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On the geometry of diffusion operators and stochastic flows / / K.D. Elworthy, Y. Le Jan, Xue-Mei Li
| On the geometry of diffusion operators and stochastic flows / / K.D. Elworthy, Y. Le Jan, Xue-Mei Li |
| Autore | Elworthy K. D. |
| Edizione | [1st ed. 1999.] |
| Pubbl/distr/stampa | Berlin : , : Springer, , [1999] |
| Descrizione fisica | 1 online resource (V, 105 p.) |
| Disciplina | 519.233 |
| Collana | Lecture notes in mathematics (Springer-Verlag) |
| Soggetto topico |
Diffusion processes
Linear operators Flows (Differentiable dynamical systems) |
| ISBN | 3-540-47022-0 |
| Classificazione |
58G32
53B05 60H10 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Construction of connections -- The infinitesimal generators and associated operators -- Decomposition of noise and filtering -- Application: Analysis on spaces of paths -- Stability of stochastic dynamical systems -- Appendices. |
| Record Nr. | UNINA-9910146313003321 |
Elworthy K. D.
|
||
| Berlin : , : Springer, , [1999] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
On the geometry of diffusion operators and stochastic flows / / K.D. Elworthy, Y. Le Jan, Xue-Mei Li
| On the geometry of diffusion operators and stochastic flows / / K.D. Elworthy, Y. Le Jan, Xue-Mei Li |
| Autore | Elworthy K. D. |
| Edizione | [1st ed. 1999.] |
| Pubbl/distr/stampa | Berlin : , : Springer, , [1999] |
| Descrizione fisica | 1 online resource (V, 105 p.) |
| Disciplina | 519.233 |
| Collana | Lecture notes in mathematics (Springer-Verlag) |
| Soggetto topico |
Diffusion processes
Linear operators Flows (Differentiable dynamical systems) |
| ISBN | 3-540-47022-0 |
| Classificazione |
58G32
53B05 60H10 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Construction of connections -- The infinitesimal generators and associated operators -- Decomposition of noise and filtering -- Application: Analysis on spaces of paths -- Stability of stochastic dynamical systems -- Appendices. |
| Record Nr. | UNISA-996466650803316 |
|
Elworthy K. D.
|
||
| Berlin : , : Springer, , [1999] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Stochastic Differential Equations [[electronic resource] ] : An Introduction with Applications / / by Bernt Oksendal
| Stochastic Differential Equations [[electronic resource] ] : An Introduction with Applications / / by Bernt Oksendal |
| Autore | Oksendal Bernt |
| Edizione | [5th ed. 1998.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 |
| Descrizione fisica | 1 online resource (XIX, 324 p.) |
| Disciplina | 519.2 |
| Collana | Universitext |
| Soggetto topico |
Probabilities
Partial differential equations Mathematical physics System theory Calculus of variations Probability Theory and Stochastic Processes Partial Differential Equations Theoretical, Mathematical and Computational Physics Systems Theory, Control Calculus of Variations and Optimal Control; Optimization |
| ISBN | 3-662-03620-7 |
| Classificazione |
60G40
60H10 60J45 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Some Mathematical Preliminaries -- 3. Ito Integrals -- 4. The Ito Formula and the Martingale Representation Theorem -- 5. Stochastic Differential Equations -- 6. The Filtering Problem -- 7. Diffusions: Basic Properties -- 8. Other Topics in Diffusion Theory -- 9. Applications to Boundary Value Problems -- 10. Application to Optimal Stopping -- 11. Application to Stochastic Control -- 12. Application to Mathematical Finance -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectation -- Appendix C: Uniform Integrability and Martingale Convergence -- Appendix D: An Approximation Result -- Solutions and Additional Hints to Some of the Exercises -- References -- List of Frequently Used Notation and Symbols. |
| Record Nr. | UNINA-9910792486203321 |
|
Oksendal Bernt
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic Differential Equations [[electronic resource] ] : An Introduction with Applications / / by Bernt Oksendal
| Stochastic Differential Equations [[electronic resource] ] : An Introduction with Applications / / by Bernt Oksendal |
| Autore | Oksendal Bernt |
| Edizione | [5th ed. 1998.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 |
| Descrizione fisica | 1 online resource (XIX, 324 p.) |
| Disciplina | 519.2 |
| Collana | Universitext |
| Soggetto topico |
Probabilities
Partial differential equations Mathematical physics System theory Calculus of variations Probability Theory and Stochastic Processes Partial Differential Equations Theoretical, Mathematical and Computational Physics Systems Theory, Control Calculus of Variations and Optimal Control; Optimization |
| ISBN | 3-662-03620-7 |
| Classificazione |
60G40
60H10 60J45 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Some Mathematical Preliminaries -- 3. Ito Integrals -- 4. The Ito Formula and the Martingale Representation Theorem -- 5. Stochastic Differential Equations -- 6. The Filtering Problem -- 7. Diffusions: Basic Properties -- 8. Other Topics in Diffusion Theory -- 9. Applications to Boundary Value Problems -- 10. Application to Optimal Stopping -- 11. Application to Stochastic Control -- 12. Application to Mathematical Finance -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectation -- Appendix C: Uniform Integrability and Martingale Convergence -- Appendix D: An Approximation Result -- Solutions and Additional Hints to Some of the Exercises -- References -- List of Frequently Used Notation and Symbols. |
| Record Nr. | UNINA-9910825640903321 |
|
Oksendal Bernt
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||