Malliavin Calculus For Levy Processes And Infinite Dimensional Brownian Motion
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Author | : Horst Osswald |
Publisher | : Cambridge University Press |
Total Pages | : 429 |
Release | : 2012-03 |
Genre | : Mathematics |
ISBN | : 1107016142 |
After functional, measure and stochastic analysis prerequisites, the author covers chaos decomposition, Skorohod integral processes, Malliavin derivative and Girsanov transformations.
Author | : David Applebaum |
Publisher | : Cambridge University Press |
Total Pages | : 461 |
Release | : 2009-04-30 |
Genre | : Mathematics |
ISBN | : 1139477986 |
Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Lévy processes, then leading on to develop the stochastic calculus for Lévy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.
Author | : Hiroyuki Matsumoto |
Publisher | : Cambridge University Press |
Total Pages | : 359 |
Release | : 2017 |
Genre | : Mathematics |
ISBN | : 110714051X |
Developing the Itô calculus and Malliavin calculus in tandem, this book crystallizes modern day stochastic analysis into a single volume.
Author | : Vladimir Igorevich Bogachev |
Publisher | : American Mathematical Soc. |
Total Pages | : 506 |
Release | : 2010-07-21 |
Genre | : Mathematics |
ISBN | : 082184993X |
This book provides the reader with the principal concepts and results related to differential properties of measures on infinite dimensional spaces. In the finite dimensional case such properties are described in terms of densities of measures with respect to Lebesgue measure. In the infinite dimensional case new phenomena arise. For the first time a detailed account is given of the theory of differentiable measures, initiated by S. V. Fomin in the 1960s; since then the method has found many various important applications. Differentiable properties are described for diverse concrete classes of measures arising in applications, for example, Gaussian, convex, stable, Gibbsian, and for distributions of random processes. Sobolev classes for measures on finite and infinite dimensional spaces are discussed in detail. Finally, we present the main ideas and results of the Malliavin calculus--a powerful method to study smoothness properties of the distributions of nonlinear functionals on infinite dimensional spaces with measures. The target readership includes mathematicians and physicists whose research is related to measures on infinite dimensional spaces, distributions of random processes, and differential equations in infinite dimensional spaces. The book includes an extensive bibliography on the subject.
Author | : Peter A. Loeb |
Publisher | : Springer |
Total Pages | : 485 |
Release | : 2015-08-26 |
Genre | : Mathematics |
ISBN | : 9401773270 |
Starting with a simple formulation accessible to all mathematicians, this second edition is designed to provide a thorough introduction to nonstandard analysis. Nonstandard analysis is now a well-developed, powerful instrument for solving open problems in almost all disciplines of mathematics; it is often used as a ‘secret weapon’ by those who know the technique. This book illuminates the subject with some of the most striking applications in analysis, topology, functional analysis, probability and stochastic analysis, as well as applications in economics and combinatorial number theory. The first chapter is designed to facilitate the beginner in learning this technique by starting with calculus and basic real analysis. The second chapter provides the reader with the most important tools of nonstandard analysis: the transfer principle, Keisler’s internal definition principle, the spill-over principle, and saturation. The remaining chapters of the book study different fields for applications; each begins with a gentle introduction before then exploring solutions to open problems. All chapters within this second edition have been reworked and updated, with several completely new chapters on compactifications and number theory. Nonstandard Analysis for the Working Mathematician will be accessible to both experts and non-experts, and will ultimately provide many new and helpful insights into the enterprise of mathematics.
Author | : Bas Lemmens |
Publisher | : Cambridge University Press |
Total Pages | : 337 |
Release | : 2012-05-03 |
Genre | : Mathematics |
ISBN | : 0521898811 |
Guides the reader through the nonlinear Perron-Frobenius theory, introducing them to recent developments and challenging open problems.
Author | : R. M. Green |
Publisher | : Cambridge University Press |
Total Pages | : 329 |
Release | : 2013-02-21 |
Genre | : Mathematics |
ISBN | : 1107026245 |
Uses the combinatorics and representation theory to construct and study important families of Lie algebras and Weyl groups.
Author | : A. Ivić |
Publisher | : Cambridge University Press |
Total Pages | : 265 |
Release | : 2013 |
Genre | : Mathematics |
ISBN | : 1107028833 |
A comprehensive account of Hardy's Z-function, one of the most important functions of analytic number theory.
Author | : Kanishka Perera |
Publisher | : Cambridge University Press |
Total Pages | : 171 |
Release | : 2013 |
Genre | : Mathematics |
ISBN | : 110702966X |
Provides an introduction to critical point theory and shows how it solves many difficult problems.
Author | : Ian Chiswell |
Publisher | : Cambridge University Press |
Total Pages | : 300 |
Release | : 2012-10-18 |
Genre | : Mathematics |
ISBN | : 1139576992 |
The theory of R-trees is a well-established and important area of geometric group theory and in this book the authors introduce a construction that provides a new perspective on group actions on R-trees. They construct a group RF(G), equipped with an action on an R-tree, whose elements are certain functions from a compact real interval to the group G. They also study the structure of RF(G), including a detailed description of centralizers of elements and an investigation of its subgroups and quotients. Any group acting freely on an R-tree embeds in RF(G) for some choice of G. Much remains to be done to understand RF(G), and the extensive list of open problems included in an appendix could potentially lead to new methods for investigating group actions on R-trees, particularly free actions. This book will interest all geometric group theorists and model theorists whose research involves R-trees.