Diffusion Processes Jump Processes And Stochastic Differential Equations
Download Diffusion Processes Jump Processes And Stochastic Differential Equations PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Diffusion Processes Jump Processes And Stochastic Differential Equations book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages.
Diffusion Processes, Jump Processes, and Stochastic Differential Equations
Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.
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 Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heatequations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.
Point Processes and Jump Diffusions
Author: Tomas Björk
language: en
Publisher: Cambridge University Press
Release Date: 2021-06-17
Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.