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 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 Mallia…
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Produktdetails
- ISBN: 978-981-1338-00-7
- EAN: 9789811338007
- Produktnummer: 29460645
- Verlag: Springer-Verlag GmbH
- Sprache: Englisch
- Erscheinungsjahr: 2019
- Seitenangabe: 352 S.
- Masse: H24.1 cm x B16.0 cm x D2.6 cm 723 g
- Auflage: 2019
- Abbildungen: Book; Bibliographie
- Reihenbandnummer: 92
- Gewicht: 723
Über den Autor
Kunita was an invited speaker at the ICM 1986.
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