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Diffusions, superdiffusions and partial differential equations / E. B. Dynkin
| Diffusions, superdiffusions and partial differential equations / E. B. Dynkin |
| Autore | Dynkin, Evgeniaei Borisovich |
| Pubbl/distr/stampa | Providence (USA) : American Mathematical Society, c2002 |
| Descrizione fisica | xi, 236 p. : ill. ; 26 cm |
| Disciplina | 519.233 |
| Collana | Colloquium publications, 0065-9258 ; 50 |
| Soggetto topico |
Diffusion processes
Elliptic differential equations Parabolic differential equations |
| ISBN | 0821831747 |
| Classificazione |
AMS 35J
AMS 35K55 AMS 60J60 AMS 60J65 LC QA274.75.D96 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003676599707536 |
Dynkin, Evgeniaei Borisovich
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| Providence (USA) : American Mathematical Society, c2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Elements of random walk and diffusion processes [[electronic resource] /] / Oliver C. Ibe
| Elements of random walk and diffusion processes [[electronic resource] /] / Oliver C. Ibe |
| Autore | Ibe Oliver C (Oliver Chukwudi), <1947-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (278 p.) |
| Disciplina | 519.2/82 |
| Collana | Wiley series in operations research and management science |
| Soggetto topico |
Random walks (Mathematics)
Diffusion processes |
| ISBN |
1-118-61793-2
1-118-61805-X 1-118-62985-X |
| Classificazione | MAT003000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Elements of Random Walk and Diffusion Processes; Copyright; Contents; Preface; Acknowledgments; 1 Review of Probability Theory; 1.1 Introduction; 1.2 Random Variables; 1.2.1 Distribution Functions; 1.2.2 Discrete Random Variables; 1.2.3 Continuous Random Variables; 1.2.4 Expectations; 1.2.5 Moments of Random Variables and the Variance; 1.3 Transform Methods; 1.3.1 The Characteristic Function; 1.3.2 Moment-Generating Property of the Characteristic Function; 1.3.3 The s-Transform; 1.3.4 Moment-Generating Property of the s-Transform; 1.3.5 The z-Transform
1.3.6 Moment-Generating Property of the z-Transform1.4 Covariance and Correlation Coefficient; 1.5 Sums of Independent Random Variables; 1.6 Some Probability Distributions; 1.6.1 The Bernoulli Distribution; 1.6.2 The Binomial Distribution; 1.6.3 The Geometric Distribution; 1.6.4 The Poisson Distribution; 1.6.5 The Exponential Distribution; 1.6.6 Normal Distribution; 1.7 Limit Theorems; 1.7.1 Markov Inequality; 1.7.2 Chebyshev Inequality; 1.7.3 Laws of Large Numbers; 1.7.4 The Central Limit Theorem; Problems; 2 Overview of Stochastic Processes; 2.1 Introduction 2.2 Classification of Stochastic Processes2.3 Mean and Autocorrelation Function; 2.4 Stationary Processes; 2.4.1 Strict-Sense Stationary Processes; 2.4.2 Wide-Sense Stationary Processes; 2.5 Power Spectral Density; 2.6 Counting Processes; 2.7 Independent Increment Processes; 2.8 Stationary Increment Process; 2.9 Poisson Processes; 2.9.1 Compound Poisson Process; 2.10 Markov Processes; 2.10.1 Discrete-Time Markov Chains; 2.10.2 State Transition Probability Matrix; 2.10.3 The k-Step State Transition Probability; 2.10.4 State Transition Diagrams; 2.10.5 Classification of States 2.10.6 Limiting-State Probabilities2.10.7 Doubly Stochastic Matrix; 2.10.8 Continuous-Time Markov Chains; 2.10.9 Birth and Death Processes; 2.11 Gaussian Processes; 2.12 Martingales; 2.12.1 Stopping Times; Problems; 3 One-Dimensional Random Walk; 3.1 Introduction; 3.2 Occupancy Probability; 3.3 Random Walk as a Markov Chain; 3.4 Symmetric Random Walk as a Martingale; 3.5 Random Walk with Barriers; 3.6 Mean-Square Displacement; 3.7 Gambler's Ruin; 3.7.1 Ruin Probability; 3.7.2 Alternative Derivation of Ruin Probability; 3.7.3 Duration of a Game; 3.8 Random Walk with Stay 3.9 First Return to the Origin3.10 First Passage Times for Symmetric Random Walk; 3.10.1 First Passage Time via the Generating Function; 3.10.2 First Passage Time via the Reflection Principle; 3.10.3 Hitting Time and the Reflection Principle; 3.11 The Ballot Problem and the Reflection Principle; 3.11.1 The Conditional Probability Method; 3.12 Returns to the Origin and the Arc-Sine Law; 3.13 Maximum of a Random Walk; 3.14 Two Symmetric Random Walkers; 3.15 Random Walk on a Graph; 3.15.1 Proximity Measures; 3.15.2 Directed Graphs; 3.15.3 Random Walk on an Undirected Graph 3.15.4 Random Walk on a Weighted Graph |
| Record Nr. | UNINA-9910139012803321 |
|
Ibe Oliver C (Oliver Chukwudi), <1947->
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Elements of random walk and diffusion processes [[electronic resource] /] / Oliver C. Ibe
| Elements of random walk and diffusion processes [[electronic resource] /] / Oliver C. Ibe |
| Autore | Ibe Oliver C (Oliver Chukwudi), <1947-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (278 p.) |
| Disciplina | 519.2/82 |
| Collana | Wiley series in operations research and management science |
| Soggetto topico |
Random walks (Mathematics)
Diffusion processes |
| ISBN |
1-118-61793-2
1-118-61805-X 1-118-62985-X |
| Classificazione | MAT003000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Elements of Random Walk and Diffusion Processes; Copyright; Contents; Preface; Acknowledgments; 1 Review of Probability Theory; 1.1 Introduction; 1.2 Random Variables; 1.2.1 Distribution Functions; 1.2.2 Discrete Random Variables; 1.2.3 Continuous Random Variables; 1.2.4 Expectations; 1.2.5 Moments of Random Variables and the Variance; 1.3 Transform Methods; 1.3.1 The Characteristic Function; 1.3.2 Moment-Generating Property of the Characteristic Function; 1.3.3 The s-Transform; 1.3.4 Moment-Generating Property of the s-Transform; 1.3.5 The z-Transform
1.3.6 Moment-Generating Property of the z-Transform1.4 Covariance and Correlation Coefficient; 1.5 Sums of Independent Random Variables; 1.6 Some Probability Distributions; 1.6.1 The Bernoulli Distribution; 1.6.2 The Binomial Distribution; 1.6.3 The Geometric Distribution; 1.6.4 The Poisson Distribution; 1.6.5 The Exponential Distribution; 1.6.6 Normal Distribution; 1.7 Limit Theorems; 1.7.1 Markov Inequality; 1.7.2 Chebyshev Inequality; 1.7.3 Laws of Large Numbers; 1.7.4 The Central Limit Theorem; Problems; 2 Overview of Stochastic Processes; 2.1 Introduction 2.2 Classification of Stochastic Processes2.3 Mean and Autocorrelation Function; 2.4 Stationary Processes; 2.4.1 Strict-Sense Stationary Processes; 2.4.2 Wide-Sense Stationary Processes; 2.5 Power Spectral Density; 2.6 Counting Processes; 2.7 Independent Increment Processes; 2.8 Stationary Increment Process; 2.9 Poisson Processes; 2.9.1 Compound Poisson Process; 2.10 Markov Processes; 2.10.1 Discrete-Time Markov Chains; 2.10.2 State Transition Probability Matrix; 2.10.3 The k-Step State Transition Probability; 2.10.4 State Transition Diagrams; 2.10.5 Classification of States 2.10.6 Limiting-State Probabilities2.10.7 Doubly Stochastic Matrix; 2.10.8 Continuous-Time Markov Chains; 2.10.9 Birth and Death Processes; 2.11 Gaussian Processes; 2.12 Martingales; 2.12.1 Stopping Times; Problems; 3 One-Dimensional Random Walk; 3.1 Introduction; 3.2 Occupancy Probability; 3.3 Random Walk as a Markov Chain; 3.4 Symmetric Random Walk as a Martingale; 3.5 Random Walk with Barriers; 3.6 Mean-Square Displacement; 3.7 Gambler's Ruin; 3.7.1 Ruin Probability; 3.7.2 Alternative Derivation of Ruin Probability; 3.7.3 Duration of a Game; 3.8 Random Walk with Stay 3.9 First Return to the Origin3.10 First Passage Times for Symmetric Random Walk; 3.10.1 First Passage Time via the Generating Function; 3.10.2 First Passage Time via the Reflection Principle; 3.10.3 Hitting Time and the Reflection Principle; 3.11 The Ballot Problem and the Reflection Principle; 3.11.1 The Conditional Probability Method; 3.12 Returns to the Origin and the Arc-Sine Law; 3.13 Maximum of a Random Walk; 3.14 Two Symmetric Random Walkers; 3.15 Random Walk on a Graph; 3.15.1 Proximity Measures; 3.15.2 Directed Graphs; 3.15.3 Random Walk on an Undirected Graph 3.15.4 Random Walk on a Weighted Graph |
| Record Nr. | UNINA-9910817355103321 |
|
Ibe Oliver C (Oliver Chukwudi), <1947->
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Ergodic control of diffusion processes / / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh [[electronic resource]]
| Ergodic control of diffusion processes / / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh [[electronic resource]] |
| Autore | Arapostathis Ari <1954-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2012 |
| Descrizione fisica | 1 online resource (xvi, 323 pages) : digital, PDF file(s) |
| Disciplina | 519.2/33 |
| Collana | Encyclopedia of mathematics and its applications |
| Soggetto topico |
Diffusion processes
Ergodic theory |
| ISBN |
1-316-08779-4
1-107-08541-1 1-107-10125-5 1-107-09569-7 1-139-00360-7 1-107-08938-7 1-107-09244-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface; 1. Introduction; 2. Controlled diffusions; 3. Nondegenerate controlled diffusions; 4. Various topics in nondegenerate diffusions; 5. Controlled switching diffusions; 6. Controlled martingale problems; 7. Degenerate controlled diffusions; 8. Controlled diffusions with partial observations; Appendix; References; Index of symbols; Subject index. |
| Record Nr. | UNINA-9910452901303321 |
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Arapostathis Ari <1954->
|
||
| Cambridge : , : Cambridge University Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Ergodic control of diffusion processes / / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh [[electronic resource]]
| Ergodic control of diffusion processes / / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh [[electronic resource]] |
| Autore | Arapostathis Ari <1954-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2012 |
| Descrizione fisica | 1 online resource (xvi, 323 pages) : digital, PDF file(s) |
| Disciplina | 519.2/33 |
| Collana | Encyclopedia of mathematics and its applications |
| Soggetto topico |
Diffusion processes
Ergodic theory |
| ISBN |
1-316-08779-4
1-107-08541-1 1-107-10125-5 1-107-09569-7 1-139-00360-7 1-107-08938-7 1-107-09244-2 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface; 1. Introduction; 2. Controlled diffusions; 3. Nondegenerate controlled diffusions; 4. Various topics in nondegenerate diffusions; 5. Controlled switching diffusions; 6. Controlled martingale problems; 7. Degenerate controlled diffusions; 8. Controlled diffusions with partial observations; Appendix; References; Index of symbols; Subject index. |
| Record Nr. | UNINA-9910790571603321 |
|
Arapostathis Ari <1954->
|
||
| Cambridge : , : Cambridge University Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Ergodic control of diffusion processes / / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh [[electronic resource]]
| Ergodic control of diffusion processes / / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh [[electronic resource]] |
| Autore | Arapostathis Ari <1954-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2012 |
| Descrizione fisica | 1 online resource (xvi, 323 pages) : digital, PDF file(s) |
| Disciplina | 519.2/33 |
| Collana | Encyclopedia of mathematics and its applications |
| Soggetto topico |
Diffusion processes
Ergodic theory |
| ISBN |
1-316-08779-4
1-107-08541-1 1-107-10125-5 1-107-09569-7 1-139-00360-7 1-107-08938-7 1-107-09244-2 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface; 1. Introduction; 2. Controlled diffusions; 3. Nondegenerate controlled diffusions; 4. Various topics in nondegenerate diffusions; 5. Controlled switching diffusions; 6. Controlled martingale problems; 7. Degenerate controlled diffusions; 8. Controlled diffusions with partial observations; Appendix; References; Index of symbols; Subject index. |
| Record Nr. | UNINA-9910814766403321 |
|
Arapostathis Ari <1954->
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||
| Cambridge : , : Cambridge University Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Essential of brownian motion and diffusion / Frank B. Knight
| Essential of brownian motion and diffusion / Frank B. Knight |
| Autore | Knight, Frank B. |
| Edizione | [repr. 1989] |
| Pubbl/distr/stampa | Providence, R. I. : American mathematical society, 1981 |
| Descrizione fisica | xiii, 201 p. ; 26 cm |
| Disciplina | 519.233 |
| Collana | Mathematical surveys, 0076-5376 ; 18 |
| Soggetto topico |
Brownian motion
Diffusion processes |
| ISBN | 0821815180 |
| Classificazione |
AMS 60J
AMS 60J60 AMS 60J65 QA274.75.K58 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000877489707536 |
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Knight, Frank B.
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| Providence, R. I. : American mathematical society, 1981 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Functional analytic techniques for diffusion processes / / Kazuaki Taira
| Functional analytic techniques for diffusion processes / / Kazuaki Taira |
| Autore | Taira Kazuaki |
| Pubbl/distr/stampa | Singapore : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (792 pages) |
| Disciplina | 519.233 |
| Collana | Springer Monographs in Mathematics |
| Soggetto topico |
Diffusion processes
Markov processes Processos de difusió |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9789811910999
9789811910982 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996479372403316 |
|
Taira Kazuaki
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||
| Singapore : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Functional analytic techniques for diffusion processes / / Kazuaki Taira
| Functional analytic techniques for diffusion processes / / Kazuaki Taira |
| Autore | Taira Kazuaki |
| Pubbl/distr/stampa | Singapore : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (792 pages) |
| Disciplina | 519.233 |
| Collana | Springer Monographs in Mathematics |
| Soggetto topico |
Diffusion processes
Markov processes Processos de difusió |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9789811910999
9789811910982 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910574083003321 |
|
Taira Kazuaki
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||
| Singapore : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Functionals of multidimensional diffusions with applications to finance / / Jan Baldeaux, Eckhard Platen
| Functionals of multidimensional diffusions with applications to finance / / Jan Baldeaux, Eckhard Platen |
| Autore | Baldeaux Jan |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , 2013 |
| Descrizione fisica | 1 online resource (xxiii, 425 pages) : illustrations (some color) |
| Disciplina | 519.233 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Diffusion processes
Business mathematics |
| ISBN | 3-319-00747-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 A Benchmark Approach to Risk Management -- 2 Functionals of Wiener Processes -- 3 Functionals of Squared Bessel Processes -- 4 Lie Symmetry Group Methods -- 5 Transition Densities via Lie Symmetry Methods -- 6 Exact and Almost Exact Simulation -- 7 Affine Diffusion Processes on the Euclidean Space -- 8 Pricing Using Affine Diffusions -- 9 Solvable Affine Processes on the Euclidean State Space -- 10 An Introduction to Matrix Variate Stochastics -- 11 Wishart Processes -- 12 Monte Carlo and Quasi-Monte Carlo Methods -- 13 Computational Tools -- 14 Credit Risk under the Benchmark Approach -- A Continuous Stochastic Processes -- B Time-Homogeneous Scalar Diffusions -- C Detecting Strict Local Martingales. |
| Record Nr. | UNINA-9910438145603321 |
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Baldeaux Jan
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| Cham, Switzerland : , : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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