Description
Stochastic Flows and Jump-Diffusions, 1st ed. 2019
Probability Theory and Stochastic Modelling Series, Vol. 92
Author: Kunita Hiroshi
Language: EnglishSubjects for Stochastic Flows and Jump-Diffusions:
Keywords
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; partial differential equations
Support: Print on demand
Description
/li>Contents
/li>Biography
/li>Comment
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Preface.- Introduction.- 1.Probability distributions and stochastic processes.- 2.Stochastic integrals based on Wiener processes and Poisson random measures.- 3.Stochastic differential equations and stochastic flows.- 4.Diffusions, jump-diffusions and heat equations.- 5.Malliavin calculus for Wiener processes and Poisson random measures.- 6.Smooth densities and heat kernels.- 7.Jump-diffusions on manifolds and smooth densities.- Bibliography.- Index.
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