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Heat Kernel Method and its Applications
Af: Ivan Avramidi Engelsk Hardback
SPAR
kr 490
Heat Kernel Method and its Applications
Af: Ivan Avramidi Engelsk Hardback

The heart of the book is the development of a short-time asymptotic expansion for the heat kernel. This is explained in detail and explicit examples of some advanced calculations are given. In addition some advanced methods and extensions, including path integrals, jump diffusion and others are presented.

The book consists of four parts: Analysis, Geometry, Perturbations and Applications. The first part shortly reviews of some background material and gives an introduction to PDEs. The second part is devoted to a short introduction to various aspects of differential geometry that will be needed later. The third part and heart of the book presents a systematic development of effective methods for various approximation schemes for parabolic differential equations. The last part is devoted to applications in financial mathematics, in particular, stochastic differential equations.

Although this book is intended for advanced undergraduate or beginning graduate students in, it should also provide a useful reference for professional physicists, applied mathematicians as well as quantitative analysts with an interest in PDEs.   

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The heart of the book is the development of a short-time asymptotic expansion for the heat kernel. This is explained in detail and explicit examples of some advanced calculations are given. In addition some advanced methods and extensions, including path integrals, jump diffusion and others are presented.

The book consists of four parts: Analysis, Geometry, Perturbations and Applications. The first part shortly reviews of some background material and gives an introduction to PDEs. The second part is devoted to a short introduction to various aspects of differential geometry that will be needed later. The third part and heart of the book presents a systematic development of effective methods for various approximation schemes for parabolic differential equations. The last part is devoted to applications in financial mathematics, in particular, stochastic differential equations.

Although this book is intended for advanced undergraduate or beginning graduate students in, it should also provide a useful reference for professional physicists, applied mathematicians as well as quantitative analysts with an interest in PDEs.   

Produktdetaljer
Sprog: Engelsk
Sider: 390
ISBN-13: 9783319262659
Indbinding: Hardback
Udgave:
ISBN-10: 3319262653
Udg. Dato: 4 dec 2015
Længde: 28mm
Bredde: 242mm
Højde: 171mm
Oplagsdato: 4 dec 2015
Forfatter(e): Ivan Avramidi
Forfatter(e) Ivan Avramidi


Kategori Differentialregning & ligninger


Sprog Engelsk


Indbinding Hardback


Sider 390


Udgave


Længde 28mm


Bredde 242mm


Højde 171mm

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