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Stochastic analysis

Most popular at the top

  • Introduction To Stochastic Calculus With Applicationsby Fima C Klebaner

    World Scientific Publishing Company 2005; US$ 38.00

    This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering. more...

  • The Malliavin Calculus and Related Topicsby D. Nualart

    Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2006; US$ 109.00

    The Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian space. This monograph presents the main features of the Malliavin calculus and discusses its main applications. It includes applications of the Malliavin calculus in finance and a chapter on stochastic calculus with respect to the fractional Brownian motion. more...

  • Stochastic Numerics for the Boltzmann Equationby Sergej Rjasanow; Wolfgang Wagner

    Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2006; US$ 139.00

    Stochastic numerical methods play an important role in large scale computations in the applied sciences. The first goal of this book is to give a mathematical description of classical direct simulation Monte Carlo (DSMC) procedures for rarefied gases, using the theory of Markov processes as a unifying framework. The second goal is a systematic treatment... more...

  • Recent Development in Stochastic Dynamics and Stochastic Analysisby Jinqiao Duan; Shunlong Luo; Caishi Wang

    World Scientific Publishing Company 2010; US$ 154.00

    Stochastic dynamical systems and stochastic analysis are of great interests not only to mathematicians but also scientists in other areas. Stochastic dynamical systems tools for modeling and simulation are highly demanded in investigating complex phenomena in, for example, environmental and geophysical sciences, materials science, life sciences, physical... more...

  • NEW TRENDS IN STOCHASTIC ANALYSIS AND RELATED TOPICSby Huaizhong Zhao; Aubrey Truman

    World Scientific Publishing Company 2011; US$ 192.00

    The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other... more...

  • Stochastic Stability of Differential Equationsby Rafail Khasminskii

    Springer 2011; US$ 129.00

    Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. To date exact formulas for the Lyapunov exponent, the criteria for the moment and almost sure stability, and for the existence of stationary and periodic... more...

  • Discretization of Processesby Jean Jacod; Philip Protter

    Springer 2011; US$ 129.00

    In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are wont to say, "In God we trust; all others must... more...

  • Stochastic Differential Equations and Processesby Mounir Zili; Darya V. Filatova

    Springer 2011; US$ 124.00

    Selected papers submitted by participants of the international Conference "Stochastic Analysis and Applied Probability 2010" ( www.saap2010.org ) make up the basis of this volume. The SAAP 2010 was held in Tunisia, from 7-9 October, 2010, and was organized by the "Applied Mathematics & Mathematical Physics" research unit of the... more...

  • Dirichlet Forms and Analysis on Wiener Spaceby Nicolas Bouleau; Francis Hirsch

    De Gruyter 1991; US$ 133.00

    The subject of this book is analysis on Wiener space by means of Dirichlet forms and Malliavin calculus. There are already several literature on this topic, but this book has some different viewpoints. First the authors review the theory of Dirichlet forms, but they observe only functional analytic, potential theoretical and algebraic properties. They... more...

  • Stochastic Systemsby Mircea Grigoriu

    Springer 2012; US$ 279.00

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