Nonlocal and Nonlinear Diffusions and Interactions: New Methods and Directions, Matteo Bonforte; Gabriele Grillo; Jos? Antonio Car

Автор: L. C. G. Rogers
Название: Diffusions, Markov Processes and Martingales
ISBN: 0521775930 ISBN-13(EAN): 9780521775939
Издательство: Cambridge Academ
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Цена: 77090.00 T
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Описание: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.

Автор: Aur?lien Alfonsi
Название: Affine Diffusions and Related Processes: Simulation, Theory and Applications
ISBN: 3319382543 ISBN-13(EAN): 9783319382548
Издательство: Springer
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Цена: 79190.00 T
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Описание: This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error.

Автор: L. C. G. Rogers
Название: Diffusions, Markov Processes, and Martingales
ISBN: 0521775949 ISBN-13(EAN): 9780521775946
Издательство: Cambridge Academ
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Цена: 76030.00 T
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Описание: Now available in paperback, this celebrated book has been prepared with readers` needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. Together with its companion volume, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.

Автор: Bernt Oksendal and Agnes Sulem
Название: Applied Stochastic Control of Jump Diffusions
ISBN: 3540698256 ISBN-13(EAN): 9783540698258
Издательство: Springer
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Цена: 65210.00 T
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Описание: The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations.In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by LГ©vy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made.

Автор: Claudia Bucur; Enrico Valdinoci
Название: Nonlocal Diffusion and Applications
ISBN: 3319287389 ISBN-13(EAN): 9783319287386
Издательство: Springer
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Цена: 51230.00 T
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Описание: Working in the fractional Laplace framework, this book provides models and theorems related to nonlocal diffusion phenomena. In addition to a simple probabilistic interpretation, some applications to water waves, crystal dislocations, nonlocal phase transitions, nonlocal minimal surfaces and Schrodinger equations are given.

Автор: Jan Baldeaux; Eckhard Platen
Название: Functionals of Multidimensional Diffusions with Applications to Finance
ISBN: 3319033344 ISBN-13(EAN): 9783319033341
Издательство: Springer
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Цена: 102480.00 T
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Описание: This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals.

Автор: Wei-Ming Ni; L.A. Peletier; J.L. Vazquez
Название: Degenerate Diffusions
ISBN: 0387940685 ISBN-13(EAN): 9780387940687
Издательство: Springer
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Цена: 167700.00 T
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Описание: This IMA Volume in Mathematics and its Applications DEGENERATE DIFFUSIONS is based on the proceedings of a workshop which was an integral part of the 1990- 91 IMA program on "Phase Transitions and Free Boundaries".

Автор: Alfonsi, Aurelien
Название: Affine diffusions and related processes: simulation, theory and applications
ISBN: 3319052209 ISBN-13(EAN): 9783319052205
Издательство: Springer
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Цена: 79190.00 T
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Описание: This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error.

Автор: Wei-Ming Ni; L.A. Peletier; J.L. Vazquez
Название: Degenerate Diffusions
ISBN: 1461269350 ISBN-13(EAN): 9781461269359
Издательство: Springer
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Цена: 93160.00 T
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Описание: This IMA Volume in Mathematics and its Applications DEGENERATE DIFFUSIONS is based on the proceedings of a workshop which was an integral part of the 1990- 91 IMA program on "Phase Transitions and Free Boundaries".

Автор: Molica Bisci
Название: Variational Methods for Nonlocal Fractional Problems
ISBN: 1107111943 ISBN-13(EAN): 9781107111943
Издательство: Cambridge Academ
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Цена: 141510.00 T
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Описание: Devoted to the variational analysis of problems described by nonlocal operators, this book will appeal to a wide range of researchers and graduate students in mathematics, especially those interested in nonlinear phenomena. A careful balance is struck between rigorous mathematics and physical applications.

Автор: John P. Boyd
Название: Weakly Nonlocal Solitary Waves and Beyond-All-Orders Asymptotics
ISBN: 0792350723 ISBN-13(EAN): 9780792350729
Издательство: Springer
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Цена: 121110.00 T
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Описание: An examination of weakly nonlocal solitary waves. It describes a class of waves which radiate away from the core of the disturbance but are nevertheless very long-lived nonlinear disturbances. It provides specific examples in the areas of water waves, particle physics, meteorology, oceanography, fiber optics pulses and dynamical systems theory.

Автор: Arnaud Debussche; Michael H?gele; Peter Imkeller
Название: The Dynamics of Nonlinear Reaction-Diffusion Equations with Small L?vy Noise
ISBN: 3319008277 ISBN-13(EAN): 9783319008271
Издательство: Springer
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Цена: 32600.00 T
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Описание: Moreover the solution exhibits metastable behavior: there is a polynomial time scale along which the solution dynamics correspond asymptotically to the dynamic behavior of a finite-state Markov chain switching between the stable states.