backward diffusion equation – Bücher zum Thema backward diffusion equation finden und kaufen

Boris L. Rozovsky, Sergey V. Lototsky
Springer International Publishing
128.39 € · Hardcover

MSC (2010): 60H15, 35R60 Boundary value problem Markov property Martingale Sobolev space diffusion process filtering problem local martingale partial differential equation backward diffusion equation chaos solution of parabolic equations interpolation extrapolation Hormander's condition in filtering stochastic characteristics

This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connec...

Stochastic Flows and Jump-Diffusions

Hiroshi Kunita
Springer Singapore
128.39 € · Hardcover

stochastic differential equation with jumps jump-diffusion process Malliavin calculus Wiener space fundamental solution asymptotic short time estimate smooth density stochastic flow diffeomorphism diffusion and jump-diffusion processes heat equations backward heat equations 60H05, 60H07, 60H30 35K08, 35K10, 58J05 quantitative finance

This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processe...

Stochastic Flows and Jump-Diffusions

Hiroshi Kunita
Springer Singapore
117.69 € · eBook

stochastic differential equation with jumps jump-diffusion process Malliavin calculus Wiener space fundamental solution asymptotic short time estimate smooth density stochastic flow diffeomorphism diffusion and jump-diffusion processes heat equations backward heat equations 60H05, 60H07, 60H30 35K08, 35K10, 58J05 quantitative finance

This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processe...

Stochastic Evolution Systems

Boris L. Rozovsky, Sergey V. Lototsky
Springer International Publishing
90.94 € · Paperback

MSC (2010): 60H15, 35R60 Boundary value problem Markov property Martingale Sobolev space diffusion process filtering problem local martingale partial differential equation backward diffusion equation chaos solution of parabolic equations interpolation extrapolation Hormander's condition in filtering stochastic characteristics

This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connec...

Finite Difference Methods,Theory and Applications

Springer International Publishing
53.49 € · Paperback

alternating direction implicit method backward time-fractional diffusion equation communication matrix diffusion domain decomposition finite element schemes finite volumes fully implicit fundamental solution heat equation hybrid scheme induction matrix kernel-based approximation monotone scheme partition of unity

This book constitutes the thoroughly refereed post-conference proceedings of the 6th International Conference on Finite Difference Methods, FDM 2014, held in Lozenetz, Bulgaria, in June 2014.The 36 revised full papers were carefully reviewed and selected from 62 submissions. These papers together wi...

Stochastic Evolution Systems

Boris L. Rozovsky, Sergey V. Lototsky
Springer International Publishing
90.94 € · eBook

MSC (2010): 60H15, 35R60 Boundary value problem Markov property Martingale Sobolev space diffusion process filtering problem local martingale partial differential equation backward diffusion equation chaos solution of parabolic equations interpolation extrapolation Hormander's condition in filtering stochastic characteristics

This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connec...

Finite Difference Methods,Theory and Applications

Springer International Publishing
53.49 € · eBook

alternating direction implicit method backward time-fractional diffusion equation communication matrix diffusion domain decomposition finite element schemes finite volumes fully implicit fundamental solution heat equation hybrid scheme induction matrix kernel-based approximation monotone scheme partition of unity

This book constitutes the thoroughly refereed post-conference proceedings of the 6th International Conference on Finite Difference Methods, FDM 2014, held in Lozenetz, Bulgaria, in June 2014.The 36 revised full papers were carefully reviewed and selected from 62 submissions. These papers together wi...

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