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  • Stochastic Differential Equations and Diffusion Processes

    Collections Livre 24 - North-Holland Mathematical Library
    Stochastic Differential Equations and Diffusion Processes ... En savoir plus

    $64.99 CAD

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  • Stochastic Processes and Applications

    Diffusion Processes, the Fokker-Planck and Langevin Equations

    Collections series Mathematics and Statistics (R0)
    This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide ... En savoir plus

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  • Approximation Methods in Probability Theory

    Collections series Mathematics and Statistics (R0)
    This book presents a wide range of well-known and less common methods used for estimating the accuracy of probabilistic approximations, including the Esseen type inversion formulas, the Stein method as well as the methods of convolutions and triangle function. Emphasising the correct usage of the methods presented, each step required for the proofs is examined in detail. As a result, this textbook ... En savoir plus

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  • Equations Involving Malliavin Calculus Operators

    Applications and Numerical Approximation

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    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 ... En savoir plus

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  • Numerical Methods for Stochastic Partial Differential Equations with White Noise

    Collections series Mathematics and Statistics (R0)
    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 ... En savoir plus

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  • Brownian Motion and its Applications to Mathematical Analysis

    École d'Été de Probabilités de Saint-Flour XLIII – 2013

    Collections series Mathematics and Statistics (R0)
    These lecture notes provide an introduction to the applications of Brownian motion to analysis and more generally, connections between Brownian motion and analysis. Brownian motion is a well-suited model for a wide range of real random phenomena, from chaotic oscillations of microscopic objects, such as flower pollen in water, to stock market fluctuations. It is also a purely abstract mathematical ... En savoir plus

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  • Harnack Inequalities for Stochastic Partial Differential Equations

    par Feng-Yu Wang ...
    Collections series Mathematics and Statistics (R0)
    In this book the author presents a self-contained account of Harnack inequalities and applications for the semigroup of solutions to stochastic partial and delayed differential equations. Since the semigroup refers to Fokker-Planck equations on infinite-dimensional spaces, the Harnack inequalities the author investigates are dimension-free. This is an essentially different point from the above ... En savoir plus

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  • Extended Abstracts Summer 2015

    Strategic Behavior in Combinatorial Structures; Quantitative Finance

    Collections series Springer Nature Proceedings excluding Computer Science
    This book is divided into two parts, the first of which seeks to connect the phase transitions of various disciplines, including game theory, and to explore the synergies between statistical physics and combinatorics. Phase Transitions has been an active multidisciplinary field of research, bringing together physicists, computer scientists and mathematicians. The main research theme explores how ... En savoir plus

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  • Asymptotic Analysis for Functional Stochastic Differential Equations

    Collections series Mathematics and Statistics (R0)
    This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, ... En savoir plus

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  • Random Ordinary Differential Equations and Their Numerical Solution

    Collections Livre 85 - Probability Theory and Stochastic Modelling
    This book is intended to make recent results on the derivation of higher order numerical schemes for random ordinary differential equations (RODEs) available to a broader readership, and to familiarize readers with RODEs themselves as well as the closely associated theory of random dynamical systems. In addition, it demonstrates how RODEs are being used in the biological sciences, where non ... En savoir plus

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  • Free Boundary Problems in PDEs and Particle Systems

    Collections Livre 12 - SpringerBriefs in Mathematical Physics
    In this volume a theory for models of transport in the presence of a free boundary is developed.Macroscopic laws of transport are described by PDE's.When the system is open, there are several mechanisms to couple the system with the external forces. Here a class of systems where the interaction with the exterior takes place in correspondence of a free boundary is considered. Both continuous and ... En savoir plus

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  • Analysis and Geometry of Markov Diffusion Operators

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    The present volume is an extensive monograph on the analytic and geometric aspects of Markov diffusion operators. It focuses on the geometric curvature properties of the underlying structure in order to study convergence to equilibrium, spectral bounds, functional inequalities such as Poincaré, Sobolev or logarithmic Sobolev inequalities, and various bounds on solutions of evolution equations. At ... En savoir plus

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