Stochastic Flows and Jump-Diffusions / Probability Theory and Stochastic Modelling Bd.92 (PDF)
(Sprache: Englisch)
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...
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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 heatequations are constructed independently of the theory of partial differential equations.
Researchers and graduate student in probability theory will find this book very useful.
Autoren-Porträt von Hiroshi Kunita
Kunita was an invited speaker at the ICM 1986.
Bibliographische Angaben
- Autor: Hiroshi Kunita
- 2019, 1st ed. 2019, 352 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 9811338019
- ISBN-13: 9789811338014
- Erscheinungsdatum: 26.03.2019
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 3.84 MB
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Sprache:
Englisch
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