and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the contributions of the participants of the Sixth Oslo-Silivri Workshop on Stochastic Analysis, held in Geilo from July 29 to August 6, 1996. There are two main lectures " Stochastic Differential Equations with Memory, by S.E.A. Mohammed, " Backward SDE's and Viscosity Solutions of Second Order Semilinear PDE's, by E. Pardoux. The main lectures are presented at the beginning of the volume. There is also a review paper at the third place about the stochastic calculus of variations on Lie groups. The contributing papers vary from SPDEs to Non-Kolmogorov type probabilistic models. We would like to thank " VISTA, a research cooperation between Norwegian Academy of Sciences and Letters and Den Norske Stats Oljeselskap (Statoil), " CNRS, Centre National de la Recherche Scientifique, " The Department of Mathematics of the University of Oslo, " The Ecole Nationale Superieure des Telecommunications, for their financial support. L. Decreusefond J. Gjerde B. 0ksendal A.S. Ustunel PARTICIPANTS TO THE 6TH WORKSHOP ON STOCHASTIC ANALYSIS Vestlia HØyfjellshotell, Geilo, Norway, July 28 -August 4, 1996. E-mail: [email protected] Aureli ALABERT Departament de Matematiques Laurent DECREUSEFOND Universitat Autonoma de Barcelona Ecole Nationale Superieure des Telecom 08193-Bellaterra munications CATALONIA (Spain) Departement Reseaux E-mail: [email protected] 46, rue Barrault Halvard ARNTZEN 75634 Paris Cedex 13 Dept. of Mathematics FRANCE University of Oslo E-mail: [email protected] Box 1053 Blindern Laurent DENIS N-0316 Oslo C.M.I
Author : Tijana Levajković
Publisher : Springer
ISBN 13 : 3319656783
Total Pages : 139 pages
Book Rating : 4.3/5 (196 download)
Download or read book Equations Involving Malliavin Calculus Operators written by Tijana Levajković and published by Springer. This book was released on 2017-08-31 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and unified introduction to stochastic differential equations and related optimal control problems. The material is new and the presentation is reader-friendly. A major contribution of the book is the development of generalized Malliavin calculus in the framework of white noise analysis, based on chaos expansion representation of stochastic processes and its application for solving several classes of stochastic differential equations with singular data involving the main operators of Malliavin calculus. In addition, applications in optimal control and numerical approximations are discussed. The book is divided into four chapters. The first, entitled White Noise Analysis and Chaos Expansions, includes notation and provides the reader with the theoretical background needed to understand the subsequent chapters. In Chapter 2, Generalized Operators of Malliavin Calculus, the Malliavin derivative operator, the Skorokhod integral and the Ornstein-Uhlenbeck operator are introduced in terms of chaos expansions. The main properties of the operators, which are known in the literature for the square integrable processes, are proven using the chaos expansion approach and extended for generalized and test stochastic processes. Chapter 3, Equations involving Malliavin Calculus operators, is devoted to the study of several types of stochastic differential equations that involve the operators of Malliavin calculus, introduced in the previous chapter. Fractional versions of these operators are also discussed. Finally, in Chapter 4, Applications and Numerical Approximations are discussed. Specifically, we consider the stochastic linear quadratic optimal control problem with different forms of noise disturbances, operator differential algebraic equations arising in fluid dynamics, stationary equations and fractional versions of the equations studied – applications never covered in the extant literature. Moreover, numerical validations of the method are provided for specific problems."
Author : Jai Rathod
Publisher :
ISBN 13 : 9781681171906
Total Pages : 0 pages
Book Rating : 4.1/5 (719 download)
Download or read book Introduction to Stochastic Analysis and Malliavin Calculus written by Jai Rathod and published by . This book was released on 2015-08 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly. The best-known stochastic process to which stochastic calculus is applied is the Wiener process, the Wiener process has been widely applied in financial mathematics and economics to model the evolution in time of stock prices and bond interest rates. The Malliavin calculus extends the calculus of variations from functions to stochastic processes. The Malliavin calculus is also called the stochastic calculus of variations. In particular, it allows the computation of derivatives of random variables. Malliavin's ideas led to a proof that H�rmander's condition implies the existence and smoothness of a density for the solution of a stochastic differential equation; H�rmander's original proof was based on the theory of partial differential equations. The calculus has been applied to stochastic partial differential equations as well. The calculus allows integration by parts with random variables; this operation is used in mathematical finance to compute the sensitivities of financial derivatives. The calculus has applications in, for example, stochastic filtering. This book emphasizes on differential stochastic equations and Malliavin calculus.
Author : H. Körezlioglu
Publisher : Springer Science & Business Media
ISBN 13 : 1461203732
Total Pages : 372 pages
Book Rating : 4.4/5 (612 download)
Download or read book Stochastic Analysis and Related Topics written by H. Körezlioglu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a large spectrum of work: super processes, Dirichlet forms, anticipative stochastic calculus, random fields and Wiener space analysis. The first part of the volume consists of two main lectures given at the third Silivri meeting in 1990: 1. "Infinitely divisible random measures and superprocesses" by D.A. Dawson, 2. "Dirichlet forms on infinite dimensional spaces and appli cations" by M. Rockner. The second part consists of recent research papers all related to Stochastic Analysis, motivated by stochastic partial differ ential equations, Markov fields, the Malliavin calculus and the Feynman path integrals. We would herewith like to thank the ENST for its material support for the above mentioned meeting as well as for the ini tial preparation of this volume and to our friend and colleague Erhan Qmlar whose help and encouragement for the realization of this volume have been essential. H. Korezlioglu A.S. Ustiinel INFINITELY DIVISIBLE RANDOM MEASURES AND SUPERPROCESSES DONALD A. DAWSON 1. Introduction.
Author : Yasushi Ishikawa
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110675293
Total Pages : 376 pages
Book Rating : 4.1/5 (16 download)
Download or read book Stochastic Calculus of Variations written by Yasushi Ishikawa and published by Walter de Gruyter GmbH & Co KG. This book was released on 2023-07-24 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a concise introduction to the stochastic calculus of variations for processes with jumps. The author provides many results on this topic in a self-contained way for e.g., stochastic differential equations (SDEs) with jumps. The book also contains some applications of the stochastic calculus for processes with jumps to the control theory, mathematical finance and so. This third and entirely revised edition of the work is updated to reflect the latest developments in the theory and some applications with graphics.
Author : D.W. Stroock
Publisher : Springer
ISBN 13 : 9783540115496
Total Pages : 98 pages
Book Rating : 4.1/5 (154 download)
Download or read book Lectures on Topics in Stochastic Differential Equations written by D.W. Stroock and published by Springer. This book was released on 1983-05-05 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
