Stochastic Flows and Jump-Diffusions. 1st ed. 2019
- 種類:
- 電子ブック
- 責任表示:
- by Hiroshi Kunita
- 出版情報:
- Singapore : Springer Nature Singapore : Imprint: Springer, 2019
- 著者名:
- シリーズ名:
- Probability Theory and Stochastic Modelling ; 92
- ISBN:
- 9789811338014 [9811338019]
- 注記:
- Preface -- Introduction -- 1.Probability distributions and stochastic processes -- 2.Stochastic integrals based on Wiener processes and Poisson random measures -- 3.Stochastic differential equations and stochastic flows -- 4.Diffusions, jump-diffusions and heat equations -- 5.Malliavin calculus for Wiener processes and Poisson random measures -- 6.Smooth densities and heat kernels -- 7.Jump-diffusions on manifolds and smooth densities -- Bibliography -- Index.
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 heat equations are constructed independently - ローカル注記:
- 学内専用E-BOOKS (local access only)
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