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Dirichlet forms methods for Poisson point measures and Levy processes[electronic resource] :with emphasis on the creation-annihilation techniques /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	519.22
書名/作者:	Dirichlet forms methods for Poisson point measures and Levy processes : with emphasis on the creation-annihilation techniques // by Nicolas Bouleau, Laurent Denis.
作者:	Bouleau, Nicolas.
其他作者:	Denis, Laurent.
出版者:	Cham : : Springer International Publishing :, 2015.
面頁冊數:	xviii, 323 p. : : ill., digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Dirichlet forms.
標題:	Poisson processes.
標題:	Levy processes.
標題:	Mathematics.
標題:	Probability Theory and Stochastic Processes.
ISBN:	9783319258201
ISBN:	9783319258188
內容註:	Introduction -- Notations and Basic Analytical Properties -- 1.Reminders on Poisson Random Measures, Levy Processes and Dirichlet Forms -- 2.Dirichlet Forms and (EID) -- 3.Construction of the Dirichlet Structure on the Upper Space -- 4.The Lent Particle Formula and Related Formulae -- 5.Sobolev Spaces and Distributions on Poisson Space -- 6 -- Space-Time Setting and Processes -- 7.Applications to Stochastic Differential Equations driven by a Random Measure -- 8.Affine Processes, Rates Models -- 9.Non Poissonian Cases -- A.Error Structures -- B.The Co-Area Formula -- References.
摘要、提要註:	A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the "lent particle method" it is based on perturbation of the position of particles. Poisson random measures describe phenomena involving random jumps (for instance in mathematical finance) or the random distribution of particles (as in statistical physics) Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals. The method gives rise to a new explicit calculus that they illustrate on various examples: it consists in adding a particle and then removing it after computing the gradient. Using this method, one can establish absolute continuity of Poisson functionals such as Levy areas, solutions of SDEs driven by Poisson measure and, by iteration, obtain regularity of laws. The authors also give applications to error calculus theory. This book will be of interest to researchers and graduate students in the fields of stochastic analysis and finance, and in the domain of statistical physics. Professors preparing courses on these topics will also find it useful. The prerequisite is a knowledge of probability theory.
電子資源:	http://dx.doi.org/10.1007/978-3-319-25820-1

Dirichlet forms methods for Poisson point measures and Levy processes[electronic resource] :with emphasis on the creation-annihilation techniques /
Bouleau, Nicolas.

Dirichlet forms methods for Poisson point measures and Levy processeswith emphasis on the creation-annihilation techniques /[electronic resource] :by Nicolas Bouleau, Laurent Denis. - Cham :Springer International Publishing :2015. - xviii, 323 p. :ill., digital ;24 cm. - Probability theory and stochastic modelling,v.762199-3130 ;. - Probability theory and stochastic modelling ;v.70..

Introduction -- Notations and Basic Analytical Properties -- 1.Reminders on Poisson Random Measures, Levy Processes and Dirichlet Forms -- 2.Dirichlet Forms and (EID) -- 3.Construction of the Dirichlet Structure on the Upper Space -- 4.The Lent Particle Formula and Related Formulae -- 5.Sobolev Spaces and Distributions on Poisson Space -- 6 -- Space-Time Setting and Processes -- 7.Applications to Stochastic Differential Equations driven by a Random Measure -- 8.Affine Processes, Rates Models -- 9.Non Poissonian Cases -- A.Error Structures -- B.The Co-Area Formula -- References.

A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the "lent particle method" it is based on perturbation of the position of particles. Poisson random measures describe phenomena involving random jumps (for instance in mathematical finance) or the random distribution of particles (as in statistical physics) Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals. The method gives rise to a new explicit calculus that they illustrate on various examples: it consists in adding a particle and then removing it after computing the gradient. Using this method, one can establish absolute continuity of Poisson functionals such as Levy areas, solutions of SDEs driven by Poisson measure and, by iteration, obtain regularity of laws. The authors also give applications to error calculus theory. This book will be of interest to researchers and graduate students in the fields of stochastic analysis and finance, and in the domain of statistical physics. Professors preparing courses on these topics will also find it useful. The prerequisite is a knowledge of probability theory.

ISBN: 9783319258201

Standard No.: 10.1007/978-3-319-25820-1doiSubjects--Topical Terms:

636573
Dirichlet forms.

LC Class. No.: QA274.2 / .B684 2015

Dewey Class. No.: 519.22

Dirichlet forms methods for Poisson point measures and Levy processes[electronic resource] :with emphasis on the creation-annihilation techniques /
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505 0 $a Introduction -- Notations and Basic Analytical Properties -- 1.Reminders on Poisson Random Measures, Levy Processes and Dirichlet Forms -- 2.Dirichlet Forms and (EID) -- 3.Construction of the Dirichlet Structure on the Upper Space -- 4.The Lent Particle Formula and Related Formulae -- 5.Sobolev Spaces and Distributions on Poisson Space -- 6 -- Space-Time Setting and Processes -- 7.Applications to Stochastic Differential Equations driven by a Random Measure -- 8.Affine Processes, Rates Models -- 9.Non Poissonian Cases -- A.Error Structures -- B.The Co-Area Formula -- References.
520 $a A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the "lent particle method" it is based on perturbation of the position of particles. Poisson random measures describe phenomena involving random jumps (for instance in mathematical finance) or the random distribution of particles (as in statistical physics) Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals. The method gives rise to a new explicit calculus that they illustrate on various examples: it consists in adding a particle and then removing it after computing the gradient. Using this method, one can establish absolute continuity of Poisson functionals such as Levy areas, solutions of SDEs driven by Poisson measure and, by iteration, obtain regularity of laws. The authors also give applications to error calculus theory. This book will be of interest to researchers and graduate students in the fields of stochastic analysis and finance, and in the domain of statistical physics. Professors preparing courses on these topics will also find it useful. The prerequisite is a knowledge of probability theory.
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