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Poisson Point Processes and Their Application to Markov Processes / / by Kiyosi Itô
| Poisson Point Processes and Their Application to Markov Processes / / by Kiyosi Itô |
| Autore | Itô Kiyosi |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Singapore : , : Springer Singapore : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (54 p.) |
| Disciplina | 519.23 |
| Collana | SpringerBriefs in Probability and Mathematical Statistics |
| Soggetto topico |
Probabilities
Measure theory Functional analysis Probability Theory and Stochastic Processes Measure and Integration Functional Analysis |
| ISBN | 981-10-0272-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Foreword; Preface; References; Contents; 1 Poisson Point Processes; 1.1 Point Functions; 1.2 Point Processes; 1.3 Poisson Point Processes; 1.4 The Structure of Poisson Point Processes (1) the Discrete Case; 1.5 The Structure of Poisson Point Processes (2) the General Case; 1.6 Transformation of Poisson Point Processes; 1.7 Summable Point Processes; 1.8 The Strong Renewal Property of Poisson Point Processes; References; 2 Application to Markov Processes; 2.1 Problem; 2.2 The Poisson Point Process Attached to a Markov Process at a State a; 2.3 The Jumping-In Measure and the Stagnancy Rate |
| Record Nr. | UNINA-9910300248603321 |
Itô Kiyosi
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| Singapore : , : Springer Singapore : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Probability theory and mathematical statistics : proceedings of the fifth Japan-USSR symposium, held in Kyoto, Japan, July 8-14 1986 / / Shinzo Watanabe, Yurii V. Prokhorov, editors
| Probability theory and mathematical statistics : proceedings of the fifth Japan-USSR symposium, held in Kyoto, Japan, July 8-14 1986 / / Shinzo Watanabe, Yurii V. Prokhorov, editors |
| Edizione | [1st ed. 1988.] |
| Pubbl/distr/stampa | Berlin ; ; Heidelberg : , : Springer-Verlag, , [1988] |
| Descrizione fisica | 1 online resource (X, 590 p.) |
| Disciplina | 519.5 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico | Mathematical statistics |
| ISBN | 3-540-48187-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Professor gisiro maruyama, in memoriam -- Some words in memory of Professor G. Maruyama -- Second and third order asymptotic completeness of the class of estimators -- An accuracy of Gaussian approximation of sum distribution of independent random variables in Banach spaces -- On the weak convergence to Brownian local time -- On optimal stopping with incomplete data -- Bellman equation with unbounded coefficients and its applications -- A note on capacities in infinite dimensions -- On diffusive motion of closed curves -- Non-linear filtering of stochastic processes and optimal signal transmission through a feedback channel -- On bessel potentials in linear spaces -- A time change relating continuous semi-markov and markov processes -- Bounded solutions and periodic solutions of a linear stochastic evolution equation -- Renormalization group method on a hierarchical lattice of dyson-wilson type -- Contiguity of distributions of multivariate point processes -- On Benford's law: The first digit problem -- One-dimensional diffusions and random walks in random environments -- The domain of attraction of a non-gaussian self-similar process with finite variance -- Absolutely continuous spectrum of one-dimensional random Schrödinger operators and hamiltonian systems -- Riemannian manifolds with stochastic independence conditions are rich enough -- On some inequalities in the probabilistic number theory -- Helices and isomorphism problems in ergodic theory -- A limit theorem for stochastic partial differential equations -- Some remarks on Getzler's degree theorem -- On limit theorems for conditionally independent random variables controlled by a finite Markov chain -- Joint asymptotic distribution of the maximum likelihood estimator and M-estimator -- On the results of asymptotic analysis for the random walks with two-sided boundary -- Gaussian limit theorems for Wiener functionals -- Multiplicative number theory in probability spaces: An exaple -- Monte carlo methods with stochastic parameters -- Schrödinger operator with potential which is the derivative of a temporally homogeneous Lévy process -- An evolution operator of the Feynman-kac type -- A theorem on the stability of nonlinear filtering systems -- Large deviations for the maximum likelihood estimators -- On the decay rate of correlation for piecewise linear transformations -- A fluctuation theorem for solutions of certain random evolution equations -- Convergence and uniqueness theorems for markov processes associated with Lévy operators -- Bounds for difference of two integrals of a bounded function in terms of extensions of Lévy metric -- Asymptotic expansions for 2-SPRT -- On Dynkin's stopping problem with a finite constraint -- Entropy operators and mcmillan type convergence theorems in a noncommutative dynamical system -- On long time tails of correlation functions for KMO-Langevin equations -- On central limit theorem for continuous additive functional of zero energy -- Ergodic properties of product type odometers -- Measuring processes and repeatability hypothesis -- Estimates of the rate of convergence in the central limit theorem in Banach spaces -- Simple method of obtaining estimates in the invariance principle -- Mutually repelling particles of m types -- Some classes generated by exponential distributions -- Remarks on the canonical representation of stationary linear symmetric ?-stable processes (0 |
| Record Nr. | UNISA-996466530703316 |
| Berlin ; ; Heidelberg : , : Springer-Verlag, , [1988] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Stochastic analysis : proceedings of the Japanese-French seminar held in Paris, France, June 16-19, 1987 / / edited by Michel Métivier and Shinzo Watanabe
| Stochastic analysis : proceedings of the Japanese-French seminar held in Paris, France, June 16-19, 1987 / / edited by Michel Métivier and Shinzo Watanabe |
| Edizione | [1st ed. 1988.] |
| Pubbl/distr/stampa | Berlin, Germany ; ; New York, New York : , : Springer-Verlag, , [1988] |
| Descrizione fisica | 1 online resource (X, 202 p.) |
| Disciplina | 519.22 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Mathematical physics
Mathematical analysis Stochastic analysis |
| ISBN | 3-540-39232-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Noyau de la chaleur hypoelliptique et geometrie sous-riemannienne -- On two classes of smooth measures for symmetric markov processes -- The hydrodynamical limit for scalar ginzburg-landau model on R -- Short time asymptotics for fundamental solutions of diffusion equations -- Malliavin calculus on a segal space -- Weak convergence of functionals of point processes on Rd -- Image des points critiques d'une application reguliere -- Degree theorem in certain wiener riemannian manifolds -- Applications quantitatives et geometriques du calcul de malliavin -- On the fock space representation of occupations times for non reversible markov processes -- On weak solutions of stochastic partial differential equations -- Une remarque sur les chaos de wiener -- Limit theorem for one-dimensional diffusion process in brownian environment -- Diffusion processes and heat kernels on certain nilpotent groups. |
| Record Nr. | UNISA-996466522803316 |
| Berlin, Germany ; ; New York, New York : , : Springer-Verlag, , [1988] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (309 p.) |
| Disciplina | 519.23 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-12132-0
9786611121327 981-277-044-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Program; CONTENTS; Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy S. Ankirchner and P. Imkell; A Localization of the Levy Operators Arising in Mathematical Finances M. Arisawa; Model-free Representation of Pricing Rules as Conditional Expectations S. Biagini and R. Cont; A Class of Financial Products and Models Where Super-replication Prices are Explicit L. Carassus, E. Gobet, and E. Temam; Risky Debt and Optimal Coupon Policy and Other Optimal Strategies D. Dorobantu and M. Pontier
Affine Credit Risk Models under Incomplete Information R. Frey, C. Prosdocimi, and W. J. Runggaldier Smooth Rough Paths and the Applications K. Hara and T. Lyons; From Access to Bypass: A Real Options Approach K. Hori and K. Mizuno; The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage J. Imai and T. Watanabe; Asian Strike Options of American Type and Game Type M. Ishihara and H. Kunita; Minimal Variance Martingale Measures for Geometric Levy Processes M. Jeanblanc, S. Kloeppel, and Y. Miyahara Cubature on Wiener Space Continued C. Litterer and T. Lyons A Remark on Impulse Control Problems with Risk-sensitive Criteria H. Nagai; A Convolution Approach to Multivariate Bessel Proceses T. V. Nguyen, S. Ogawa, and M. Yamazato; Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications N. V. Thu, T. A. Dung, D. T. Dam, and N. H. Thai; Stochastic Growth Models of an Isolated Economy K. Nishioka; Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations H. Pham |
| Record Nr. | UNINA-9910450958103321 |
| Singapore, : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 6th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 6-10 March 2006 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (309 p.) |
| Disciplina | 519.23 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| ISBN |
1-281-12132-0
9786611121327 981-277-044-5 |
| Classificazione | 31.70 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Program; CONTENTS; Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy S. Ankirchner and P. Imkell; A Localization of the Levy Operators Arising in Mathematical Finances M. Arisawa; Model-free Representation of Pricing Rules as Conditional Expectations S. Biagini and R. Cont; A Class of Financial Products and Models Where Super-replication Prices are Explicit L. Carassus, E. Gobet, and E. Temam; Risky Debt and Optimal Coupon Policy and Other Optimal Strategies D. Dorobantu and M. Pontier
Affine Credit Risk Models under Incomplete Information R. Frey, C. Prosdocimi, and W. J. Runggaldier Smooth Rough Paths and the Applications K. Hara and T. Lyons; From Access to Bypass: A Real Options Approach K. Hori and K. Mizuno; The Investment Game under Uncertainty: An Analysis of Equilibrium Values in the Presence of First or Second Mover Advantage J. Imai and T. Watanabe; Asian Strike Options of American Type and Game Type M. Ishihara and H. Kunita; Minimal Variance Martingale Measures for Geometric Levy Processes M. Jeanblanc, S. Kloeppel, and Y. Miyahara Cubature on Wiener Space Continued C. Litterer and T. Lyons A Remark on Impulse Control Problems with Risk-sensitive Criteria H. Nagai; A Convolution Approach to Multivariate Bessel Proceses T. V. Nguyen, S. Ogawa, and M. Yamazato; Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications N. V. Thu, T. A. Dung, D. T. Dam, and N. H. Thai; Stochastic Growth Models of an Isolated Economy K. Nishioka; Numerical Approximation by Quantization for Optimization Problems in Finance under Partial Observations H. Pham |
| Record Nr. | UNINA-9910784042603321 |
| Singapore, : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (228p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-91959-4
9786611919597 981-277-463-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Program -- Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino -- Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski -- A large trader-insider model / A. Kohatsu-Higa and A. Sulem -- [GLP & MEMM] pricing models and related problems / Y. Miyahara -- Topics related to gamma processes / M. Yamazato -- On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada -- Martingale representation theorem and chaos expansion / S. Watanabe. |
| Record Nr. | UNINA-9910451214003321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe
| Stochastic processes and applications to mathematical finance [[electronic resource] ] : proceedings of the 5th Ritsumeikan International Symposium, Ritsumeikan University, Japan, 3-6 March 2005 / / editors, Jiro Akahori, Shigeyoshi Ogawa, Shinzo Watanabe |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (228p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
AkahoriJiro
OgawaShigeyoshi WatanabeShinzo <1935-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes |
| ISBN |
1-281-91959-4
9786611919597 981-277-463-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Program -- Harmonic analysis methods for nonparametic estimation of votality : theory and applications / E. Barucci, P. Malliavin and M.E. Mancino -- Hedging of credit derivatives in models with totally unexpected default / T.R. Bielecki, M. Jeanblanc and M. Rutkowski -- A large trader-insider model / A. Kohatsu-Higa and A. Sulem -- [GLP & MEMM] pricing models and related problems / Y. Miyahara -- Topics related to gamma processes / M. Yamazato -- On stochastic differential equations driven by symmetric stable processes of Index [alpha] / H. Hashimoto, T. Tsuchiya and T. Yamada -- Martingale representation theorem and chaos expansion / S. Watanabe. |
| Record Nr. | UNINA-9910777460203321 |
| Singapore ; ; Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||