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 Diffusion Processes with Reflection In recent years diffusion processes with reflection have been subject of active research in the field of probability theory and stochastic analysis,
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Diffusion Processes with Reflection

автор Sebastian A. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 120        мягкая обложка       
Аннотация:In recent years diffusion processes with reflection have been subject of active research in the field of probability theory and stochastic analysis, where such reflected processes arise in quite various manners. Moreover, we prove regularity properties of the approximating system, in particular Feller properties, using tools from harmonic analysis on weighted Sobolev spaces. More precisely, we introduce a reversible particle system, whose associated empirical measure process converges weakly to the Wasserstein diffusion in the high-density limit. In the second part a particle approximation of the Wasserstein diffusion is established, where the approximating process can be intepreted as a system of interacting Bessel processes with small Bessel dimension. The present work deals with two rather different types of reflected diffusion processes. In the first part we prove pathwise differentiabilty results for Skorohod SDEs with respect to the initial condition, in particular we consider processes on convex polyhedrons with oblique reflection at the boundary as well as processes on bounded smooth domains with normal reflection.
Автор: Sebastian A.
Издательство: Книга по Требованию
Год:2009
Цена:
2361 руб
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Поиск: Diffusion Processes with Reflection
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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