Transformation of Measure on Wiener Space PDF Download

Author: A.Süleyman Üstünel
Publisher: Springer Science & Business Media
ISBN: 3662132257
Category : Mathematics
Languages : en
Pages : 303

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Book Description
This unique book on the subject addresses fundamental problems and will be the standard reference for a long time to come. The authors have different scientific origins and combine these successfully, creating a text aimed at graduate students and researchers that can be used for courses and seminars.

Author: Vladimir Igorevich Bogachev
Publisher: American Mathematical Soc.
ISBN: 082184993X
Category : Mathematics
Languages : en
Pages : 506

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Book Description
This book provides the reader with the principal concepts and results related to differential properties of measures on infinite dimensional spaces. In the finite dimensional case such properties are described in terms of densities of measures with respect to Lebesgue measure. In the infinite dimensional case new phenomena arise. For the first time a detailed account is given of the theory of differentiable measures, initiated by S. V. Fomin in the 1960s; since then the method has found many various important applications. Differentiable properties are described for diverse concrete classes of measures arising in applications, for example, Gaussian, convex, stable, Gibbsian, and for distributions of random processes. Sobolev classes for measures on finite and infinite dimensional spaces are discussed in detail. Finally, we present the main ideas and results of the Malliavin calculus--a powerful method to study smoothness properties of the distributions of nonlinear functionals on infinite dimensional spaces with measures. The target readership includes mathematicians and physicists whose research is related to measures on infinite dimensional spaces, distributions of random processes, and differential equations in infinite dimensional spaces. The book includes an extensive bibliography on the subject.

Author: Yaozhong Hu
Publisher: American Mathematical Soc.
ISBN: 0821837044
Category : Mathematics
Languages : en
Pages : 144

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Book Description
A paper that studies two types of integral transformation associated with fractional Brownian motion. They are applied to construct approximation schemes for fractional Brownian motion by polygonal approximation of standard Brownian motion. This approximation is the best in the sense that it minimizes the mean square error.

Author: José Luis Menaldi
Publisher: IOS Press
ISBN: 9781586030964
Category : Mathematics
Languages : en
Pages : 632

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Book Description
This volume contains more than sixty invited papers of international wellknown scientists in the fields where Alain Bensoussan's contributions have been particularly important: filtering and control of stochastic systems, variationnal problems, applications to economy and finance, numerical analysis... In particular, the extended texts of the lectures of Professors Jens Frehse, Hitashi Ishii, Jacques-Louis Lions, Sanjoy Mitter, Umberto Mosco, Bernt Oksendal, George Papanicolaou, A. Shiryaev, given in the Conference held in Paris on December 4th, 2000 in honor of Professor Alain Bensoussan are included.

Author: Alison Etheridge
Publisher: Cambridge University Press
ISBN: 9780521483193
Category : Mathematics
Languages : en
Pages : 356

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Book Description
Consists of papers given at the ICMS meeting held in 1994 on this topic, and brings together some of the world's best known authorities on stochastic partial differential equations.

Author: Vladimir I. Bogachev
Publisher: American Mathematical Soc.
ISBN: 147041869X
Category : Mathematics
Languages : en
Pages : 450

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Book Description
This book gives a systematic exposition of the modern theory of Gaussian measures. It presents with complete and detailed proofs fundamental facts about finite and infinite dimensional Gaussian distributions. Covered topics include linear properties, convexity, linear and nonlinear transformations, and applications to Gaussian and diffusion processes. Suitable for use as a graduate text and/or a reference work, this volume contains many examples, exercises, and an extensive bibliography. It brings together many results that have not appeared previously in book form.

Author: Jacques Azema
Publisher: Springer
ISBN: 3540683526
Category : Mathematics
Languages : en
Pages : 342

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Book Description
The 31 papers collected here present original research results obtained in 1995-96, on Brownian motion and, more generally, diffusion processes, martingales, Wiener spaces, polymer measures.

Author: David Nualart
Publisher: Springer Science & Business Media
ISBN: 1475724373
Category : Mathematics
Languages : en
Pages : 273

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Book Description
The origin of this book lies in an invitation to give a series of lectures on Malliavin calculus at the Probability Seminar of Venezuela, in April 1985. The contents of these lectures were published in Spanish in [176]. Later these notes were completed and improved in two courses on Malliavin cal culus given at the University of California at Irvine in 1986 and at Ecole Polytechnique Federale de Lausanne in 1989. The contents of these courses correspond to the material presented in Chapters 1 and 2 of this book. Chapter 3 deals with the anticipating stochastic calculus and it was de veloped from our collaboration with Moshe Zakai and Etienne Pardoux. The series of lectures given at the Eighth Chilean Winter School in Prob ability and Statistics, at Santiago de Chile, in July 1989, allowed us to write a pedagogical approach to the anticipating calculus which is the basis of Chapter 3. Chapter 4 deals with the nonlinear transformations of the Wiener measure and their applications to the study of the Markov property for solutions to stochastic differential equations with boundary conditions.

Author: John C. Baez
Publisher: Princeton University Press
ISBN: 1400862507
Category : Science
Languages : en
Pages : 310

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Book Description
The authors present a rigorous treatment of the first principles of the algebraic and analytic core of quantum field theory. Their aim is to correlate modern mathematical theory with the explanation of the observed process of particle production and of particle-wave duality that heuristic quantum field theory provides. Many topics are treated here in book form for the first time, from the origins of complex structures to the quantization of tachyons and domains of dependence for quantized wave equations. This work begins with a comprehensive analysis, in a universal format, of the structure and characterization of free fields, which is illustrated by applications to specific fields. Nonlinear local functions of both free fields (or Wick products) and interacting fields are established mathematically in a way that is consistent with the basic physical constraints and practice. Among other topics discussed are functional integration, Fourier transforms in Hilbert space, and implementability of canonical transformations. The authors address readers interested in fundamental mathematical physics and who have at least the training of an entering graduate student. A series of lexicons connects the mathematical development with the underlying physical motivation or interpretation. The examples and problems illustrate the theory and relate it to the scientific literature. Originally published in 1992. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Author: Eddy Mayer-Wolf
Publisher: Academic Press
ISBN: 1483218708
Category : Mathematics
Languages : en
Pages : 553

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Book Description
Stochastic Analysis: Liber Amicorum for Moshe Zakai focuses on stochastic differential equations, nonlinear filtering, two-parameter martingales, Wiener space analysis, and related topics. The selection first ponders on conformally invariant and reflection positive random fields in two dimensions; real time architectures for the Zakai equation and applications; and quadratic approximation by linear systems controlled from partial observations. Discussions focus on predicted miss, review of basic sequential detection problems, multigrid algorithms for the Zakai equation, invariant test functions and regularity, and reflection positivity. The text then takes a look at a model of stochastic differential equation in Hubert spaces applicable to Navier Stokes equation in dimension 2; wavelets as attractors of random dynamical systems; and Markov properties for certain random fields. The publication examines the anatomy of a low-noise jump filter, nonlinear filtering with small observation noise, and closed form characteristic functions for certain random variables related to Brownian motion. Topics include derivation of characteristic functions for the examples, proof of the theorem, sequential quadratic variation test, asymptotic optimal filters, mean decision time, and asymptotic optimal filters. The selection is a valuable reference for researchers interested in stochastic analysis.