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Introduction to Infinite Dimensional Stochastic Analysis

Introduction to Infinite Dimensional Stochastic Analysis Author Zhi-yuan Huang
ISBN-10 9789401141086
Release 2012-12-06
Pages 296
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The infinite dimensional analysis as a branch of mathematical sciences was formed in the late 19th and early 20th centuries. Motivated by problems in mathematical physics, the first steps in this field were taken by V. Volterra, R. GateallX, P. Levy and M. Frechet, among others (see the preface to Levy[2]). Nevertheless, the most fruitful direction in this field is the infinite dimensional integration theory initiated by N. Wiener and A. N. Kolmogorov which is closely related to the developments of the theory of stochastic processes. It was Wiener who constructed for the first time in 1923 a probability measure on the space of all continuous functions (i. e. the Wiener measure) which provided an ideal math ematical model for Brownian motion. Then some important properties of Wiener integrals, especially the quasi-invariance of Gaussian measures, were discovered by R. Cameron and W. Martin[l, 2, 3]. In 1931, Kolmogorov[l] deduced a second partial differential equation for transition probabilities of Markov processes order with continuous trajectories (i. e. diffusion processes) and thus revealed the deep connection between theories of differential equations and stochastic processes. The stochastic analysis created by K. Ito (also independently by Gihman [1]) in the forties is essentially an infinitesimal analysis for trajectories of stochastic processes. By virtue of Ito's stochastic differential equations one can construct diffusion processes via direct probabilistic methods and treat them as function als of Brownian paths (i. e. the Wiener functionals).

Interest Rate Models an Infinite Dimensional Stochastic Analysis Perspective

Interest Rate Models  an Infinite Dimensional Stochastic Analysis Perspective Author René Carmona
ISBN-10 9783540270676
Release 2007-05-22
Pages 236
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This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM

Stochastic Optimal Control in Infinite Dimension

Stochastic Optimal Control in Infinite Dimension Author Giorgio Fabbri
ISBN-10 9783319530673
Release 2017-06-22
Pages 916
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Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.

White Noise

White Noise Author Takeyuki Hida
ISBN-10 9789401736800
Release 2013-06-29
Pages 520
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Many areas of applied mathematics call for an efficient calculus in infinite dimensions. This is most apparent in quantum physics and in all disciplines of science which describe natural phenomena by equations involving stochasticity. With this monograph we intend to provide a framework for analysis in infinite dimensions which is flexible enough to be applicable in many areas, and which on the other hand is intuitive and efficient. Whether or not we achieved our aim must be left to the judgment of the reader. This book treats the theory and applications of analysis and functional analysis in infinite dimensions based on white noise. By white noise we mean the generalized Gaussian process which is (informally) given by the time derivative of the Wiener process, i.e., by the velocity of Brownian mdtion. Therefore, in essence we present analysis on a Gaussian space, and applications to various areas of sClence. Calculus, analysis, and functional analysis in infinite dimensions (or dimension-free formulations of these parts of classical mathematics) have a long history. Early examples can be found in the works of Dirichlet, Euler, Hamilton, Lagrange, and Riemann on variational problems. At the beginning of this century, Frechet, Gateaux and Volterra made essential contributions to the calculus of functions over infinite dimensional spaces. The important and inspiring work of Wiener and Levy followed during the first half of this century. Moreover, the articles and books of Wiener and Levy had a view towards probability theory.

An Introduction to Infinite Dimensional Analysis

An Introduction to Infinite Dimensional Analysis Author Giuseppe Da Prato
ISBN-10 3540290214
Release 2006-08-25
Pages 208
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Based on well-known lectures given at Scuola Normale Superiore in Pisa, this book introduces analysis in a separable Hilbert space of infinite dimension. It starts from the definition of Gaussian measures in Hilbert spaces, concepts such as the Cameron-Martin formula, Brownian motion and Wiener integral are introduced in a simple way. These concepts are then used to illustrate basic stochastic dynamical systems and Markov semi-groups, paying attention to their long-time behavior.

Global and Stochastic Analysis with Applications to Mathematical Physics

Global and Stochastic Analysis with Applications to Mathematical Physics Author Yuri E. Gliklikh
ISBN-10 0857291637
Release 2010-12-07
Pages 436
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Methods of global analysis and stochastic analysis are most often applied in mathematical physics as separate entities, thus forming important directions in the field. However, while combination of the two subject areas is rare, it is fundamental for the consideration of a broader class of problems. This book develops methods of Global Analysis and Stochastic Analysis such that their combination allows one to have a more or less common treatment for areas of mathematical physics that traditionally are considered as divergent and requiring different methods of investigation. Global and Stochastic Analysis with Applications to Mathematical Physics covers branches of mathematics that are currently absent in monograph form. Through the demonstration of new topics of investigation and results, both in traditional and more recent problems, this book offers a fresh perspective on ordinary and stochastic differential equations and inclusions (in particular, given in terms of Nelson's mean derivatives) on linear spaces and manifolds. Topics covered include classical mechanics on non-linear configuration spaces, problems of statistical and quantum physics, and hydrodynamics. A self-contained book that provides a large amount of preliminary material and recent results which will serve to be a useful introduction to the subject and a valuable resource for further research. It will appeal to researchers, graduate and PhD students working in global analysis, stochastic analysis and mathematical physics.

Stochastic Processes Physics and Geometry

Stochastic Processes  Physics  and Geometry Author Sergio Albeverio
ISBN-10 0821819593
Release 2000
Pages 333
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This volume and Stochastic Processes, Physics and Geometry: New Interplays. II present state-of-the-art research currently unfolding at the interface between mathematics and physics. Included are select articles from the international conference held in Leipzig (Germany) in honor of Sergio Albeverio's sixtieth birthday. The theme of the conference, ``Infinite Dimensional (Stochastic) Analysis and Quantum Physics'', was chosen to reflect Albeverio's wide-ranging scientific interests. The articles in these books reflect that broad range of interests and provide a detailed overview highlighting the deep interplay among stochastic processes, mathematical physics, and geometry. The contributions are written by internationally recognized experts in the fields of stochastic analysis, linear and nonlinear (deterministic and stochastic) PDEs, infinite dimensional analysis, functional analysis, commutative and noncommutative probability theory, integrable systems, quantum and statistical mechanics, geometric quantization, and neural networks. Also included are applications in biology and other areas. Most of the contributions are high-level research papers. However, there are also some overviews on topics of general interest. The articles selected for publication in these volumes were specifically chosen to introduce readers to advanced topics, to emphasize interdisciplinary connections, and to stress future research directions. Volume I contains contributions from invited speakers; Volume II contains additional contributed papers.

Integration on Infinite Dimensional Surfaces and Its Applications

Integration on Infinite Dimensional Surfaces and Its Applications Author A. Uglanov
ISBN-10 0792361334
Release 2000-01-31
Pages 262
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This book presents the theory of integration over surfaces in abstract topological vector space. Applications of the theory in different fields, such as infinite dimensional distributions and differential equations (including boundary value problems), stochastic processes, approximation of functions, and calculus of variation on a Banach space, are treated in detail. Audience: This book will be of interest to specialists in functional analysis, and those whose work involves measure and integration, probability theory and stochastic processes, partial differential equations and mathematical physics.

Stochastic Analysis 2010

Stochastic Analysis 2010 Author Dan Crisan
ISBN-10 3642153585
Release 2010-11-26
Pages 299
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Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume “Stochastic Analysis 2010” provides a sample of the current research in the different branches of the subject. It includes the collected works of the participants at the Stochastic Analysis section of the 7th ISAAC Congress organized at Imperial College London in July 2009.

Stochastic Calculus of Variations in Mathematical Finance

Stochastic Calculus of Variations in Mathematical Finance Author Paul Malliavin
ISBN-10 9783540307990
Release 2006-02-25
Pages 142
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Highly esteemed author Topics covered are relevant and timely

Stability of Infinite Dimensional Stochastic Differential Equations with Applications

Stability of Infinite Dimensional Stochastic Differential Equations with Applications Author Kai Liu
ISBN-10 1420034820
Release 2005-08-23
Pages 312
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Stochastic differential equations in infinite dimensional spaces are motivated by the theory and analysis of stochastic processes and by applications such as stochastic control, population biology, and turbulence, where the analysis and control of such systems involves investigating their stability. While the theory of such equations is well established, the study of their stability properties has grown rapidly only in the past 20 years, and most results have remained scattered in journals and conference proceedings. This book offers a systematic presentation of the modern theory of the stability of stochastic differential equations in infinite dimensional spaces - particularly Hilbert spaces. The treatment includes a review of basic concepts and investigation of the stability theory of linear and nonlinear stochastic differential equations and stochastic functional differential equations in infinite dimensions. The final chapter explores topics and applications such as stochastic optimal control and feedback stabilization, stochastic reaction-diffusion, Navier-Stokes equations, and stochastic population dynamics. In recent years, this area of study has become the focus of increasing attention, and the relevant literature has expanded greatly. Stability of Infinite Dimensional Stochastic Differential Equations with Applications makes up-to-date material in this important field accessible even to newcomers and lays the foundation for future advances.

Stochastic Analysis and Diffusion Processes

Stochastic Analysis and Diffusion Processes Author Gopinath Kallianpur
ISBN-10 9780199657070
Release 2014
Pages 352
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Beginning with the concept of random processes and Brownian motion and building on the theory and research directions in a self-contained manner, this book provides an introduction to stochastic analysis for graduate students, researchers and applied scientists interested in stochastic processes and their applications.

Stochastic and Infinite Dimensional Analysis

Stochastic and Infinite Dimensional Analysis Author Christopher Bernido
ISBN-10 9783319072456
Release 2016-09-11
Pages 300
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This volume presents a collection of papers covering applications from a wide range of systems with infinitely many degrees of freedom studied using techniques from stochastic and infinite dimensional analysis, e.g. Feynman path integrals, the statistical mechanics of polymer chains, complex networks, and quantum field theory. Systems of infinitely many degrees of freedom create their particular mathematical challenges which have been addressed by different mathematical theories, namely in the theories of stochastic processes, Malliavin calculus, and especially white noise analysis. These proceedings are inspired by a conference held on the occasion of Prof. Ludwig Streit’s 75th birthday and celebrate his pioneering and ongoing work in these fields.

Stochastic Cauchy Problems in Infinite Dimensions

Stochastic Cauchy Problems in Infinite Dimensions Author Irina V. Melnikova
ISBN-10 9781482210514
Release 2016-02-22
Pages 286
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Stochastic Cauchy Problems in Infinite Dimensions: Generalized and Regularized Solutions presents stochastic differential equations for random processes with values in Hilbert spaces. Accessible to non-specialists, the book explores how modern semi-group and distribution methods relate to the methods of infinite-dimensional stochastic analysis. It also shows how the idea of regularization in a broad sense pervades all these methods and is useful for numerical realization and applications of the theory. The book presents generalized solutions to the Cauchy problem in its initial form with white noise processes in spaces of distributions. It also covers the "classical" approach to stochastic problems involving the solution of corresponding integral equations. The first part of the text gives a self-contained introduction to modern semi-group and abstract distribution methods for solving the homogeneous (deterministic) Cauchy problem. In the second part, the author solves stochastic problems using semi-group and distribution methods as well as the methods of infinite-dimensional stochastic analysis.

Hyperfinite Dirichlet Forms and Stochastic Processes

Hyperfinite Dirichlet Forms and Stochastic Processes Author Sergio Albeverio
ISBN-10 3642196594
Release 2011-05-27
Pages 284
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This monograph treats the theory of Dirichlet forms from a comprehensive point of view, using "nonstandard analysis." Thus, it is close in spirit to the discrete classical formulation of Dirichlet space theory by Beurling and Deny (1958). The discrete infinitesimal setup makes it possible to study the diffusion and the jump part using essentially the same methods. This setting has the advantage of being independent of special topological properties of the state space and in this sense is a natural one, valid for both finite- and infinite-dimensional spaces. The present monograph provides a thorough treatment of the symmetric as well as the non-symmetric case, surveys the theory of hyperfinite Lévy processes, and summarizes in an epilogue the model-theoretic genericity of hyperfinite stochastic processes theory.

Stochastic Analysis and Applications

Stochastic Analysis and Applications Author Fred Espen Benth
ISBN-10 9783540708476
Release 2007-04-24
Pages 678
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The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over presented the newest developments within the exciting and fast growing field of stochastic analysis. This volume combines both papers from the invited speakers and contributions by the presenting lecturers. In addition, it includes the Memoirs that Kiyoshi Ito wrote for this occasion.

Stochastic Analysis and Related Topics VII

Stochastic Analysis and Related Topics VII Author Laurent Decreusefond
ISBN-10 0817642005
Release 2001
Pages 249
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Stochastic analysis has proved to be one of the most widely applicable mathematical tools available to researchers in a variety of scientific and engineering disciplines. One of the most challenging subjects in relation to physics concerns an analysis of heat kernels on infinite dimensional manifolds. The simplest nontrivial case is that of the path and loop space on a Lie group. In this volume an up-to-date survey of this topic is given by L. Gross. Another concise but complete survey of the Hausdorff measure on Wiener space and its applications to Malliavin Calculus is given by D. Feyel. Other survey articles deal with a variety of rich topics:* short time asymptotics of diffusion processes with values in infinite dimensional manifolds* large deviations of diffusions with discontinuous drifts* stochastic integration with respect to the fractional Brownian motion (which is not a semimartingale)* Stokes' formula for the Brownian sheet* a new family of logarithmic Sobolev inequalities via the Girsanov TheoremThe broad coverage of various subjects demonstrates the powerful stochastic techniques of prominent researchers. This volume is an outgrowth of the Seventh Silivri Workshop. It will serve as a good reference text for graduate students and those working in stochastic analysis, as well as mathematical economists treating modeling systems with long memory. Contributors: S. Aida, S. Amine, X. Bardina, T.-S. Chiang, L. Decreusefond, D. Feyel, L. Gross, Y. Ishikawa, H. Kawabi, N. Privault, C. Rovira, S.-J. Sheu, S. Tindel, A.S. Ustunel