منابع مشابه
of Diffusions and Financial Models
In this Ph.D. dissertation we deal with some issues of regularity and estimation of probability laws for diffusions with non-globally smooth coefficients, with particular focus on financial models. The analysis of probability laws for the solutions of Stochastic Differential Equations (SDEs) driven by the Brownian motion is among the main applications of the Malliavin calculus on the Wiener spa...
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We introduce darning of compact sets (darning and gluing of finite unions of compact sets), which are not thin at any of their points, in a potentialtheoretic framework which may be described, analytically, in terms of harmonic kernels/harmonic functions or, probabilistically, in terms of a diffusion. This is accomplished without leaving our kind of setting so that the procedure can be iterated...
متن کاملFree Diffusions and Property Ao
for a suitably locally convex multivariable *-polynomial V . Indeed, they were able to establish that such an SDE has a unique stationary distribution μV satisfying the Schwinger-Dyson equation μV ⊗ μV (∂iP ) = μV (DiV P ) where ∂i is the non-commutative partial difference quotient and Di is the cyclic partial derivative. By using the fact that they also had convergence in norm to this distribu...
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Within the algebraic framework of Hopf algebras, random walks and associated diffusion equations (master equations) are constructed and studied for two basic operator algebras of Quantum Mechanics i.e the Heisenberg-Weyl algebra (hw) and its q-deformed version hwq. This is done by means of functionals determined by the associated coherent state density operators. The ensuing master equations ad...
متن کاملTempered Langevin diffusions and algorithms
We consider a class of Langevin diffusions with state-dependent volatility. The volatility of the diffusion is chosen so as to make the stationary distribution of the diffusion with respect to its natural clock, a heated version of the stationary density of interest. The motivation behind this construction is the desire to construct uniformly ergodic diffusions with required stationary densitie...
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 1993
ISSN: 0022-247X
DOI: 10.1006/jmaa.1993.1135