Stochastic Flows and Jump-Diffusions, 1st ed. 2019 Probability Theory and Stochastic Modelling Series, Vol. 92
Auteur : Kunita Hiroshi
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.
Date de parution : 04-2019
Ouvrage de 352 p.
15.5x23.5 cm
Thèmes de Stochastic Flows and Jump-Diffusions :
Mots-clés :
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