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Longer titles found: Quantum stochastic calculus (view)

searching for Stochastic calculus 62 found (168 total)

Stochastic differential equation (5,634 words) [view diff] exact match in snippet view article find links to article

are two dominating versions of stochastic calculus, the Itô stochastic calculus and the Stratonovich stochastic calculus. Each of the two has advantages

Bernt Øksendal (682 words) [view diff] exact match in snippet view article find links to article

including nine books. In 1982 he taught a postgraduate course in stochastic calculus at the University of Edinburgh which led to the book Øksendal, Bernt

Steven E. Shreve (303 words) [view diff] case mismatch in snippet view article find links to article

Illinois, where he completed a PhD in mathematics in 1977. His textbook Stochastic Calculus for Finance is used by numerous graduate programs in quantitative

Kiyosi Itô (1,702 words) [view diff] exact match in snippet view article find links to article

so-called Itô calculus. He also pioneered the world connections between stochastic calculus and differential geometry, known as stochastic differential geometry

Paul Malliavin (712 words) [view diff] exact match in snippet view article find links to article

In stochastic analysis, Malliavin is known for his work on the stochastic calculus of variation, now known as the Malliavin calculus, a mathematical

Cauchy process (742 words) [view diff] case mismatch in snippet view article find links to article

Processes". In Kabanov, Y.; Liptser, R.; Stoyanov, J. (eds.). From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift. Springer. p. 228

Stochastic (3,412 words) [view diff] exact match in snippet view article find links to article

which describes a stochastic process known as a Markov process, and stochastic calculus, which involves differential equations and integrals based on stochastic

Yuri Kondratiev (395 words) [view diff] exact match in snippet view article find links to article

interests included functional analysis, mathematical physics and stochastic calculus. Kondratiev was a member of the Kyiv school of functional analysis

Free independence (688 words) [view diff] exact match in snippet view article find links to article

central limit theorem; notions of free convolution; existence of free stochastic calculus and so on. Let ( A , ϕ ) {\displaystyle (A,\phi )} be a non-commutative

Nonlinear expectation (623 words) [view diff] case mismatch in snippet view article find links to article

Peng, Shige (2006). "G–Expectation, G–Brownian Motion and Related Stochastic Calculus of Itô Type". Abel Symposia. 2. Springer-Verlag. arXiv:math/0601035

Quadratic variation (1,544 words) [view diff] exact match in snippet view article find links to article

be shown to exist. They form an important part of the theory of stochastic calculus, appearing in Itô's lemma, which is the generalization of the chain

Robert J. Elliott (256 words) [view diff] case mismatch in snippet view article find links to article

Value for Differential Games (American Mathematical Society, 1972) Stochastic Calculus and Applications (Springer-Verlag, 1982) Viscosity Solutions and

Progressively measurable process (567 words) [view diff] case mismatch in snippet view article find links to article

modification. Karatzas, Ioannis; Shreve, Steven (1991). Brownian Motion and Stochastic Calculus (2nd ed.). Springer. pp. 4–5. ISBN 0-387-97655-8. Pascucci, Andrea

J. Michael Steele (259 words) [view diff] case mismatch in snippet view article find links to article

maint: location missing publisher (link) Steele, J. Michael (2001). Stochastic Calculus and Financial Applications. New York, NY: Springer New York. doi:10

Yuliya Mishura (569 words) [view diff] case mismatch in snippet view article find links to article

Kulik, and Pilipenko, Problem Books in Mathematics, Springer, 2010) Stochastic Calculus for Fractional Brownian Motion and Related Processes (Lecture Notes

Engelbert–Schmidt zero–one law (676 words) [view diff] exact match in snippet view article find links to article

law Karatzas, Ioannis; Shreve, Steven (2012). Brownian motion and stochastic calculus. Springer. p. 215. ISBN 978-0-387-97655-6. Hans-Jürgen Engelbert

Continuity in probability (195 words) [view diff] exact match in snippet view article find links to article

independent increments. Applebaum, D. "Lectures on Lévy processes and Stochastic calculus, Braunschweig; Lecture 2: Lévy processes" (PDF). University of Sheffield

Self-similar process (843 words) [view diff] case mismatch in snippet view article find links to article

of Ioannis Karatzas; Steven E. Shreve (1991), Brownian Motion and Stochastic Calculus (second ed.), Springer Verlag, doi:10.1007/978-1-4612-0949-2,

Malliavin's absolute continuity lemma (220 words) [view diff] exact match in snippet view article find links to article

ISBN 0-486-44994-7. MR2250060 (See section 1.3) Malliavin, Paul (1978). "Stochastic calculus of variations and hypoelliptic operators". Proceedings of the International

Gamma process (891 words) [view diff] exact match in snippet view article find links to article

Applebaum 2004, pp. 58–59. Applebaum, David (2004). Lévy processes and stochastic calculus. Cambridge, UK ; New York: Cambridge University Press. ISBN 0-521-83263-2

List of Iyengars (870 words) [view diff] exact match in snippet view article find links to article

(probabilist) - TWAS Prize in Mathematics Awardee and pioneer of quantum stochastic calculus C. N. S. Iyengar - Mathematician, Founder of the department of mathematics

Rick Durrett (324 words) [view diff] case mismatch in snippet view article find links to article

(2002). 240 pp. ISBN 0-387-95435-X ; 2nd edition, 2008 Durrett, R. Stochastic Calculus: A Practical Introduction. CRC Press (1996). 341 pp. ISBN 0-8493-8071-5

Jean-François Le Gall (301 words) [view diff] case mismatch in snippet view article find links to article

ISBN 3-7643-6126-3 Le Gall, Jean-François, Brownian Motion, Martingales, and Stochastic Calculus. Graduate Texts in Mathematics. Springer International Publishing

Lévy distribution (1,371 words) [view diff] exact match in snippet view article find links to article

002879. PMID 18978870. Applebaum, D. "Lectures on Lévy processes and Stochastic calculus, Braunschweig; Lecture 2: Lévy processes" (PDF). University of Sheffield

Local time (mathematics) (1,315 words) [view diff] case mismatch in snippet view article

field Karatzas, Ioannis; Shreve, Steven (1991). Brownian Motion and Stochastic Calculus. Springer. Kallenberg (1997). Foundations of Modern Probability.

Rice's formula (504 words) [view diff] case mismatch in snippet view article find links to article

1007/978-0-387-48116-6. ISBN 978-0-387-48112-8. Grigoriu, Mircea (2002). Stochastic Calculus: Applications in Science and Engineering. p. 166. ISBN 978-0-817-64242-6

Joseph L. McCauley (210 words) [view diff] case mismatch in snippet view article find links to article

Markets: The New Financial Economics (2009). ISBN 978-0-521-42962-7 Stochastic Calculus and Differential Equations for Physics and Finance (2013). ISBN 978-0-521-76340-0

Girsanov theorem (1,568 words) [view diff] case mismatch in snippet view article find links to article

Wahrscheinlichkeit (in French). 39: 65–70. doi:10.1007/BF01844873. Notes on Stochastic Calculus which contain a simple outline proof of Girsanov's theorem.

Graduate Texts in Mathematics (5,056 words) [view diff] case mismatch in snippet view article find links to article

Lang (1987, 2nd ed., ISBN 978-0-387-96508-6) Brownian Motion and Stochastic Calculus, Ioannis Karatzas, Steven Shreve (2nd ed., 2000, ISBN 978-0-387-97655-6)

Doob decomposition theorem (1,468 words) [view diff] case mismatch in snippet view article find links to article

91006 Lamberton, Damien; Lapeyre, Bernard (2008), Introduction to Stochastic Calculus Applied to Finance, Chapman & Hall/CRC financial mathematics series

Subordinator (mathematics) (764 words) [view diff] exact match in snippet view article

ISBN 978-3-319-41596-3. Applebaum, D. "Lectures on Lévy processes and Stochastic calculus, Braunschweig; Lecture 2: Lévy processes" (PDF). University of Sheffield

Robert J. Vanderbei (1,084 words) [view diff] case mismatch in snippet view article find links to article

Commons Attribution/Share-Alike License. Vanderbei, R.J.: Toward a Stochastic Calculus for Several Markov Processes, PhD. Thesis, Cornell University, May

Σ-Algebra of τ-past (334 words) [view diff] case mismatch in snippet view article find links to article

answer that question. Karandikar, Rajeeva (2018). Introduction to Stochastic Calculus. Indian Statistical Institute Series. Singapore: Springer Nature

Anatoliy Skorokhod (710 words) [view diff] exact match in snippet view article find links to article

stochastic processes, vol. I by I. I. Gihman and A. V. Skorohod; Stochastic calculus and stochastic models by E. J. McShane; Mesures cylindriques, espaces

Infinitesimal generator (stochastic processes) (1,723 words) [view diff] case mismatch in snippet view article

Dynkin's formula Calin, Ovidiu (2015). An Informal Introduction to Stochastic Calculus with Applications. Singapore: World Scientific Publishing. p. 315

Hunt process (2,034 words) [view diff] case mismatch in snippet view article find links to article

1515/9783110889741. Applebaum, David (2009), Lévy Processes and Stochastic Calculus, Cambridge Studies in Advanced Mathematics, Cambridge University

Alice Guionnet (1,070 words) [view diff] exact match in snippet view article find links to article

completely asymmetric single exclusion process Large deviations and stochastic calculus for large random matrices, Probability Surveys vol. 1, p. 72-172

Lévy process (1,723 words) [view diff] case mismatch in snippet view article find links to article

1007/978-3-642-37632-0_2, ISBN 9783642376313 Lawler, Gregory (2014). "Stochastic Calculus: An Introduction with Applications" (PDF). Department of Mathematics

Doob's martingale inequality (2,106 words) [view diff] exact match in snippet view article find links to article

Karatzas, Ioannis; Shreve, Steven E. (1991). Brownian motion and stochastic calculus. Graduate Texts in Mathematics. Vol. 113 (Second edition of 1988

Michael Turelli (122 words) [view diff] case mismatch in snippet view article find links to article

Institutions University of California, Davis Thesis Random Environments, Stochastic Calculus and Limiting Similarity (1977) Doctoral advisor Joe Felsenstein

Jürgen Gärtner (985 words) [view diff] case mismatch in snippet view article find links to article

"Long-time behaviour of interacting diffusions". In J.R. Norris (ed.). Stochastic Calculus in Application: Symposium Proceedings (Cambridge UK, Spring 1987)

Change of variables (PDE) (1,813 words) [view diff] case mismatch in snippet view article

Methods of Classical Mechanics', for more details. J. Michael Steele, Stochastic Calculus and Financial Applications, Springer, New York, 2001 Huang, Weizhang;

Laurent Schwartz (2,004 words) [view diff] exact match in snippet view article find links to article

University Press, London, 1973. xii+393 pp. Semimartingales and their stochastic calculus on manifolds. Edited and with a preface by Ian Iscoe. Collection

Jacques Neveu (912 words) [view diff] exact match in snippet view article find links to article

Francis Comets: The Sherrington-Kirkpatrick model of spin glasses and stochastic calculus: the high temperature case. Communications in Mathematical Physics

Leonard Gross (1,137 words) [view diff] exact match in snippet view article find links to article

Malliavin, Paul: Hall's transform and the Segal-Bargmann map. Itô's stochastic calculus and probability theory, 73–116, Springer, Tokyo, 1996. Gross, Leonard:

Salih Neftçi (821 words) [view diff] exact match in snippet view article find links to article

Neftçi (1996) is the only readable book on stochastic calculus for beginners. It does not assume any knowledge about anything. It takes the reader very

Frederi Viens (1,368 words) [view diff] exact match in snippet view article find links to article

Frederi G. (July 2007). "Statistical aspects of the fractional stochastic calculus". The Annals of Statistics. 35 (3). arXiv:math/0609295. doi:10

Black–Scholes equation (2,715 words) [view diff] case mismatch in snippet view article find links to article

Hall. pp. 287–288. ISBN 978-0-13-505283-9. Shreve, Steven (2004). Stochastic Calculus for Finance II (1st ed.). Springer. pp. 268–272. ISBN 0-387-40101-6

Risk-neutral measure (2,684 words) [view diff] case mismatch in snippet view article find links to article

Walter de Gruyter. p. 6. ISBN 978-3-11-018346-7. Shreve, Steven E. Stochastic Calculus for Finance I The Binomial Asset Pricing Model. pp. 2–3. ISBN 978-0-387-22527-2

Hans Maassen (374 words) [view diff] exact match in snippet view article find links to article

information theory Development of an integral kernel approach to quantum stochastic calculus (‘Maassen kernels’) He has collaborated extensively with mathematicians

Finance (6,110 words) [view diff] exact match in snippet view article find links to article

tools and techniques are, correspondingly: for derivatives, Itô's stochastic calculus, simulation, and partial differential equations; see aside boxed

Lattice model (finance) (4,348 words) [view diff] case mismatch in snippet view article

(1st ed.). Risk Books. ISBN 978-1899332533. Steven Shreve (2004). Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. Springer. ISBN 978-0387249681

Rama Cont (2,041 words) [view diff] exact match in snippet view article find links to article

so-called Ito-Föllmer calculus, a pathwise counterpart of Ito's stochastic calculus. Subsequent work by Cont and Nicolas Perkowski extended the Ito-Föllmer

Gilbert E. Metcalf (2,420 words) [view diff] exact match in snippet view article find links to article

of uncertainty in tax policy and its impact on investment using stochastic calculus techniques and the work by Robert Pindyck and Avinash Dixit on irreversible

Poisson point process (15,356 words) [view diff] exact match in snippet view article find links to article

Banach Spaces. Springer, 2015. D. Applebaum. Lévy processes and stochastic calculus. Cambridge university press, 2009. E. F. Harding and R. Davidson

Poisson point process (15,356 words) [view diff] exact match in snippet view article find links to article

Banach Spaces. Springer, 2015. D. Applebaum. Lévy processes and stochastic calculus. Cambridge university press, 2009. E. F. Harding and R. Davidson

Langevin equation (5,246 words) [view diff] exact match in snippet view article find links to article

averaged behavior that are distinct from—but also equivalent to—the stochastic calculus inherent in the Langevin equation. A Fokker–Planck equation is a

William A Gardner (2,108 words) [view diff] exact match in snippet view article find links to article

book which emphasizes estimation in practice]. The two chapters on stochastic calculus and the theory of duality and ergodicity are two of the most accessible

Brownian model of financial markets (4,070 words) [view diff] exact match in snippet view article find links to article

Karatzas, Ioannis; Shreve, Steven E. (1991). Brownian motion and stochastic calculus. New York: Springer-Verlag. ISBN 0-387-97655-8. Mandelbrot, B.; Hudson

Stevens Institute of Technology (8,711 words) [view diff] exact match in snippet view article find links to article

to the concept and marketing of products, financial engineering (stochastic calculus, probability and statistics as descriptors of the dynamic behavior

Hilbert space (17,469 words) [view diff] case mismatch in snippet view article find links to article

Inc. Karatzas, Ioannis; Shreve, Steven (2019), Brownian Motion and Stochastic Calculus (2nd ed.), Springer, ISBN 978-0-387-97655-6 Kakutani, Shizuo (1939)

Exponential tilting (3,903 words) [view diff] case mismatch in snippet view article find links to article

Springer. p. 407. ISBN 978-0-387-30679-7. Steele, J. Michael (2001). Stochastic Calculus and Financial Applications. Springer. pp. 213–229. ISBN 978-1-4419-2862-7