Brownian Motion, Obstacles and Random Media

Author: Alain-Sol Sznitman

Publisher: Springer Science & Business Media

ISBN: 3662112817

Category: Mathematics

Page: 357

View: 3395

This book provides an account for the non-specialist of the circle of ideas, results and techniques, which grew out in the study of Brownian motion and random obstacles. It also includes an overview of known results and connections with other areas of random media, taking a highly original and personal approach throughout.

Dynamics and Randomness II

Author: Alejandro Maass,Servet Martínez,Jaime San Martín

Publisher: Springer Science & Business Media

ISBN: 140202469X

Category: Mathematics

Page: 228

View: 1216

Random Operators

Author: Michael Aizenman,Simone Warzel

Publisher: American Mathematical Soc.

ISBN: 1470419130

Category: Functional analysis -- Miscellaneous applications of functional analysis -- Applications in quantum physics

Page: 326

View: 1588

This book provides an introduction to the mathematical theory of disorder effects on quantum spectra and dynamics. Topics covered range from the basic theory of spectra and dynamics of self-adjoint operators through Anderson localization--presented here via the fractional moment method, up to recent results on resonant delocalization. The subject's multifaceted presentation is organized into seventeen chapters, each focused on either a specific mathematical topic or on a demonstration of the theory's relevance to physics, e.g., its implications for the quantum Hall effect. The mathematical chapters include general relations of quantum spectra and dynamics, ergodicity and its implications, methods for establishing spectral and dynamical localization regimes, applications and properties of the Green function, its relation to the eigenfunction correlator, fractional moments of Herglotz-Pick functions, the phase diagram for tree graph operators, resonant delocalization, the spectral statistics conjecture, and related results. The text incorporates notes from courses that were presented at the authors' respective institutions and attended by graduate students and postdoctoral researchers.

Random Polymer Models

Author: Giambattista Giacomin

Publisher: Imperial College Press

ISBN: 1860947867

Category: Technology & Engineering

Page: 242

View: 8919

This volume introduces readers to the world of disordered systems and to some of the remarkable probabilistic techniques developed in the field. The author explores in depth a class of directed polymer models to which much attention has been devoted in the last 25 years, in particular in the fields of physical and biological sciences. The models treated have been widely used in studying, for example, the phenomena of polymer pinning on a defect line, the behavior of copolymers in proximity to an interface between selective solvents and the DNA denaturation transition. In spite of the apparent heterogeneity of this list, in mathematical terms, a unified vision emerges. One is in fact dealing with the natural statistical mechanics systems built on classical renewal sequences by introducing one-body potentials. This volume is also a self-contained mathematical account of the state of the art for this class of statistical mechanics models.

Mathematical Reviews

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Mathematics

Page: N.A

View: 2821

Annales de l'I.H.P.

Probabilités et statistiques

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Probabilities

Page: N.A

View: 3290

Stochastic Analysis on Large Scale Interacting Systems

Author: Tadahisa Funaki,Hirofumi Osada

Publisher: Mathematical Soc of Japan

ISBN: N.A

Category: Mathematics

Page: 395

View: 839

This volume is a collection of 15 research and survey papers written by the speakers from two international conferences held in Japan, The 11th Mathematical Society of Japan International Research Institute's Stochastic Analysis on Large Scale Interacting Systems and Stochastic Analysis and Statistical Mechanics. Topics discussed in the volume cover the hydrodynamic limit, fluctuations, large deviations, spectral gap (Poincare inequality), logarithmic Sobolev inequality, Ornstein-Zernike asymptotics, random environments, determinantal expressions for systems including exclusion processes (stochastic lattice gas, Kawasaki dynamics), zero range processes, interacting Brownian particles, random walks, self-avoiding walks, Ginzburg-Landau model, interface models, Ising model, Widom-Rowlinson model, directed polymers, random matrices, Dyson's model, and more. The material is suitable for graduate students and researchers interested in probability theory, stochastic processes, and statistical mechanics.

Selected Aspects of Fractional Brownian Motion

Author: Ivan Nourdin

Publisher: Springer Science & Business Media

ISBN: 884702823X

Category: Mathematics

Page: 122

View: 4471

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously by a number of stochastic analysts, in various directions, using complementary and sometimes competing tools. This book is concerned with several aspects of fBm, including the stochastic integration with respect to it, the study of its supremum and its appearance as limit of partial sums involving stationary sequences, to name but a few. The book is addressed to researchers and graduate students in probability and mathematical statistics. With very few exceptions (where precise references are given), every stated result is proved.

Analysis for Science, Engineering and Beyond

The Tribute Workshop in Honour of Gunnar Sparr held in Lund, May 8-9, 2008

Author: Kalle Åström,Lars-Erik Persson,Sergei D. Silvestrov

Publisher: Springer Science & Business Media

ISBN: 3642202365

Category: Mathematics

Page: 348

View: 8020

This book project was initiated at The Tribute Workshop in Honour of Gunnar Sparr and the follow-up workshop Inequalities, Interpolation, Non-commutative, Analysis, Non-commutative Geometry and Applications INANGA08, held at the Centre for Mathematical Sciences, Lund University in May and November of 2008. The resulting book is dedicated in celebration of Gunnar Sparr's sixty-fifth anniversary and more than forty years of exceptional service to mathematics and its applications in engineering and technology, mathematics and engineering education, as well as interdisciplinary, industrial and international cooperation. This book presents new advances in several areas of mathematics and engineering mathematics including applications in modern technology, engineering and life sciences. Thirteen high-quality chapters put forward many new methods and results, reviews of up to date research and open directions and problems for future research. A special chapter by Gunnar Sparr and Georg Lindgren contains a historical account and important aspects of engineering mathematics research and education, and the implementation of the highly successful education programme in Engineering Mathematics at Lund Institute of Technology, where not only the mathematical sciences have played a role. This book will serve as a source of inspiration for a broad spectrum of researchers and research students.

Optimal Transport

Old and New

Author: Cédric Villani

Publisher: Springer Science & Business Media

ISBN: 3540710507

Category: Mathematics

Page: 976

View: 1028

At the close of the 1980s, the independent contributions of Yann Brenier, Mike Cullen and John Mather launched a revolution in the venerable field of optimal transport founded by G. Monge in the 18th century, which has made breathtaking forays into various other domains of mathematics ever since. The author presents a broad overview of this area, supplying complete and self-contained proofs of all the fundamental results of the theory of optimal transport at the appropriate level of generality. Thus, the book encompasses the broad spectrum ranging from basic theory to the most recent research results. PhD students or researchers can read the entire book without any prior knowledge of the field. A comprehensive bibliography with notes that extensively discuss the existing literature underlines the book’s value as a most welcome reference text on this subject.

Numerical Methods in Finance

Bordeaux, June 2010

Author: René Carmona,Pierre Del Moral,Peng Hu,Nadia Oudjane

Publisher: Springer Science & Business Media

ISBN: 3642257461

Category: Mathematics

Page: 474

View: 4884

Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.

The Craft of Probabilistic Modelling

A Collection of Personal Accounts

Author: J. Gani

Publisher: Springer Science & Business Media

ISBN: 1461386314

Category: Mathematics

Page: 313

View: 6932

This book brings together the personal accounts and reflections of nineteen mathematical model-builders, whose specialty is probabilistic modelling. The reader may well wonder why, apart from personal interest, one should commission and edit such a collection of articles. There are, of course, many reasons, but perhaps the three most relevant are: (i) a philosophicaJ interest in conceptual models; this is an interest shared by everyone who has ever puzzled over the relationship between thought and reality; (ii) a conviction, not unsupported by empirical evidence, that probabilistic modelling has an important contribution to make to scientific research; and finally (iii) a curiosity, historical in its nature, about the complex interplay between personal events and the development of a field of mathematical research, namely applied probability. Let me discuss each of these in turn. Philosophical Abstraction, the formation of concepts, and the construction of conceptual models present us with complex philosophical problems which date back to Democritus, Plato and Aristotle. We have all, at one time or another, wondered just how we think; are our thoughts, concepts and models of reality approxim&tions to the truth, or are they simply functional constructs helping us to master our environment? Nowhere are these problems more apparent than in mathematical model ling, where idealized concepts and constructions replace the imperfect realities for which they stand.

Random Obstacle Problems

École d'Été de Probabilités de Saint-Flour XLV - 2015

Author: Lorenzo Zambotti

Publisher: Springer

ISBN: 3319520962

Category: Mathematics

Page: 162

View: 3394

Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs. Inspired by the classical stochastic calculus for diffusions, which is unfortunately still unavailable in infinite dimensions, it uses integration by parts formulae on convex sets of paths in order to describe the behaviour of the solutions at the boundary and the contact set between the solution and the obstacle. The text may serve as an introduction to space-time white noise, SPDEs and monotone gradient systems. Numerous open research problems in both classical and new topics are proposed.

PDE and Martingale Methods in Option Pricing

Author: Andrea Pascucci

Publisher: Springer Science & Business Media

ISBN: 9788847017818

Category: Mathematics

Page: 721

View: 1977

This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.

Mathematics of Planet Earth

Proceedings of the 15th Annual Conference of the International Association for Mathematical Geosciences

Author: Eulogio Pardo-Igúzquiza,Carolina Guardiola-Albert,Javier Heredia,Luis Moreno-Merino,Juan José Durán,Jose Antonio Vargas-Guzmán

Publisher: Springer Science & Business Media

ISBN: 3642324088

Category: Science

Page: 861

View: 6000

It is widely recognized that the degree of development of a science is given by the transition from a mainly descriptive stage to a more quantitative stage. In this transition, qualitative interpretations (conceptual models) are complemented with quantification (numerical models, both, deterministic and stochastic). This has been the main task of mathematical geoscientists during the last forty years - to establish new frontiers and new challenges in the study and understanding of the natural world. Mathematics of Planet Earth comprises the proceedings of the International Association for Mathematical Geosciences Conference (IAMG2013), held in Madrid from September 2-6, 2013. The Conference addresses researchers, professionals and students. The proceedings contain more than 150 original contributions and give a multidisciplinary vision of mathematical geosciences.

Selected Works of Oded Schramm

Author: Itai Benjamini,Olle Häggström

Publisher: Springer Science & Business Media

ISBN: 1441996753

Category: Mathematics

Page: 1247

View: 811

This volume is dedicated to the memory of the late Oded Schramm (1961-2008), distinguished mathematician. Throughout his career, Schramm made profound and beautiful contributions to mathematics that will have a lasting influence. In these two volumes, Editors Itai Benjamini and Olle Häggström have collected some of his papers, supplemented with three survey papers by Steffen Rohde, Häggström and Cristophe Garban that further elucidate his work. The papers within are a representative collection that shows the breadth, depth, enthusiasm and clarity of his work, with sections on Geometry, Noise Sensitivity, Random Walks and Graph Limits, Percolation, and finally Schramm-Loewner Evolution. An introduction by the Editors and a comprehensive bibliography of Schramm's publications complete the volume. The book will be of especial interest to researchers in probability and geometry, and in the history of these subjects.