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Beyond The Triangle: Brownian Motion, Ito Calculus, And Fokker-planck Equation - Fractional Generalizations

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kr 223

Beyond The Triangle: Brownian Motion, Ito Calculus, And Fokker-planck Equation - Fractional Generalizations

 

The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker–Planck–Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process; the Fokker–Planck–Kolmogorov equation involves time-fractional order derivatives and spatial pseudo-differential operators; and the associated stochastic differential equation describes the stochastic behavior of the solution process. It contains recent results obtained in this direction.

This book is important since the latest developments in the field, including the role of driving processes and their scaling limits, the forms of corresponding stochastic differential equations, and associated FPK equations, are systematically presented. Examples and important applications to various scientific, engineering, and economics problems make the book attractive for all interested researchers, educators, and graduate students.

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The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker–Planck–Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process; the Fokker–Planck–Kolmogorov equation involves time-fractional order derivatives and spatial pseudo-differential operators; and the associated stochastic differential equation describes the stochastic behavior of the solution process. It contains recent results obtained in this direction.

This book is important since the latest developments in the field, including the role of driving processes and their scaling limits, the forms of corresponding stochastic differential equations, and associated FPK equations, are systematically presented. Examples and important applications to various scientific, engineering, and economics problems make the book attractive for all interested researchers, educators, and graduate students.

Produktdetaljer
Sprog: Engelsk
Sider: 192
ISBN-13: 9789813230910
Indbinding: Hardback
Udgave:
ISBN-10: 9813230916
Udg. Dato: 18 apr 2018
Længde: 19mm
Bredde: 249mm
Højde: 172mm
Forlag: World Scientific Publishing Co Pte Ltd
Oplagsdato: 18 apr 2018
Forfatter(e) Marjorie (Tufts Univ Hahn, Sabir (Univ Of New Heaven Umarov, Kei (Fordham Univ Kobayashi, Kei Kobayashi, Sabir Umarov, Marjorie Hahn


Kategori Differentialregning & ligninger


Sprog Engelsk


Indbinding Hardback


Sider 192


Udgave


Længde 19mm


Bredde 249mm


Højde 172mm


Udg. Dato 18 apr 2018


Oplagsdato 18 apr 2018

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