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

Brownian Motion, Ito Calculus, and Fokker-Planck Equation - Fractional Generalizations

Umarov, Sabir (Univ Of New Haven, Hahn, Marjorie (Tufts Univ, Kobayashi, Kei (Fordham Univ - Beyond The Triangle: Brownian Motion, Ito Calculus, And Fokker-planck Equation - Fractional Generalizations

Omschrijving

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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Schrijver: Umarov, Sabir (Univ Of New Haven, Hahn, Marjorie (Tufts Univ, Kobayashi, Kei (Fordham Univ
Titel: Beyond The Triangle: Brownian Motion, Ito Calculus, And Fokker-planck Equation - Fractional Generalizations
Uitgever: World Scientific Publishing Co Pte Ltd

Jaar: 2018
Taal: Engels
Pagina's: 192
Gewicht: 572 gr

EAN: 9789813230910
Afmetingen: 254 x 178 x 19 mm
Bindwijze: Hardback

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

Brownian Motion, Ito Calculus, and Fokker-Planck Equation - Fractional Generalizations

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