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- 要約等...ability theory and functional ana......n to Malliavin calculus and infinite-dimen......mework of nonstandard analysis, w......both Malliavin calculus and nonstandard analysis. T......ain aspects of stochastic analysis and Malliavin calculus are incorporat......tein-Uhlenbeck processes both with valu......Wiener spaces, Lévy processes, multiple stochastic integrals, cha......rohod integral processes and Girsanov transformations. The...
- 内容細目...es; 3. Fourier and Laplace transf......; 6. Malliavin calculus on the space o......y; 10. Measure and integration on......tein-Uhlenbeck processes; 15. Lindstrøm......struction of standard Lévy processes from discrete ones; 16. Stochastic integration for Lévy processes; 17. Chaos dec......een derivative and integral; 21. ......rohod integral processes; 22. Girsanov ...... 23. Malliavin calculus for Lévy processes (Chaos, Mallia......rohod integral processes, Smooth repres......for derivative and limit, product-, chainrule, G...
- 件名Malliavin calculus. Lévy processes. Brownian motion processes. MATHEMATICS / Probability & ...
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- 要約等... on S4 classes and methods which ...... simulation of stochastic differential e......process, Lévy processes or fractional ...... well as CARMA processes. The package p......del selection, and so on. YUIMA also supports stochastic numerical anal......functionals of stochastic processes through automa...... the Malliavin calculus. All models ca......for simulation and inference of s......ral classes of stochastic processes and then presents ......on experiments and applications t......Although these processes have been orig......sed in physics and more recently ......ely downloaded and this companion......ns both theory and code with step-by-step exampl...
- 内容細目...lyi-Longstaff-Sanders Process (CK......olic Diffusion Processes; 2.2 More Abou......ltidimensional Processes 2.3.1 The Hest......ata Generation and Estimation by ......on for General Stochastic Processes; 3 Compound Poisson Processes; 3.1 Inhomogeneous Compound P...
- 件名Stochastic processes. Stochastic processes--Data processi......cs. Statistics and Computing/Stat......s. Probability and Statistics in ......ability Theory and Stochastic Processes.
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- 要約等...develops basic stochastic analysis ... and select applica......atural numbers and infinitesimals."--
- 内容細目Infinitesimal calculus, consistently and accessibly Rad......lly elementary stochastic integrals The ......rsanov theorem and the diffusion ......tô diffusions and associated par......heory of Lévy processes Excursion to l....... minimal nonstandard analysis.
- 件名Stochastic analysis. Nonstandard mathematical analysis.
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- 目次・記事...Kiyosi Ito/ ix Levy measure of superprocesses;Absorption processes/ 1 E.B.Dynkin ......ts formulae in stochastic analysis I/ 15......mooth measures and continuous add......f right Markov processes/ 31 P.J.Fitzsi....../ 51 M.Fukushima||M.Tomisaki Equi......ll's transform and the Segal-Barg......cess/ 117 K.Hara||Y.Takahashi Sho......me asymptotics and an approximati......ener integrals and Jacobi fields/ 141 N.Ikeda||S. Manabe Some ......enery along a random walk path/ 1....../ 185 S.Kotani Stochastic differential e......ons with jumps and stochastic flows of diffe......s/ 213 Kusuoka Calculus for multiplicative functional...
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- 目次・記事... Probabilistic and analytic appro...... 25 4． Complex stochastic Gaussian diffu......ian diffusions and scattering for......apid course in calculus of variations/......x Hamiltonians and calculus of variations ......-points/ 87 7． Stochastic Hamiltonians/ ......on asymptotics and large deviatio......enbeck process and stochastic geodesic flow/......symptotics for stochastic geodesic flow/......Green function and geometric inva......mpound Poisson processes/ 178 5． Stable-like processes/ 182 6． Applic......eller-Courrege processes 1． Maslov's tunnel equations and the Feller-Courrege processes/ 191 2． Rough local asymptoti...
- 件名拡散過程. 発展方程式. Diffusion processes. Evolution equations.
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- 目次・記事...ion 1 Purposes and Motivations 2 Problems and results II Inf......ngale Problems and Limit Theorems......ngale Problems and HÖlder Continu......to Equilibrium Processes III Existence and Smoothness of ......mp-type Markov Processes;Applications o......us 2 Malliavin Calculus for Jump-type Stochastic Differential E......ns 3 Existence and Smoothness of ...... Densities for Lévy Generators
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- 内容細目...ity to quantum stochastic calculus 2. Structure of quantum Lévy processes, classical probability and physics.
- 件名Probabilistic number theory. Stochastic analysis. Lévy processes.
紙デジタル記事
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- 件名...ndorff-Nielsen and Shephard models Stochastic volatility models Malliavin calculus Levy processes
- 参照Local risk-minimization for Barndorff-Nielsen and Shephard models
- 参照Lévy Processes in Finance Modelling by Lévy Processess for Financial......rics Malliavin Calculus in Lévy spaces and Applications t......ling with Jump Processes Option Pricing in Stochastic Volatility Mod......ing Approaches Stochastic Calculus of Variations for Jump Processes The Malliavin Calculus and Related Topics Canonical Lévy process and Malliavin calculus Non-Gaussian O......k-based Models and Some of Their ......nsional assets and payment streams
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- 要約等<jats:p>Lévy processes form a wide and rich class of random process, and have many appl......cs to finance. Stochastic calculus is the mathema......eracting with random noise. Here,......eral theory of Lévy processes, then leading ......to develop the stochastic calculus for Lévy processes in a direct and accessible way......ular variation and subexponential......ons; necessary and sufficient conditions for Lévy processes to have finite......cterisation of Lévy processes with finite va......for moments of Lévy type stochastic integrals; new......representation and martingale rep......ms for general Lévy processes; multiple Wiener-Lé...
- 参照...ion of ergodic Lévy driven SDE The......ctional order Random attractors for stochastic differential e......n by two-sided Lévy processes Least-squares ......ams method for stochastic differential e......ons with small Lévy noise A fast and accurate numer...... for symmetric Lévy processes based on the F......rier transform and sinc-Gauss sam......mes for -Paths and Bridges of Symmetric Lévy Processes The zero-mass ......divisible laws and related processes Pathwise uniqueness of stochastic differential e......ownian motions and finite variation Lévy processes Bootstrap meth......cified ergodic Lévy driven stochastic differentia...
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- 件名Lévy processes Stochastic integral equations
- 件名（識別子）Lévy processes Stochastic integral equations
- 一般注記...s (p. 431-448) and indexes
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- 参照...o Default in a Lévy Insurance Risk......te Dimensional Stochastic Differential E......ions Driven by Lévy Noises On the ......Zakai equation and the uniqueness of solutions
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- 件名Lévy processes Stochastic analysis
- 件名（識別子）Lévy processes Stochastic analysis
- 一般注記Includes bibliographical references (p. 360-374) and indexes
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- 件名Applied Mathematics Modeling and Simulation Statistics and Probability
- 参照...ndorff-Nielsen and Shephard model......nimization for Lévy markets A modi...... for canonical Lévy processes and its applicatio......OR EXPONENTIAL LÉVY MODELS On the ......isk-minimizing and delta hedging ......or exponential Lévy models A numer......ntial additive processes based on Malliavin calculus PRICING AND HEDGING OF VIX......NDORFF-NIELSEN AND SHEPHARD MODEL......ndorff-Nielsen and Shephard Models with Volatili...
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- 参照A modified Φ-Sobolev inequality for canonical Lévy processes and its applications
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- 件名Statistics, Probability and Uncertainty Finance Statistics and Probability
- 参照GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
- 出版者（掲載誌）Springer Science and Business Media LLC
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- 要約等...assical umbral calculus. The advantage...... of polynomial stochastic processes involving the ......with cumulants and Bell polynomia......nivariate case and multivariate one. Open proble...
- 件名Lévy processes time-space harmonic polynomials umbral calculus
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- 要約等<jats:p>Stochastic processes are an essenti......gy, chemistry, and finance. This ......a solid understanding of stochastic processes and stochastic calculus in physics, wi......cessary to use stochastic methods in res......he more exotic Levy processes is included, a......for simulating stochastic systems driven......o the concepts and jargon of meas......ntroduction to stochastic processes and their applicat......duate students and researchers in physics.</jats...
- 参照...hoton-counting and homodyne detec......tate reduction and the mutual influence of measu...
- 並列タイトル等（連結）Understanding Noisy Systems
デジタル記事
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- 要約等...sing Malliavin calculus for Lévy processes. For incomplet...... solution to a stochastic differential e......on driven by a Lévy process, we de......n derivatives; and calculate its ...... Asian options and lookback options. </jats:p>
- 参照...ndorff-Nielsen and Shephard model...... for canonical Lévy processes and its applicatio......OR EXPONENTIAL LÉVY MODELS APPROXI......NDORFF-NIELSEN AND SHEPHARD MODEL......isk-minimizing and delta hedging ......or exponential Lévy models A numer......ntial additive processes based on Malliavin calculus PRICING AND HEDGING OF VIX......NDORFF-NIELSEN AND SHEPHARD MODEL......k minimization and delta hedging ......or exponential Lévy models
- 参照Lévy Processes in Finance A l......contracts in a Lévy process financ......t Modelling by Lévy Processess for Financial......ownian motions and Poisson random measures ${\......}$-martingales and their applicat......of measure for Lévy processes with L^2-Lévy measure A Guid......ing Approaches Stochastic Calculus of Variations for Jump Processes Canonical Lévy process and Malliavin calculus Non-Gaussian O......k-based Models and Some of Their ......kets Driven by Lévy Processes Local risk-min......nsional assets and payment streams
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- 要約等<jats:p>We obtain a Hull and White type for......jump-diffusion stochastic volatility mod......e the involved stochastic volatility pro......sing Malliavin calculus techniques for Lévy processes on the canonical space. As an...
- 件名Applied Mathematics Modeling and Simulation Statistics and Probability
- 参照A modified Φ-Sobolev inequality for canonical Lévy processes and its applications