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Probability Theory and Stochastic Modelling

Stochastic Flows and Jump-Diffusions

Authors: Kunita, Hiroshi

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  • Provides systematic treatment of the Malliavin calculus on the Wiener–Poisson space, introducing Sobolev norms
  • Uses the flow property of the solution of stochastic differential equations and application to dual jump-diffusions
  • Is a study of fundamental solutions through stochastic analysis without the aid of partial differential equations
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書籍の購入

イーブック ¥9,546
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-981-13-3801-4
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: PDF, EPUB
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
  • ご購入後、すぐにダウンロードしていただけます。
ハードカバー ¥11,933
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-981-13-3800-7
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Usually dispatched within 3 to 5 business days.
この書籍について

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.

著者について

Kunita was an invited speaker at the ICM 1986. 

Table of contents (7 chapters)

Table of contents (7 chapters)

書籍の購入

イーブック ¥9,546
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-981-13-3801-4
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: PDF, EPUB
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
  • ご購入後、すぐにダウンロードしていただけます。
ハードカバー ¥11,933
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-981-13-3800-7
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Usually dispatched within 3 to 5 business days.
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書誌情報

Bibliographic Information
Book Title
Stochastic Flows and Jump-Diffusions
Authors
Series Title
Probability Theory and Stochastic Modelling
Series Volume
92
Copyright
2019
Publisher
Springer Singapore
Copyright Holder
Springer Nature Singapore Pte Ltd.
イーブック ISBN
978-981-13-3801-4
DOI
10.1007/978-981-13-3801-4
ハードカバー ISBN
978-981-13-3800-7
Series ISSN
2199-3130
Edition Number
1
Number of Pages
XVII, 352
Number of Illustrations
145 b/w illustrations
Topics