Stochastic Flows and Stochastic Differential Equations

Stochastic Flows and Stochastic Differential Equations
Author: Hiroshi Kunita
Publisher: Cambridge University Press
Total Pages: 364
Release: 1990
Genre: Mathematics
ISBN: 9780521599252

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The main purpose of this book is to give a systematic treatment of the theory of stochastic differential equations and stochastic flow of diffeomorphisms, and through the former to study the properties of stochastic flows.The classical theory was initiated by K. Itô and since then has been much developed. Professor Kunita's approach here is to regard the stochastic differential equation as a dynamical system driven by a random vector field, including thereby Itô's theory as a special case. The book can be used with advanced courses on probability theory or for self-study.

Stochastic Flows and Jump-Diffusions

Stochastic Flows and Jump-Diffusions
Author: Hiroshi Kunita
Publisher: Springer
Total Pages: 352
Release: 2019-03-26
Genre: Mathematics
ISBN: 9811338019

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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 of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.

An Introduction to the Geometry of Stochastic Flows

An Introduction to the Geometry of Stochastic Flows
Author: Fabrice Baudoin
Publisher: World Scientific
Total Pages: 152
Release: 2004
Genre: Mathematics
ISBN: 1860944817

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This book aims to provide a self-contained introduction to the local geometry of the stochastic flows associated with stochastic differential equations. It stresses the view that the local geometry of any stochastic flow is determined very precisely and explicitly by a universal formula referred to as the Chen-Strichartz formula. The natural geometry associated with the Chen-Strichartz formula is the sub-Riemannian geometry whose main tools are introduced throughout the text. By using the connection between stochastic flows and partial differential equations, we apply this point of view of the study of hypoelliptic operators written in Hormander's form.

Measure-valued Processes and Stochastic Flows

Measure-valued Processes and Stochastic Flows
Author: Andrey A. Dorogovtsev
Publisher: Walter de Gruyter GmbH & Co KG
Total Pages: 228
Release: 2023-11-06
Genre: Mathematics
ISBN: 3110986515

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Stochastic Flows in the Brownian Web and Net

Stochastic Flows in the Brownian Web and Net
Author: Emmanuel Schertzer
Publisher: American Mathematical Soc.
Total Pages: 172
Release: 2014-01-08
Genre: Mathematics
ISBN: 0821890883

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It is known that certain one-dimensional nearest-neighbor random walks in i.i.d. random space-time environments have diffusive scaling limits. Here, in the continuum limit, the random environment is represented by a `stochastic flow of kernels', which is a collection of random kernels that can be loosely interpreted as the transition probabilities of a Markov process in a random environment. The theory of stochastic flows of kernels was first developed by Le Jan and Raimond, who showed that each such flow is characterized by its -point motions. The authors' work focuses on a class of stochastic flows of kernels with Brownian -point motions which, after their inventors, will be called Howitt-Warren flows. The authors' main result gives a graphical construction of general Howitt-Warren flows, where the underlying random environment takes on the form of a suitably marked Brownian web. This extends earlier work of Howitt and Warren who showed that a special case, the so-called "erosion flow", can be constructed from two coupled "sticky Brownian webs". The authors' construction for general Howitt-Warren flows is based on a Poisson marking procedure developed by Newman, Ravishankar and Schertzer for the Brownian web. Alternatively, the authors show that a special subclass of the Howitt-Warren flows can be constructed as random flows of mass in a Brownian net, introduced by Sun and Swart. Using these constructions, the authors prove some new results for the Howitt-Warren flows.

Constructing Nonhomeomorphic Stochastic Flows

Constructing Nonhomeomorphic Stochastic Flows
Author: R. W. R. Darling
Publisher: American Mathematical Soc.
Total Pages: 109
Release: 1987
Genre: Mathematics
ISBN: 0821824392

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The purpose of this article is the construction of stochastic flows from the finite-dimensional distributions without any smoothness assumptions. Also examines the relation between covariance functions and finite-dimensional distributions. The stochastic continuity of stochastic flows in the time parameter are proved in each section. These results give some extensions of the results obtained by Harris, by Baxendale and Harris and by other authors. In particular, the author studies coalescing flows, which were introduced by Harris for the study of flows of nonsmooth maps.

On the Geometry of Diffusion Operators and Stochastic Flows

On the Geometry of Diffusion Operators and Stochastic Flows
Author: K.D. Elworthy
Publisher: Springer
Total Pages: 121
Release: 2007-01-05
Genre: Mathematics
ISBN: 3540470220

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Stochastic differential equations, and Hoermander form representations of diffusion operators, can determine a linear connection associated to the underlying (sub)-Riemannian structure. This is systematically described, together with its invariants, and then exploited to discuss qualitative properties of stochastic flows, and analysis on path spaces of compact manifolds with diffusion measures. This should be useful to stochastic analysts, especially those with interests in stochastic flows, infinite dimensional analysis, or geometric analysis, and also to researchers in sub-Riemannian geometry. A basic background in differential geometry is assumed, but the construction of the connections is very direct and itself gives an intuitive and concrete introduction. Knowledge of stochastic analysis is also assumed for later chapters.

An Introduction To The Geometry Of Stochastic Flows

An Introduction To The Geometry Of Stochastic Flows
Author: Fabrice Baudoin
Publisher: World Scientific
Total Pages: 152
Release: 2004-11-10
Genre: Mathematics
ISBN: 1783260580

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This book aims to provide a self-contained introduction to the local geometry of the stochastic flows. It studies the hypoelliptic operators, which are written in Hörmander's form, by using the connection between stochastic flows and partial differential equations.The book stresses the author's view that the local geometry of any stochastic flow is determined very precisely and explicitly by a universal formula referred to as the Chen-Strichartz formula. The natural geometry associated with the Chen-Strichartz formula is the sub-Riemannian geometry, and its main tools are introduced throughout the text./a

Stochastic Discounted Cash Flow

Stochastic Discounted Cash Flow
Author: Lutz Kruschwitz
Publisher: Springer Nature
Total Pages: 256
Release: 2020-02-28
Genre: Business & Economics
ISBN: 303037081X

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This open access book discusses firm valuation, which is of interest to economists, particularly those working in finance. Firm valuation comes down to the calculation of the discounted cash flow, often only referred to by its abbreviation, DCF. There are, however, different coexistent versions, which seem to compete against each other, such as entity approaches and equity approaches. Acronyms are often used, such as APV (adjusted present value) or WACC (weighted average cost of capital), two concepts classified as entity approaches. This book explains why there are several procedures and whether they lead to the same result. It also examines the economic differences between the methods and indicates the various purposes they serve. Further it describes the limits of the procedures and the situations they are best applied to. The problems this book addresses are relevant to theoreticians and practitioners alike.