Stochastic Analysis And Related Topics In Kyoto

Author: Kiyosi Itō
Publisher: Mathematical Soc of Japan
ISBN:
Size: 39.37 MB
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Stochastic Analysis And Related Topics In Kyoto. This volume is a collection of research and survey papers written by invited lecturers at the RIMS international symposium on stochastic analysis and related topics in celebration of Professor Kiyosi Ito's eighty-eighth birthday. Leading stochastic analysts, including his colleagues and former students, attended the symposium and contributed articles to this collection. Readers will find here many new and exciting developments. The symposium consisted of four sections, which arerepresented in this volume: ''Markov Processes'', ''Mathematical Finance'', ''Malliavin Calculus'', and a special session on ''Perspectives in Stochastic Analysis''. Topics covered include quadratic Wiener functionals, representation of martingales, infinite dimensional hypoelliptic semi-group, Orlicznorm equivalence, noises associated with Harris flows, Ito's construction procedure, Stieltjes exponential, stochastic Newton equation, cubic Schroodinger equations, stochastic porous media equation, homogenization on fractals, risk-sensitive portfolio optimization, least square approximation, and more. The book is suitable for graduate students and research mathematicians interested in probability theory and mathematical finance. Information for our distributors: Published for the MathematicalSociety of Japan by Kinokuniya, Tokyo, and distributed worldwide, except in Japan, by the AMS. All commercial channel discounts apply.

Option Pricing In Incomplete Markets

Author: Yoshio Miyahara
Publisher: World Scientific
ISBN: 1848163487
Size: 25.35 MB
Format: PDF, ePub
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Option Pricing In Incomplete Markets. This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem

Stochastic Analysis

Author: Hiroyuki Matsumoto
Publisher: Cambridge University Press
ISBN: 110714051X
Size: 54.66 MB
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Stochastic Analysis. Developing the Itô calculus and Malliavin calculus in tandem, this book crystallizes modern day stochastic analysis into a single volume.

From Geometry To Quantum Mechanics

Author: Yoshiaki Maeda
Publisher: Springer Science & Business Media
ISBN: 0817645306
Size: 66.21 MB
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From Geometry To Quantum Mechanics. * Invited articles in differential geometry and mathematical physics in honor of Hideki Omori * Focus on recent trends and future directions in symplectic and Poisson geometry, global analysis, Lie group theory, quantizations and noncommutative geometry, as well as applications of PDEs and variational methods to geometry * Will appeal to graduate students in mathematics and quantum mechanics; also a reference

Proceedings Of The International Congress Of Mathematicians

Author: Marta Sanz Solé
Publisher: Amer Mathematical Society
ISBN: 9783037190227
Size: 18.36 MB
Format: PDF
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Proceedings Of The International Congress Of Mathematicians. The International Congress of Mathematicians (ICM) is held every four years. It is a major scientific event, bringing together mathematicians from all over the world and demonstrating the vital role that mathematics play in our society. In particular, the Fields Medals are awarded to recognize outstanding mathematical achievement. At the same time, the International Mathematical Union awards the Nevanlinna Prize for work in the field of theoretical computer science. The proceedings of ICM 2006, published as a three-volume set, present an overview of current research in all areas of mathematics and provide a permanent record the congress. The first volume features the works of Fields Medallists and the Nevanlinna Prize winner, the plenary lectures, and the speeches and pictures of the opening and closing ceremonies and award sessions. The other two volumes present the invited lectures, arranged according to their mathematical subject. Information for our distributors: Distributed within the Americas by the American Mathematical Society. All commerical channel discounts apply.

Foundations Of Stochastic Differential Equations In Infinite Dimensional Spaces

Author: Kiyosi Ito
Publisher: SIAM
ISBN: 0898711932
Size: 52.77 MB
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Foundations Of Stochastic Differential Equations In Infinite Dimensional Spaces. A systematic, self-contained treatment of the theory of stochastic differential equations in infinite dimensional spaces. Included is a discussion of Schwartz spaces of distributions in relation to probability theory and infinite dimensional stochastic analysis, as well as the random variables and stochastic processes that take values in infinite dimensional spaces.

Minimal Surfaces And Functions Of Bounded Variation

Author: Giusti
Publisher: Springer Science & Business Media
ISBN: 1468494864
Size: 50.57 MB
Format: PDF
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Minimal Surfaces And Functions Of Bounded Variation. The problem of finding minimal surfaces, i. e. of finding the surface of least area among those bounded by a given curve, was one of the first considered after the foundation of the calculus of variations, and is one which received a satis factory solution only in recent years. Called the problem of Plateau, after the blind physicist who did beautiful experiments with soap films and bubbles, it has resisted the efforts of many mathematicians for more than a century. It was only in the thirties that a solution was given to the problem of Plateau in 3-dimensional Euclidean space, with the papers of Douglas [DJ] and Rado [R T1, 2]. The methods of Douglas and Rado were developed and extended in 3-dimensions by several authors, but none of the results was shown to hold even for minimal hypersurfaces in higher dimension, let alone surfaces of higher dimension and codimension. It was not until thirty years later that the problem of Plateau was successfully attacked in its full generality, by several authors using measure-theoretic methods; in particular see De Giorgi [DG1, 2, 4, 5], Reifenberg [RE], Federer and Fleming [FF] and Almgren [AF1, 2]. Federer and Fleming defined a k-dimensional surface in IR" as a k-current, i. e. a continuous linear functional on k-forms. Their method is treated in full detail in the splendid book of Federer [FH 1].

Mathematical Methods For Financial Markets

Author: Monique Jeanblanc
Publisher: Springer Science & Business Media
ISBN: 1852333766
Size: 14.54 MB
Format: PDF, ePub, Mobi
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Mathematical Methods For Financial Markets. Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.