Stochastic Flows and Jump-Diffusions
Language: English
Published by Springer Nature Singapore Apr 2019, 2019
Series: Book 26 of 35 - Probability Theory and Stochastic Modelling
- Hardcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 50.51
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Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -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. 372 pp. Englisch.…
Seller Inventory # 9789811338007
- Title
- Stochastic Flows and Jump-Diffusions
- Author
- Hiroshi Kunita
- Publisher
- Springer Nature Singapore Apr 2019
- Publication year
- 2019
- Condition
- Neu
- Binding
- Buch
- Language
- English
- ISBN 10
- 9811338000
- ISBN 13
- 9789811338007
- Item weight
- 723 grams
- Dimensions
- 241x160x26 mm
- Series
- Book 26 of 35: Probability Theory and Stochastic Modelling
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About the Author
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BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
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