Jump SDEs and the study of their densities : a self-study book /: a self-study book. (2019)

• Record Type: Book
• Further Information: Note: Arturo Kohatsu-Higa, Atsushi Takeuchi.
• Authors: Kohatsu-Higa, Arturo; Takeuchi, Atsushi
• Contents: Review of some basic concepts of probability theory.- Simple Poisson process and its corresponding SDEs.- Compound Poisson process and its associated stochastic calculus.- Construction of Lévy processes and their corresponding SDEs: The finite variation case.- Construction of Lévy processes and their corresponding SDEs: The infinite variation case.- Multi-dimensional Lévy processes and their densities.- Flows associated with stochastic differential equations with jumps.- Overview.- Techniques to study the density.- Basic ideas for integration by parts formulas.- Sensitivity formulas.- Integration by parts: Norris method .- A non-linear example: The Boltzmann equation.- Further hints for the exercises.
• Publisher Details: Singapore : Springer
• Publication Date: 2019
• Extent: 1 online resource (xix, 355 pages), illustrations
• Subjects: 519.2/2; Stochastic differential equations; Lévy processes; Electronic books
• Languages: English
• ISBNs: 9789813297418; 9813297417
• Related ISBNs: 9789813297401
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed September 6, 2019).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.