Stochastic Flows and Jump-Diffusions

Name: Stochastic Flows and Jump-Diffusions
Brand: Springer Verlag, Singapore
SKU: 9789811338007
Price: 19800 KES
Availability: OutOfStock
ISBN: 9789811338007

2019 ed.

by Hiroshi Kunita

Book Details

Format Hardback

Book Series Probability Theory and Stochastic Modelling

ISBN-10 9811338000

ISBN-13 9789811338007

Edition 2019 ed.

Publisher Springer Verlag, Singapore

Imprint Springer Verlag, Singapore

Country of Manufacture SG

Country of Publication GB

Publication Date Apr 9th, 2019

Print length 352 Pages

Product Classification: Economics, finance, business & management Economics, Finance, Business and Management Differential calculus & equations Differential calculus and equations Probability & statistics Probability and statistics Applied mathematics Stochastics

KSh 19,800.00

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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.

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.

Get Stochastic Flows and Jump-Diffusions by Hiroshi Kunita at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Springer Verlag, Singapore and it has 352 pages.