Stochastic Analysis and Related Topics VI PDF Download

Author: Laurent Decreusefond
Publisher: Springer Science & Business Media
ISBN: 146122022X
Category : Mathematics
Languages : en
Pages : 414

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Book Description
This volume contains the contributions of the participants of the Sixth Oslo-Silivri Workshop on Stochastic Analysis, held in Geilo from July 29 to August 6, 1996. There are two main lectures " Stochastic Differential Equations with Memory, by S.E.A. Mohammed, " Backward SDE's and Viscosity Solutions of Second Order Semilinear PDE's, by E. Pardoux. The main lectures are presented at the beginning of the volume. There is also a review paper at the third place about the stochastic calculus of variations on Lie groups. The contributing papers vary from SPDEs to Non-Kolmogorov type probabilistic models. We would like to thank " VISTA, a research cooperation between Norwegian Academy of Sciences and Letters and Den Norske Stats Oljeselskap (Statoil), " CNRS, Centre National de la Recherche Scientifique, " The Department of Mathematics of the University of Oslo, " The Ecole Nationale Superieure des Telecommunications, for their financial support. L. Decreusefond J. Gjerde B. 0ksendal A.S. Ustunel PARTICIPANTS TO THE 6TH WORKSHOP ON STOCHASTIC ANALYSIS Vestlia HØyfjellshotell, Geilo, Norway, July 28 -August 4, 1996. E-mail: [email protected] Aureli ALABERT Departament de Matematiques Laurent DECREUSEFOND Universitat Autonoma de Barcelona Ecole Nationale Superieure des Telecom 08193-Bellaterra munications CATALONIA (Spain) Departement Reseaux E-mail: [email protected] 46, rue Barrault Halvard ARNTZEN 75634 Paris Cedex 13 Dept. of Mathematics FRANCE University of Oslo E-mail: [email protected] Box 1053 Blindern Laurent DENIS N-0316 Oslo C.M.I

Author: Hayri Korezlioglu
Publisher: Springer
ISBN: 354039186X
Category : Mathematics
Languages : en
Pages : 384

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Book Description
The Silvri Workshop was divided into a short summer school and a working conference, producing lectures and research papers on recent developments in stochastic analysis on Wiener space. The topics treated in the lectures relate to the Malliavin calculus, the Skorohod integral and nonlinear functionals of white noise. Most of the research papers are applications of these subjects. This volume addresses researchers and graduate students in stochastic processes and theoretical physics.

Author: Hayri Korezlioglu
Publisher: Springer
ISBN: 3540465960
Category : Mathematics
Languages : en
Pages : 281

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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.

Author: Ulug Capar
Publisher: Springer Science & Business Media
ISBN: 9783764369989
Category : Mathematics
Languages : en
Pages : 224

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Book Description
Over the last years, stochastic analysis has had an enormous progress with the impetus originating from different branches of mathematics: PDE's and the Malliavin calculus, quantum physics, path space analysis on curved manifolds via probabilistic methods, and more. This volume contains selected contributions which were presented at the 8th Silivri Workshop on Stochastic Analysis and Related Topics, held in September 2000 in Gazimagusa, North Cyprus. The topics include stochastic control theory, generalized functions in a nonlinear setting, tangent spaces of manifold-valued paths with quasi-invariant measures, and applications in game theory, theoretical biology and theoretical physics. Contributors: A.E. Bashirov, A. Bensoussan and J. Frehse, U. Capar and H. Aktuglul, A.B. Cruzeiro and Kai-Nan Xiang, E. Hausenblas, Y. Ishikawa, N. Mahmudov, P. Malliavin and U. Taneri, N. Privault, A.S. Üstünel

Author: Paul Malliavin
Publisher: Springer
ISBN: 3642150748
Category : Mathematics
Languages : en
Pages : 346

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Book Description
In 5 independent sections, this book accounts recent main developments of stochastic analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.

Author: Laurent Decreusefond
Publisher: Springer Science & Business Media
ISBN: 3642299822
Category : Mathematics
Languages : en
Pages : 222

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Book Description
Since the early eighties, Ali Süleyman Üstünel has been one of the main contributors to the field of Malliavin calculus. In a workshop held in Paris, June 2010 several prominent researchers gave exciting talks in honor of his 60th birthday. The present volume includes scientific contributions from this workshop. Probability theory is first and foremost aimed at solving real-life problems containing randomness. Markov processes are one of the key tools for modeling that plays a vital part concerning such problems. Contributions on inventory control, mutation-selection in genetics and public-private partnerships illustrate several applications in this volume. Stochastic differential equations, be they partial or ordinary, also play a key role in stochastic modeling. Two of the contributions analyze examples that share a focus on probabilistic tools, namely stochastic analysis and stochastic calculus. Three other papers are devoted more to the theoretical development of these aspects. The volume addresses graduate students and researchers interested in stochastic analysis and its applications.

Author: Robert B. Ash
Publisher: Academic Press
ISBN: 1483191435
Category : Mathematics
Languages : en
Pages : 332

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Book Description
Topics in Stochastic Processes covers specific processes that have a definite physical interpretation and that explicit numerical results can be obtained. This book contains five chapters and begins with the L2 stochastic processes and the concept of prediction theory. The next chapter discusses the principles of ergodic theorem to real analysis, Markov chains, and information theory. Another chapter deals with the sample function behavior of continuous parameter processes. This chapter also explores the general properties of Martingales and Markov processes, as well as the one-dimensional Brownian motion. The aim of this chapter is to illustrate those concepts and constructions that are basic in any discussion of continuous parameter processes, and to provide insights to more advanced material on Markov processes and potential theory. The final chapter demonstrates the use of theory of continuous parameter processes to develop the Itô stochastic integral. This chapter also provides the solution of stochastic differential equations. This book will be of great value to mathematicians, engineers, and physicists.

Author: A.B. Cruzeiro
Publisher: Springer Science & Business Media
ISBN: 1461201276
Category : Mathematics
Languages : en
Pages : 162

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Book Description
This volume represents the outgrowth of an ongoing workshop on stochastic analysis held in Lisbon. The nine survey articles in the volume extend concepts from classical probability and stochastic processes to a number of areas of mathematical physics. It is a good reference text for researchers and advanced students in the fields of probability, stochastic processes, analysis, geometry, mathematical physics, and physics. Key topics covered include: nonlinear stochastic wave equations, completely positive maps, Mehler-type semigroups on Hilbert spaces, entropic projections, and many others.

Author: Ioannis Karatzas
Publisher: Springer Science & Business Media
ISBN: 1461220300
Category : Mathematics
Languages : en
Pages : 391

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Book Description
In the last twenty years extensive research has been devoted to a better understanding of the stable and other closely related infinitely divisible mod els. Stamatis Cambanis, a distinguished educator and researcher, played a special leadership role in the development of these research efforts, particu larly related to stable processes from the early seventies until his untimely death in April '95. This commemorative volume consists of a collection of research articles devoted to reviewing the state of the art of this and other rapidly developing research and to explore new directions of research in these fields. The volume is a tribute to the Life and Work of Stamatis by his students, friends, and colleagues whose personal and professional lives he has deeply touched through his generous insights and dedication to his profession. Before the idea of this volume was conceived, two conferences were held in the memory of Stamatis. The first was organized by the University of Athens and the Athens University of Economics and was held in Athens during December 18-19, 1995. The second was a significant part of a Spe cial IMS meeting held at the campus of the University of North Carolina at Chapel Hill during October 17-19, 1996. It is the selfless effort of sev eral people that brought about these conferences. We believe that this is an appropriate place to acknowledge their effort; and on behalf of all the participants, we extend sincere thanks to all these persons.

Author: Zhi-yuan Huang
Publisher: Springer Science & Business Media
ISBN: 9401141088
Category : Mathematics
Languages : en
Pages : 308

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Book Description
The infinite dimensional analysis as a branch of mathematical sciences was formed in the late 19th and early 20th centuries. Motivated by problems in mathematical physics, the first steps in this field were taken by V. Volterra, R. GateallX, P. Levy and M. Frechet, among others (see the preface to Levy[2]). Nevertheless, the most fruitful direction in this field is the infinite dimensional integration theory initiated by N. Wiener and A. N. Kolmogorov which is closely related to the developments of the theory of stochastic processes. It was Wiener who constructed for the first time in 1923 a probability measure on the space of all continuous functions (i. e. the Wiener measure) which provided an ideal math ematical model for Brownian motion. Then some important properties of Wiener integrals, especially the quasi-invariance of Gaussian measures, were discovered by R. Cameron and W. Martin[l, 2, 3]. In 1931, Kolmogorov[l] deduced a second partial differential equation for transition probabilities of Markov processes order with continuous trajectories (i. e. diffusion processes) and thus revealed the deep connection between theories of differential equations and stochastic processes. The stochastic analysis created by K. Ito (also independently by Gihman [1]) in the forties is essentially an infinitesimal analysis for trajectories of stochastic processes. By virtue of Ito's stochastic differential equations one can construct diffusion processes via direct probabilistic methods and treat them as function als of Brownian paths (i. e. the Wiener functionals).