Stochastic Flows and Jump-diffusions

Stochastic Flows and Jump-diffusions
Author :
Publisher :
Total Pages : 352
Release :
ISBN-10 : 9811338027
ISBN-13 : 9789811338021
Rating : 4/5 (021 Downloads)

Book Synopsis Stochastic Flows and Jump-diffusions by : H. Kunita

Download or read book Stochastic Flows and Jump-diffusions written by H. Kunita and published by . This book was released on 2019 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps. In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations. Researchers and graduate student in probability theory will find this book very useful.


Stochastic Flows and Jump-diffusions Related Books

Stochastic Flows and Jump-diffusions
Language: en
Pages: 352
Authors: H. Kunita
Categories: Electronic books
Type: BOOK - Published: 2019 - Publisher:

GET EBOOK

This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment o
Stochastic Flows and Jump-Diffusions
Language: en
Pages: 366
Authors: Hiroshi Kunita
Categories: Mathematics
Type: BOOK - Published: 2019-03-26 - Publisher: Springer

GET EBOOK

This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment o
Stochastic Flows and Stochastic Differential Equations
Language: en
Pages: 364
Authors: Hiroshi Kunita
Categories: Mathematics
Type: BOOK - Published: 1990 - Publisher: Cambridge University Press

GET EBOOK

The main purpose of this book is to give a systematic treatment of the theory of stochastic differential equations and stochastic flow of diffeomorphisms, and t
New Trends in Stochastic Analysis and Related Topics
Language: en
Pages: 458
Authors: Huaizhong Zhao
Categories: Mathematics
Type: BOOK - Published: 2012 - Publisher: World Scientific

GET EBOOK

The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related field
Applied Stochastic Differential Equations
Language: en
Pages: 327
Authors: Simo Särkkä
Categories: Business & Economics
Type: BOOK - Published: 2019-05-02 - Publisher: Cambridge University Press

GET EBOOK

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.