Stochastic Calculus Via Regularizations PDF Download
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| Author | : Francesco Russo |
| Publisher | : Springer Nature |
| Total Pages | : 656 |
| Release | : 2022-11-15 |
| Genre | : Mathematics |
| ISBN | : 3031094468 |
Download Stochastic Calculus via Regularizations Book in PDF, ePub and Kindle
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregular integrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.
| Author | : Gregory Budzban |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 236 |
| Release | : 2016-06-29 |
| Genre | : Combinatorial geometry |
| ISBN | : 1470419459 |
Download Probability on Algebraic and Geometric Structures Book in PDF, ePub and Kindle
This volume contains the proceedings of the International Research Conference “Probability on Algebraic and Geometric Structures”, held from June 5–7, 2014, at Southern Illinois University, Carbondale, IL, celebrating the careers of Philip Feinsilver, Salah-Eldin A. Mohammed, and Arunava Mukherjea. These proceedings include survey papers and new research on a variety of topics such as probability measures and the behavior of stochastic processes on groups, semigroups, and Clifford algebras; algebraic methods for analyzing Markov chains and products of random matrices; stochastic integrals and stochastic ordinary, partial, and functional differential equations.
| Author | : Fred Espen Benth |
| Publisher | : Springer |
| Total Pages | : 362 |
| Release | : 2015-10-23 |
| Genre | : Science |
| ISBN | : 3319234250 |
Download Stochastics of Environmental and Financial Economics Book in PDF, ePub and Kindle
These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.
| Author | : Catherine Donati-Martin |
| Publisher | : Springer |
| Total Pages | : 489 |
| Release | : 2007-07-25 |
| Genre | : Mathematics |
| ISBN | : 3540711899 |
Download Séminaire de Probabilités XL Book in PDF, ePub and Kindle
Who could have predicted that the S ́ eminaire de Probabilit ́ es would reach the age of 40? This long life is ?rst due to the vitality of the French probabil- tic school, for which the S ́ eminaire remains one of the most speci?c media of exchange. Another factor is the amount of enthusiasm, energy and time invested year after year by the R ́ edacteurs: Michel Ledoux dedicated himself tothistaskuptoVolumeXXXVIII,andMarcYormadehisnameinseparable from the S ́ eminaire by devoting himself to it during a quarter of a century. Browsing among the past volumes can only give a faint glimpse of how much is owed to them; keeping up with the standard they have set is a challenge to the new R ́ edaction. In a changing world where the status of paper and ink is questioned and where, alas, pressure for publishing is increasing, in particular among young mathematicians, we shall try and keep the same direction. Although most contributions are anonymously refereed, the S ́ eminaire is not a mathema- cal journal; our ?rst criterion is not mathematical depth, but usefulness to the French and international probabilistic community. We do not insist that everything published in these volumes should have reached its ?nal form or be original, and acceptance–rejection may not be decided on purely scienti?c grounds.
| Author | : Yuliya Mishura |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 411 |
| Release | : 2008-01-02 |
| Genre | : Mathematics |
| ISBN | : 3540758720 |
Download Stochastic Calculus for Fractional Brownian Motion and Related Processes Book in PDF, ePub and Kindle
This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
| Author | : Mark M. Meerschaert |
| Publisher | : Walter de Gruyter |
| Total Pages | : 305 |
| Release | : 2011-12-23 |
| Genre | : Mathematics |
| ISBN | : 3110258161 |
Download Stochastic Models for Fractional Calculus Book in PDF, ePub and Kindle
Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than traditional diffusion. This monograph develops the basic theory of fractional calculus and anomalous diffusion, from the point of view of probability. In this book, we will see how fractional calculus and anomalous diffusion can be understood at a deep and intuitive level, using ideas from probability. It covers basic limit theorems for random variables and random vectors with heavy tails. This includes regular variation, triangular arrays, infinitely divisible laws, random walks, and stochastic process convergence in the Skorokhod topology. The basic ideas of fractional calculus and anomalous diffusion are closely connected with heavy tail limit theorems. Heavy tails are applied in finance, insurance, physics, geophysics, cell biology, ecology, medicine, and computer engineering. The goal of this book is to prepare graduate students in probability for research in the area of fractional calculus, anomalous diffusion, and heavy tails. Many interesting problems in this area remain open. This book will guide the motivated reader to understand the essential background needed to read and unerstand current research papers, and to gain the insights and techniques needed to begin making their own contributions to this rapidly growing field.
| Author | : Rajeeva L. Karandikar |
| Publisher | : Springer |
| Total Pages | : 441 |
| Release | : 2018-06-01 |
| Genre | : Mathematics |
| ISBN | : 9811083185 |
Download Introduction to Stochastic Calculus Book in PDF, ePub and Kindle
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.
| Author | : Alexander A Gushchin |
| Publisher | : Elsevier |
| Total Pages | : 208 |
| Release | : 2015-08-26 |
| Genre | : Mathematics |
| ISBN | : 0081004761 |
Download Stochastic Calculus for Quantitative Finance Book in PDF, ePub and Kindle
In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. Contains the most popular applications of the theory of stochastic integration Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability Written by experts in the field of modern mathematical finance
| Author | : Thomas Mikosch |
| Publisher | : World Scientific Publishing Company |
| Total Pages | : 223 |
| Release | : 1998-10-30 |
| Genre | : Mathematics |
| ISBN | : 9813105291 |
Download Elementary Stochastic Calculus, With Finance In View Book in PDF, ePub and Kindle
Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory.This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Itô calculus and/or stochastic finance.
| Author | : K.L. Chung |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 292 |
| Release | : 2013-11-09 |
| Genre | : Mathematics |
| ISBN | : 1461495873 |
Download Introduction to Stochastic Integration Book in PDF, ePub and Kindle
A highly readable introduction to stochastic integration and stochastic differential equations, this book combines developments of the basic theory with applications. It is written in a style suitable for the text of a graduate course in stochastic calculus, following a course in probability. Using the modern approach, the stochastic integral is defined for predictable integrands and local martingales; then It’s change of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials of martingales, the Feynman–Kac functional and the Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time change are discussed. New to the second edition are a discussion of the Cameron–Martin–Girsanov transformation and a final chapter which provides an introduction to stochastic differential equations, as well as many exercises for classroom use. This book will be a valuable resource to all mathematicians, statisticians, economists, and engineers employing the modern tools of stochastic analysis. The text also proves that stochastic integration has made an important impact on mathematical progress over the last decades and that stochastic calculus has become one of the most powerful tools in modern probability theory. —Journal of the American Statistical Association An attractive text...written in [a] lean and precise style...eminently readable. Especially pleasant are the care and attention devoted to details... A very fine book. —Mathematical Reviews
