Stochastic Flows and Jump-Diffusions
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 processe...
Κύριος συγγραφέας: | |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Singapore :
Springer Singapore : Imprint: Springer,
2019.
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Έκδοση: | 1st ed. 2019. |
Σειρά: | Probability Theory and Stochastic Modelling,
92 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Preface
- Introduction
- 1.Probability distributions and stochastic processes
- 2.Stochastic integrals based on Wiener processes and Poisson random measures
- 3.Stochastic differential equations and stochastic flows
- 4.Diffusions, jump-diffusions and heat equations
- 5.Malliavin calculus for Wiener processes and Poisson random measures
- 6.Smooth densities and heat kernels
- 7.Jump-diffusions on manifolds and smooth densities
- Bibliography
- Index.