Diffusion Processes, Jump Processes, and Stochastic Differential Equations

Released on by Wojbor A. Woyczyński
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  • Diffusion Processes, Jump Processes, and Stochastic Differential Equations Book Detail

  • Author : Wojbor A. Woyczyński
  • Release Date : 2022-03-09
  • Publisher : CRC Press
  • Genre : Mathematics
  • Pages : 138
  • ISBN 13 : 1000475352
  • File Size : 28,28 MB
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Diffusion Processes, Jump Processes, and Stochastic Differential Equations by Wojbor A. Woyczyński PDF Summary

Book Description: Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.

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Stochastic Flows and Jump-Diffusions

Stochastic Flows and Jump-Diffusions

File Size : 34,34 MB
Total View : 1570 Views
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This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment o