Stochastic Flows and Jump-Diffusions

• Main Author: Kunita, Hiroshi (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Singapore : Springer Singapore : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Series: Probability Theory and Stochastic Modelling, 92
• Subjects: Probabilities.; Economics, Mathematical .; Partial differential equations.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Partial Differential Equations.

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...