Stochastic Flows and Jump Diffusions is popular PDF and ePub book, written by Hiroshi Kunita in 2019-03-26, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Stochastic Flows and Jump Diffusions can be Read Online from any device for your convenience.
Stochastic Flows and Jump Diffusions Book PDF Summary
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.
Detail Book of Stochastic Flows and Jump Diffusions PDF
- Author : Hiroshi Kunita
- Release : 26 March 2019
- Publisher : Springer
- ISBN : 9789811338014
- Genre : Mathematics
- Total Page : 352 pages
- Language : English
- PDF File Size : 17,5 Mb
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