Dirichlet Forms Methods for Poisson Point Measures and Levy Processes
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Dirichlet Forms Methods for Poisson Point Measures and Levy Processes
With Emphasis on the Creation-Annihilation Techniques
Denis, Laurent; Bouleau, Nicolas
Springer International Publishing AG
03/2019
323
Mole
Inglês
9783319798455
15 a 20 dias
528
Descrição não disponível.
Introduction.- Notations and Basic Analytical Properties.- 1.Reminders on Poisson Random Measures, Levy Processes and Dirichlet Forms.- 2.Dirichlet Forms and (EID).- 3.Construction of the Dirichlet Structure on the Upper Space.- 4.The Lent Particle Formula and Related Formulae.- 5.Sobolev Spaces and Distributions on Poisson Space.- 6.- Space-Time Setting and Processes.- 7.Applications to Stochastic Differential Equations driven by a Random Measure.- 8.Affine Processes, Rates Models.- 9.Non Poissonian Cases.- A.Error Structures.- B.The Co-Area Formula.- References.
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60H07, 60G57, 60G51, 60J45;Dirichlet forms;Levy processes;Malliavin calculus;lent particle method;random Poisson measures
Introduction.- Notations and Basic Analytical Properties.- 1.Reminders on Poisson Random Measures, Levy Processes and Dirichlet Forms.- 2.Dirichlet Forms and (EID).- 3.Construction of the Dirichlet Structure on the Upper Space.- 4.The Lent Particle Formula and Related Formulae.- 5.Sobolev Spaces and Distributions on Poisson Space.- 6.- Space-Time Setting and Processes.- 7.Applications to Stochastic Differential Equations driven by a Random Measure.- 8.Affine Processes, Rates Models.- 9.Non Poissonian Cases.- A.Error Structures.- B.The Co-Area Formula.- References.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
