Share

Stochastic Analysis

2015-06-12 Mathematics
Download Stochastic Analysis PDF Online Free

Author :
Release : 2015-06-12
Genre : Mathematics
Kind : eBook
Book Rating : 748/5 ( reviews)

GET EBOOK


Book Synopsis Stochastic Analysis by : Paul Malliavin

Download or read book Stochastic Analysis written by Paul Malliavin. This book was released on 2015-06-12. Available in PDF, EPUB and Kindle. Book excerpt: In 5 independent sections, this book accounts recent main developments of stochastic analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.

Applied Stochastic Analysis

2021-09-22 Education
Download Applied Stochastic Analysis PDF Online Free

Author :
Release : 2021-09-22
Genre : Education
Kind : eBook
Book Rating : 698/5 ( reviews)

GET EBOOK


Book Synopsis Applied Stochastic Analysis by : Weinan E

Download or read book Applied Stochastic Analysis written by Weinan E. This book was released on 2021-09-22. Available in PDF, EPUB and Kindle. Book excerpt: This is a textbook for advanced undergraduate students and beginning graduate students in applied mathematics. It presents the basic mathematical foundations of stochastic analysis (probability theory and stochastic processes) as well as some important practical tools and applications (e.g., the connection with differential equations, numerical methods, path integrals, random fields, statistical physics, chemical kinetics, and rare events). The book strikes a nice balance between mathematical formalism and intuitive arguments, a style that is most suited for applied mathematicians. Readers can learn both the rigorous treatment of stochastic analysis as well as practical applications in modeling and simulation. Numerous exercises nicely supplement the main exposition.

Stochastic Analysis

2020-10-20 Mathematics
Download Stochastic Analysis PDF Online Free

Author :
Release : 2020-10-20
Genre : Mathematics
Kind : eBook
Book Rating : 643/5 ( reviews)

GET EBOOK


Book Synopsis Stochastic Analysis by : Shigeo Kusuoka

Download or read book Stochastic Analysis written by Shigeo Kusuoka. This book was released on 2020-10-20. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions. In the final chapter, applications to mathematical finance are given. The preliminary knowledge needed by the reader is linear algebra and measure theory. Rigorous proofs are provided for theorems, propositions, and lemmas. In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts of the square integrable functions are used in the proof. In stochastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of stochastic differential equations.

Stochastic Analysis in Discrete and Continuous Settings

2009-07-14 Mathematics
Download Stochastic Analysis in Discrete and Continuous Settings PDF Online Free

Author :
Release : 2009-07-14
Genre : Mathematics
Kind : eBook
Book Rating : 800/5 ( reviews)

GET EBOOK


Book Synopsis Stochastic Analysis in Discrete and Continuous Settings by : Nicolas Privault

Download or read book Stochastic Analysis in Discrete and Continuous Settings written by Nicolas Privault. This book was released on 2009-07-14. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.

Foundations of Stochastic Analysis

2011-01-01 Mathematics
Download Foundations of Stochastic Analysis PDF Online Free

Author :
Release : 2011-01-01
Genre : Mathematics
Kind : eBook
Book Rating : 220/5 ( reviews)

GET EBOOK


Book Synopsis Foundations of Stochastic Analysis by : M. M. Rao

Download or read book Foundations of Stochastic Analysis written by M. M. Rao. This book was released on 2011-01-01. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic analysis involves the study of a process involving a randomly determined sequence of observations, each of which represents a sample of one element of probability distribution. This volume considers fundamental theories and contrasts the natural interplay between real and abstract methods. Starting with the introduction of the basic Kolmogorov-Bochner existence theorem, the text explores conditional expectations and probabilities as well as projective and direct limits. Subsequent chapters examine several aspects of discrete martingale theory, including applications to ergodic theory, likelihood ratios, and the Gaussian dichotomy theorem. Prerequisites include a standard measure theory course. No prior knowledge of probability is assumed; therefore, most of the results are proved in detail. Each chapter concludes with a problem section that features many hints and facts, including the most important results in information theory.

You may also like...