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- 要約等...eatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultane......s treatment of diffusion processes and jump processes in this book i......rom continuous processes and then proceeds to processes with jumps. In......t solutions of stochastic differential equations define stochastic flows of diffe......lation between stochastic flows and heat equations is discussed. ...... of these heat equations (heat kernels)......rious types of diffusions and jump-diffusions and shows that the...... types of heat equations and backward heat equations. Thus, in this......tions for heat equations and backward heat equations a...
- 件名Stochastic differential equations.
- 関連情報Probability theory and stochastic modelling
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- 要約等...develops basic stochastic analysis ... and select applica......atural numbers and infinitesimals."--
- 内容細目..., consistently and accessibly Rad......lly elementary stochastic integrals The ......rsanov theorem and the diffusion invariance pri......theory of Itô diffusions and associated partial differential equations Excursion to m......heory of Lévy processes Excursion to l....... minimal nonstandard analysis.
- 件名Stochastic analysis. Nonstandard mathematical analysis.
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- 内容細目... Markov Chains and Dynamical Sour......déric Paccaut and Nicolas Pouyan......of Generalized Stochastic Exponentials / Aleksandar Mijatović, Nika Novak and Mikhail Urusov......oper Integrals and Generalized Or......tein-Uhlenbeck Processes / Andreas Basse-O'Co......Erik Graversen and Jan Pedersen M......sentations for Diffusion Processes and Backward Stochastic Differential Equations / Zhongmin Qian and Jiangang Ying ....../ Markus Mocha and Nicholas Westr......ian Excursions and Brownian Loops...... / Nizar Demni and Taoufik Hmidi ......tween Gaussian and Semicircle Law......tions to Rough Differential Equations with Unbounded Vect...
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- 内容細目...ient estimates and Harnack inequalities by stochastic analysis Marc ......sushi Atsuji 著 Stochastic flows and geometric anal......al geometry of stochastic Loewner evolutions Roland Friedrich 著 No......ain eigenvalue processes analogous to D......Dirichlet sums and compactificati...... note on rough differential equations with unbounded......nerated groups and an energy of e......olas Juillet 著 Stochastic homogenization......amical systems and iterations by ...... theorems for random groups Takef......dition for Alexandrov spaces Kazu......ical manifolds and affine differential geometry Hiros......imal transport and Ricci curvature in Finsler ge...
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- 内容細目...contents note: Stochastic Differential Equations with Reflectin......ms for Certain Diffusion Processes with Interacti......h M. Nagasawa) Stochastic Differential Equations for Mutually R...... 1-Dimensional Diffusion in a Reflected......ne-Dimensional Diffusion Processes in Self-Similar Random Environments Stochastic Differential Equation Corre...... of Maxwellian and Non-Cutoff Typ......ne-Dimensional Diffusion Process in Bro......e Maximum of a Diffusion Process in a D......ecurrence of a Diffusion Process in a M......alization of a Diffusion Process in a O......an Environment Diffusion Processes in Random Environments Enviro...
- 件名Tanaka, Hiroshi. Stochastic processes.
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- 件名Diffusion processes Jump processes Stochastic differential equations
- 件名（識別子）Diffusion processes Jump processes Stochastic differential equations
- 一般注記Includes bibliographical references and index
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国立国会図書館
- 目次・記事... Basic notions and notations,/ 1 ......l expectations and regular condit...... 4． Continuous stochastic processes,/ 16 5． Stochastic processes adapted to an ......40 8． Poisson random measure,/ 42 9． Point processes and Poisson point processes,/ 43 Chapter II． Stochastic integrals and Ito's formula/...... definition of stochastic integrals,/ 45 2． Stochastic integrals with......ngales,/ 53 3． Stochastic integrals with......spect to point processes,/ 59 4． Semi-m......ownian motions and Poisson point processes,/ 73 7． Repres......4 Chapter III． Stochastic calculus/ 97 1． The space of stochastic differentials,/ 97 2． Stochas...
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- 件名Control and Optimization D......te Mathematics and Combinatorics Modeling and Simulation Statistics and Probability
- 参照Numerical methods for backward stochastic differential equations: A survey
紙図書
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紙図書
全国の図書館
紙図書
国立国会図書館
- 目次・記事... Basic notions and notations/ 1 2......l expectations and regular condit...... 4． Continuous stochastic processes/ 16 5． Stochastic processes adapted to an ......40 8． Poisson random measures/ 42 9． Point processes and Poisson point processes/ 43 Chapter II． Stochastic integrals and Ito's formula/...... definition of stochastic integrals/ 45 2． Stochastic integrals with......ingales/ 53 3． Stochastic integrals with......spect to point processes/ 59 4． Semi-ma......ownian motions and Poisson point processes/ 73 7． Represe......4 Chapter III． Stochastic calculus/ 97 1． The space of stochastic differentials/ 97 2． Stochast...
- 件名確率微分方程式. 拡散過程. Stochastic differential equations. Diffusion processes.
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- 件名Information Systems and Management Man......gement Science and Operations Research Modeling and Simulation Gen......nce Industrial and Manufacturing Engineering
- 参照On Estimate of Settling-Time Distributions of Finite-Time Stable Stochastic Systems
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- 件名Stochastic differential equations Diffusion processes
- 件名（識別子）Stochastic differential equations Diffusion processes
- 関連情報North-Holland mathematical library
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- 要約等... porous media) and (2) in discret......ns. However, standard random‐walk methods......ting transport and the theory on ......hey are based (diffusion theory and the theory of stochastic differential equations (SDEs)) only a......mitations of standard theory have......evelopment of random‐walk methods (diffusion processes) that obey adv......ion dispersion equations in composite p......tep functions) and (2) develop random‐walk methods......ntegrate these equations. The new random‐walk methods......ion‐dispersion equations, even in compo......dvantages of standard random‐walk methods...... distributions and arrival times while suppressi...
- 件名Water Science and Technology
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- 件名Stochastic differential equations Diffusion processes
- 件名（識別子）Stochastic differential equations Diffusion processes
- 関連情報North-Holland mathematical library Kodansha...
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- 出版者（掲載誌）The Japan Society for Industrial and Applied Mathematics
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全国の図書館
- 参照...s to nonlinear stochastic wave equations with multiplic......ing systems by stochastic variational in......alities On the Stochastic Modeling of BZ Reaction and Simulation Studies ON THE STOCHASTIC FORMULATION OF......i equation for Diffusions with Noise Correlation and Its Application to Stochastic Volatility Est......genization for stochastic partial differential equations derived from n...... Influence of Random Disturbances......ded Domains On Stochastic Parabolic Mode......cture Dynamics and Mean-variance ......rtfolio On the Stochastic Modeling of Co......ustion Process and Simulation Studies Influence ...