Stochastic Analysis And Related Topics In Kyoto

Author: Kiyosi Itō
Publisher: Mathematical Soc of Japan
Size: 59.16 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: 59.72 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: 77.91 MB
Format: PDF, ePub, Mobi
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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: 18.81 MB
Format: PDF
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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: 40.12 MB
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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.

It S Stochastic Calculus And Probability Theory

Author: Nobuyuki Ikeda
Publisher: Springer Science & Business Media
ISBN: 4431685324
Size: 52.86 MB
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It S Stochastic Calculus And Probability Theory. Professor Kiyosi Ito is well known as the creator of the modern theory of stochastic analysis. Although Ito first proposed his theory, now known as Ito's stochastic analysis or Ito's stochastic calculus, about fifty years ago, its value in both pure and applied mathematics is becoming greater and greater. For almost all modern theories at the forefront of probability and related fields, Ito's analysis is indispensable as an essential instrument, and it will remain so in the future. For example, a basic formula, called the Ito formula, is well known and widely used in fields as diverse as physics and economics. This volume contains 27 papers written by world-renowned probability theorists. Their subjects vary widely and they present new results and ideas in the fields where stochastic analysis plays an important role. Also included are several expository articles by well-known experts surveying recent developments. Not only mathematicians but also physicists, biologists, economists and researchers in other fields who are interested in the effectiveness of stochastic theory will find valuable suggestions for their research. In addition, students who are beginning their study and research in stochastic analysis and related fields will find instructive and useful guidance here. This volume is dedicated to Professor Ito on the occasion of his eightieth birthday as a token of deep appreciation for his great achievements and contributions. An introduction to and commentary on the scientific works of Professor Ito are also included.

Mathematical Methods For Financial Markets

Author: Monique Jeanblanc
Publisher: Springer Science & Business Media
ISBN: 1846287375
Size: 78.63 MB
Format: PDF, Docs
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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.

Numerical Analysis And Graphic Visualization With Matlab

Author: Shoichiro Nakamura
Publisher: Prentice Hall
ISBN: 9780130654892
Size: 79.87 MB
Format: PDF, Kindle
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Numerical Analysis And Graphic Visualization With Matlab. PREFACE WHAT THIS BOOK DESCRIBES This book is intended to introduce numerical analysis and graphic visualization using MATLAB to college students majoring in engineering and science.It can also be a handbook of MATLAB applications for professional engi-neers and scientists. The goal is not to teach the mathematics of numericalanalysis, but rather to teach the knowledge and skills of solving equationsand presenting them graphically so that readers can easily handle equationsand results of the computations. With its unique and fascinating capabilities, MATLAB has changed theconcept of programming for numerical and mathematical analyses. Therefore, MATLAB is a superb vehicle to achieve our goal. This book fullyimplements the mathematical and graphic tools in the most recent versionof MATLAB. The following four fundamental elements are integrated in this book: (1)programming in MATLAB, (2) mathematical basics of numerical analysis,(3) application of numerical methods to engineering, scientific, and mathematical problems, and (4) scientific graphics with MATLAB. The first two chapters are comprehensive tutorials of MATLAB commands and graphic tools, particularly for the beginner or entry-level collegestudent. Indeed, these two chapters have been most significantly enhancedin this edition compared to the first edition. In Chapter 1, understandingand developing programming skills on MATLAB are emphasized particularlybecause, unless the reader has knowledge and experience with another pro-gramming language, these are tough hurdles for the beginner to overcome.To acquire the knowledge and skills necessary to read the rest of the book,solving the problems at the end of each chapter is very important. Chapter 2 starts out with the elements of graphics on MATLAB, whichis easy to follow. Yet, toward the end of the chapter, three-dimensionalgraphics on the professional level are achieved. Not only is the programmingtechnique of plotting functions mentioned, but also skills of presenting mathematical and scientific material using graphics are developed throughout thechapter. The graphics knowledge acquired in this chapter are foundationsin learning and applying the numerical methods described in the remainderof the book. Again, practice on the computer is important. Some studentstry to memorize scripts without understanding why and how they work,but such an effort is utterly meaningless. More important is to play with afew new commands, understand how they work and how they may fail, andfinally become a master of the commands. Chapters 3 through 11 cover numerical methods and their implementations with MATLAB. All the numerical methods described are illustratedwith applications on MATLAB. Appendices describe special topics, including advanced three-dimensional graphics with colors, motion pictures, imageprocessing, and graphical user interface. Readers should feel free to use thescripts in this book in any way desired. However, the beginning studentsare advised not to u se these scripts blindly. The students should write theirown scripts. Using the lists of the scripts and function, readers can run most examples and figures on their own computers. The m-files of the scripts can bedownloaded as mentioned later. WHAT IS UNIQUE ABOUT MATLAB? MATLAB may be regarded as a programming language like Fortran or C,although describing it in a few words is difficult. Some of its outstandingfeatures for numerical analyses, however, are: Significantly simpler programming Continuity among integer, real, and complex values Extended range of numbers and their accuracy A comprehensive mathematical library Extensive graphic tools including graphic user interface functions Capability of linking with traditional programming languages Transportability of MATLAB programs An extraordinary feature of MATLAB is that there is no distinction amongreal, complex, and integer numbers. All numbers are in double precision. InMATLAB, all kinds of numbers are continuously connected, as they should be. It means that in MATLAB, any variable can take any type of numberwithout special declaration in programming. This makes programming fasterand more productive. In Fortran, a different subroutine is necessary for eachsingle, double, real or complex, or integer variable, while in MATLAB thereis no need to separate them. The mathematical library in MATLAB makes mathematical analyseseasy. Yet the user can develop additional mathematical routines significantlymore easily than in other programming languages because of the continuitybetween real and complex variables. Among numerous mathematical functions, linear algebra solvers play central roles. Indeed, the whole MATLABsystem is founded upon linear algebra solvers. IMPORTANCE OF GRAPHICS Graphic presentation of mathematical analysis helps the reader to under-stand mathematics and makes it enjoyable. Although this advantage hasbeen well known, presenting computed results with computer graphics wasnot without substantial extra effort in the past. With MATLAB, however,graphic presentations of mathematical material is possible with just a fewcommands. Scientific and even artistic graphic objects can be created on thescreen using mathematical expressions. It has been found that MATLABgraphics motivate and excite students to learn mathematical and numericalmethods that could otherwise be dull. MATLAB graphics are easy and great fun for readers. This book alsoillustrates image processing and production of motion pictures for scientific computing as well as for artistic or hobby material. WILL MATLAB ELIMINATE THE NEED FOR FORTRAN OR C? The answer is no. Fortran and C are still important for high-performancecomputing that requires a large memory or long computing time. The speedof MATLAB computation is significantly slower than that with Fortran orC because MATLAB is paying the high price for the nice features. Learn-ing Fortran or C, however, is not a prerequisite for understanding MATLAB. REFERENCE BOOKS THAT ARE HELPFUL TO LEARN MATLAB This book explains many MATLAB commands but is not intended to be acomplete guide to MATLAB. Readers interested in further information onMATLAB are advised to read User's Guide and Reference Guide. Also, youshould know that over 400 books for use with MATLAB, Simulink, Tool-boxes, and Blocksets have been written. See WEB SITE FOR READERS OF THIS BOOK A Web site for readers of this book has been opened at http://olen.eng.ohio-state.ed/matlab This Web site includes additional examples, hints, and color graphics thatcannot be printed in the book. If there are corrections to the text material,they will appear on this Web site. Links to other relevant sites are alsoprovided. HOW TO OBTAIN M-FILES PACKAGE The m-files package that includes all the scripts and functions developed inthe present book are available from the download site of the publisher, whichcan be accessed via the Web site in the foregoing paragraph. The packageincludes the following files: All m-files listed at the end of chapters. All scripts illustrated in the book (except short ones). Scripts to plot typical figures in the book. SOLUTION KEYS Solution keys for the problems for each chapter are available at the end ofthis book. Further help may also be available at the Web site for the readers. HOW TO OBTAIN MORE INFORMATION ABOUT MATLAB The best way to start collecting more information about MATLAB is to visitthe Web site of MATHWORKS at For other communication with MathWorks, their address is: The MathWorks, Inc., 3 Apple Hill Drive, Natick ,MA 01760-2098, United StatesPhone: 508-647-7000, Fax: 508-647-7001. LIST OF REVIEWERS The first edition of this book was reviewed by: Professor T. Aldemir, Nuclear Engineering, The Ohio State University, Columbus, Ohio Professor M. Darwish, Mechanical Engineering Department, American University of Beirut, Beirut, Lebanon The MathWorks Inc., Natick, Massacusetts Professor J.K. Shultis, Nuclear Engineering, Kansas State University, Manhattan, Kansas Professor S.V. Sreenivasan, Department of Mechanical Engineering, University of Texas, Austin, Texas