Nobuyuki Ikeda, Sinzo Watanabe, Masatoshi Fukushima, Hiroshi Kunita

Itô's Stochastic Calculus and Probability Theory (eBook, PDF)

• Format: PDF

Produktbeschreibung

This volume consists of contributed original papers by worldly known important probabilists on problems in probability theory and its applications where the stochastic analysis, founded by Professor Kiyosi Ito about fifty years ago, plays an important role. The volume also contains several expository articles giving a survey of modern developments which will serve as a useful guidance for beginners.

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Produktdetails

• Verlag: Springer Japan
• Seitenzahl: 422
• Erscheinungstermin: 6. Dezember 2012
• Englisch
• ISBN-13: 9784431685326
• Artikelnr.: 44180448

Inhaltsangabe

Lévy measure of superprocesses; Absorption processes.- A class of integration by parts formulae in stochastic analysis I.- Smooth measures and continuous additive functionals of right Markov processes.- On the decomposition of additive functionals of reflecting Brownian motions.- Equilibrium fluctuations for lattice gas.- Hall's transform and the Segal-Bargmann map.- Lagrangian for pinned diffusion process.- Short time asymptotics and an approximation for the heat kernel of a singular diffusion.- Van Vleck-Pauli formula for Wiener integrals and Jacobi fields.- Some recent developments in nonlinear filtering theory.- Detecting a single defect in a scenery by observing the scenery along a random walk path.- Analytic approach to Yor's formula of exponential additive functionals of Brownian motion.- Stochastic differential equations with jumps and stochastic flows of diffeomorphisms.- A remark on American securities.- Calculus for multiplicative functionals, Itô's formula and differential equations.- A Martin boundary connected with the ?-volume limit of the focussing cubic Schrödinger equation.- Diffusion processes on an open time interval and their time reversal.- On sensitive control and differential games in infinite dimensional space.- Decomposition at the maximum for excursions and bridges of one-dimensional diffusions.- Interacting diffusion systems over Zd.- A Kähler metric on a based loop group and a covariant differentiation.- Burgers system driven by a periodic stochastic flow.- An estimate on the Hessian of the heat kernel.- Environment-wise central limit theorem for a diffusion in a Brownian environment with large drift.- The complex story of simple exclusion.- Lévy's stochastic area formula and Brownian motion on compact Lie groups.- Principalvalues of Brownian local times and their related topics.