Author: E. AlòsPublisher:
ISBN:
Category :
Languages : en
Pages : 23
Book Description
Anticipating Stochastic Volterra Equations
Author: E. AlòsStochastic Volterra Equations with Anticipating Coefficients
Author: E. PardouxThe General Linear Stochastic Volterra Equation with Anticipating Coefficients
Author: Bernt ØksendalPublisher:
ISBN: 9788255310099
Category :
Languages : en
Pages : 19
Book Description
The New Stochastic Integral and Anticipating Stochastic Differential Equations
Author: Benedykt SzozdaStochastic Partial Differential Equations
Author: Helge HoldenPublisher: Springer Science & Business Media
ISBN: 1468492152
Category : Mathematics
Languages : en
Pages : 238
Book Description
This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy". We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in reservoir theory and related areas. 3) The theory should be strong and efficient enough to allow us to solve th,~se SPDEs explicitly, or at least provide algorithms or approximations for the solutions.
Anticipative Girsanov Transformations and Skorohod Stochastic Differential Equations
Author: Rainer BuckdahnPublisher: American Mathematical Soc.
ISBN: 0821825968
Category : Mathematics
Languages : en
Pages : 102
Book Description
This monograph presents a concise exposition of recent developments in anticipative stochastic calculus. The anticipative calculus uses tools from differential calculus and distribution theory on Wiener space to analyze stochastic integrals with integrands which can anticipate the future of the Brownian integrator. In particular, the Skorohod integral, defined as a dual operator to the Wiener space derivative, and the anticipating Stratonovich integrals are fundamental.
Barcelona Seminar on Stochastic Analysis
Author: NualartPublisher: Birkhäuser
ISBN: 3034885555
Category : Mathematics
Languages : en
Pages : 247
Book Description
During the of Fall 1991, The Centre de Recerca Matematica, a research institute sponsored by the Institut d'Estudis Catalans, devoted a quarter to the study of stochastic analysis. Prominent workers in this field visited the Center from all over the world for periods ranging from a few days to several weeks. To take advantage of the presence in Barcelona of so many special ists in stochastic analysis, we organized a workshop on the subject in Sant Feliu de Guixols (Girona) that provided an opportunity for them to ex change information and ideas about their current work. Topics discussed included: Analysis on the Wiener space, Anticipating Stochastic Calculus and its Applications, Correlation Inequalities, Stochastic Flows, Reflected Semimartingales, and others. This volume contains a refereed selection of contributions from some of the participants in this workshop. We are deeply indebted to the authors of the articles for these exposi tions of their valuable research contributions. We also would like to thank all the referees for their helpful advice in making the volume a reflection of the dynamic interchange that characterized the workshop. The success of the Seminar was due essentially to the enthusiasm and stimulating discus sions of all the participants in an informal and pleasant atmosphere. To all of them our warm gratitude.
Handbook of Stochastic Analysis and Applications
Author: D. KannanPublisher: CRC Press
ISBN: 1482294702
Category : Mathematics
Languages : en
Pages : 808
Book Description
An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Anticipating Stochastic Differential Equations
Author: C. RoviraStochastic Analysis and Related Topics II
Author: Hayri KorezliogluPublisher: Springer
ISBN: 3540465960
Category : Mathematics
Languages : en
Pages : 281
Book Description
The Second Silivri Workshop functioned as a short summer school and a working conference, producing lecture notes and research papers on recent developments of Stochastic Analysis on Wiener space. The topics of the lectures concern short time asymptotic problems and anticipative stochastic differential equations. Research papers are mostly extensions and applications of the techniques of anticipative stochastic calculus.