*An Analytical Approach*

**Author**: Zeev Schuss

**Publisher:**Springer Science & Business Media

**ISBN:**1441916059

**Category:**Mathematics

**Page:**468

**View:**7160

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# Search Results for: stochastic-integration-applications-of-mathematics

*An Analytical Approach*

**Author**: Zeev Schuss

**Publisher:** Springer Science & Business Media

**ISBN:** 1441916059

**Category:** Mathematics

**Page:** 468

**View:** 7160

Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.

**Author**: Nicolae Dinculeanu

**Publisher:** John Wiley & Sons

**ISBN:** 1118031261

**Category:** Mathematics

**Page:** 448

**View:** 620

A breakthrough approach to the theory and applications of stochastic integration The theory of stochastic integration has become an intensely studied topic in recent years, owing to its extraordinarily successful application to financial mathematics, stochastic differential equations, and more. This book features a new measure theoretic approach to stochastic integration, opening up the field for researchers in measure and integration theory, functional analysis, probability theory, and stochastic processes. World-famous expert on vector and stochastic integration in Banach spaces Nicolae Dinculeanu compiles and consolidates information from disparate journal articles-including his own results-presenting a comprehensive, up-to-date treatment of the theory in two major parts. He first develops a general integration theory, discussing vector integration with respect to measures with finite semivariation, then applies the theory to stochastic integration in Banach spaces. Vector Integration and Stochastic Integration in Banach Spaces goes far beyond the typical treatment of the scalar case given in other books on the subject. Along with such applications of the vector integration as the Reisz representation theorem and the Stieltjes integral for functions of one or two variables with finite semivariation, it explores the emergence of new classes of summable processes that make applications possible, including square integrable martingales in Hilbert spaces and processes with integrable variation or integrable semivariation in Banach spaces. Numerous references to existing results supplement this exciting, breakthrough work.

**Author**: K.L. Chung,R.J. Williams

**Publisher:** Springer Science & Business Media

**ISBN:** 1461495873

**Category:** Mathematics

**Page:** 276

**View:** 5736

A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then It’s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman–Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed. New to the second edition are a discussion of the Cameron–Martin–Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use. This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis. The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. —Journal of the American Statistical Association An attractive text...written in [a] lean and precise style...eminently readable. Especially pleasant are the care and attention devoted to details... A very fine book. —Mathematical Reviews
*Applications in Science and Engineering*

**Author**: Mircea Grigoriu

**Publisher:** Springer Science & Business Media

**ISBN:** 9780817642426

**Category:** Mathematics

**Page:** 774

**View:** 1828

"This self-contained text may be used for several graduate courses and as an important reference resource for applied scientists interested in analytical and numerical methods for solving stochastic problems."--BOOK JACKET.

**Author**: Michael Meyer

**Publisher:** CRC Press

**ISBN:** 1420035592

**Category:** Mathematics

**Page:** 336

**View:** 9920

The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale. The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives. Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.

**Author**: Frederik S. Herzberg

**Publisher:** Springer

**ISBN:** 3642331491

**Category:** Mathematics

**Page:** 112

**View:** 2575

Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry. It also has numerous applications in the natural and social sciences (for instance in financial mathematics or theoretical quantum mechanics) and therefore appears in physics and economics curricula as well. However, existing approaches to stochastic analysis either presuppose various concepts from measure theory and functional analysis or lack full mathematical rigour. This short book proposes to solve the dilemma: By adopting E. Nelson's "radically elementary" theory of continuous-time stochastic processes, it is based on a demonstrably consistent use of infinitesimals and thus permits a radically simplified, yet perfectly rigorous approach to stochastic calculus and its fascinating applications, some of which (notably the Black-Scholes theory of option pricing and the Feynman path integral) are also discussed in the book.

**Author**: Alexander A Gushchin

**Publisher:** Elsevier

**ISBN:** 0081004761

**Category:** Mathematics

**Page:** 208

**View:** 8850

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. Contains the most popular applications of the theory of stochastic integration Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability Written by experts in the field of modern mathematical finance

**Author**: Klaus Bichteler

**Publisher:** Cambridge University Press

**ISBN:** 9780521811293

**Category:** Mathematics

**Page:** 501

**View:** 8727

The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.

**Author**: J. Michael Steele

**Publisher:** Springer Science & Business Media

**ISBN:** 1468493051

**Category:** Mathematics

**Page:** 302

**View:** 8994

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

**Author**: G.N. Milstein

**Publisher:** Springer Science & Business Media

**ISBN:** 9401584559

**Category:** Computers

**Page:** 172

**View:** 4624

**Author**: Samuel N. Cohen,Robert J. Elliott

**Publisher:** Birkhäuser

**ISBN:** 1493928678

**Category:** Mathematics

**Page:** 666

**View:** 8385

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)

**Author**: Michael Mürmann

**Publisher:** Springer-Verlag

**ISBN:** 364238160X

**Category:** Mathematics

**Page:** 428

**View:** 5996

Dieses Lehrbuch beschäftigt sich mit den zentralen Gebieten einer maßtheoretisch orientierten Wahrscheinlichkeitstheorie im Umfang einer zweisemestrigen Vorlesung. Nach den Grundlagen werden Grenzwertsätze und schwache Konvergenz behandelt. Es folgt die Darstellung und Betrachtung der stochastischen Abhängigkeit durch die bedingte Erwartung, die mit der Radon-Nikodym-Ableitung realisiert wird. Sie wird angewandt auf die Theorie der stochastischen Prozesse, die nach der allgemeinen Konstruktion aus der Untersuchung von Martingalen und Markov-Prozessen besteht. Neu in einem Lehrbuch über allgemeine Wahrscheinlichkeitstheorie ist eine Einführung in die stochastische Analysis von Semimartingalen auf der Grundlage einer geeigneten Stetigkeitsbedingung mit Anwendungen auf die Theorie der Finanzmärkte. Das Buch enthält zahlreiche Übungen, teilweise mit Lösungen. Neben der Theorie vertiefen Anmerkungen, besonders zu mathematischen Modellen für Phänomene der Realität, das Verständnis.

**Author**: Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang

**Publisher:** Springer Science & Business Media

**ISBN:** 1846287979

**Category:** Mathematics

**Page:** 330

**View:** 4811

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.

**Author**: A. J. Roberts

**Publisher:** SIAM

**ISBN:** 0898716675

**Category:** Mathematics

**Page:** 128

**View:** 8822

Financial mathematics and its calculus introduced in an accessible manner for undergraduate students.

**Author**: Peter E. Kloeden,Eckhard Platen

**Publisher:** Springer Science & Business Media

**ISBN:** 9783540540625

**Category:** Mathematics

**Page:** 636

**View:** 3829

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

**Author**: Peter Medvegyev

**Publisher:** Oxford University Press on Demand

**ISBN:** 0199215251

**Category:** Business & Economics

**Page:** 608

**View:** 4483

This graduate level text covers the theory of stochastic integration, an important area of Mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in Mathematics, Statistics, Probability, Mathematical Finance, and Economics, the book not only covers the theory of the stochastic integral in great depth but also presents the associated theory (martingales, Levy processes) and important examples (Brownianmotion, Poisson process).

**Author**: Philip E. Protter

**Publisher:** Springer

**ISBN:** 3662100614

**Category:** Mathematics

**Page:** 415

**View:** 307

It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery’s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.
*With Applications to Physics and Engineering*

**Author**: K. Sobczyk

**Publisher:** Springer Science & Business Media

**ISBN:** 9401137129

**Category:** Mathematics

**Page:** 400

**View:** 9463

**Author**: R Hilfer

**Publisher:** World Scientific

**ISBN:** 9814496200

**Category:** Science

**Page:** 472

**View:** 6923

Fractional calculus is a collection of relatively little-known mathematical results concerning generalizations of differentiation and integration to noninteger orders. While these results have been accumulated over centuries in various branches of mathematics, they have until recently found little appreciation or application in physics and other mathematically oriented sciences. This situation is beginning to change, and there are now a growing number of research areas in physics which employ fractional calculus. This volume provides an introduction to fractional calculus for physicists, and collects easily accessible review articles surveying those areas of physics in which applications of fractional calculus have recently become prominent. Contents:An Introduction to Fractional Calculus (P L Butzer & U Westphal)Fractional Time Evolution (R Hilfer)Fractional Powers of Infinitesimal Generators of Semigroups (U Westphal)Fractional Differences, Derivatives and Fractal Time Series (B J West & P Grigolini)Fractional Kinetics of Hamiltonian Chaotic Systems (G M Zaslavsky)Polymer Science Applications of Path-Integration, Integral Equations, and Fractional Calculus (J F Douglas)Applications to Problems in Polymer Physics and Rheology (H Schiessel et al.)Applications of Fractional Calculus Techniques to Problems in Biophysics (T F Nonnenmacher & R Metzler)Fractional Calculus and Regular Variation in Thermodynamics (R Hilfer) Readership: Statistical, theoretical and mathematical physicists. Keywords:Fractional Calculus in PhysicsReviews: “This monograph provides a systematic treatment of the theory and applications of fractional calculus for physicists. It contains nine review articles surveying those areas in which fractional calculus has become important. All the chapters are self-contained.” Mathematics Abstracts

**Author**: Thomas Mikosch

**Publisher:** World Scientific Publishing Company

**ISBN:** 9813105291

**Category:** Mathematics

**Page:** 224

**View:** 3467

Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Itô calculus and/or stochastic finance.

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