Lagrangian Transport in Geophysical Jets and Waves : The Dynamical Systems Approach
This book provides an accessible introduction to a new set of methods for the analysis of Lagrangian motion in geophysical flows. These methods were originally developed in the abstract mathematical setting of dynamical systems theory, through a geometric approach to differential equations. Despite the recent developments in this field and the existence of a substantial body of work on geophysical fluid problems in the dynamical systems and geophysical literature, this is the first introductory text that presents these methods in the context of geophysical fluid flow. The book is organized into seven chapters; the first introduces the geophysical context and the mathematical models of geophysical fluid flow that are explored in subsequent chapters. The second and third cover the simplest case of steady flow, develop basic mathematical concepts and definitions, and touch on some important topics from the classical theory of Hamiltonian systems. The fundamental elements and methods of Lagrangian transport analysis in time-dependent flows that are the main subject of the book are described in the fourth, fifth, and sixth chapters. The seventh chapter gives a brief survey of some of the rapidly evolving research in geophysical fluid dynamics that makes use of this new approach. Related supplementary material, including a glossary and an introduction to numerical methods, is given in the appendices.
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Malliavin Calculus for Lévy Processes with Applications to Finance
While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated. Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems.
Basic Probability Theory with Applications
This book presents elementary probability theory with interesting and well-chosen applications that illustrate the theory. An introductory chapter reviews the basic elements of differential calculus which are used in the material to follow. The theory is presented systematically, beginning with the main results in elementary probability theory. This is followed by material on random variables. Random vectors, including the all important central limit theorem, are treated next. The last three chapters concentrate on applications of this theory in the areas of reliability theory, basic queuing models, and time series. Examples are elegantly woven into the text and over 400 exercises reinforce the material and provide students with ample practice.
Numerical solution of Variational Inequalities by Adaptive Finite Elements
Franz-Theo Suttmeier describes a general approach to a posteriori error estimation and adaptive mesh design for finite element models where the solution is subjected to inequality constraints. This is an extension to variational inequalities of the so-called Dual-Weighted-Residual method (DWR method) which is based on a variational formulation of the problem and uses global duality arguments for deriving weighted a posteriori error estimates with respect to arbitrary functionals of the error. In these estimates local residuals of the computed solution are multiplied by sensitivity factors which are obtained from a numerically computed dual solution. The resulting local error indicators are used in a feed-back process for generating economical meshes which are tailored according to the particular goal of the computation.
Numerical Methods for Controlled Stochastic Delay Systems
The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. Because such problems are infinite-dimensional, many new issues arise in getting good numerical approximations and in the convergence proofs. Useful forms of numerical algorithms and system approximations are developed in this work, and the convergence proofs are given. All of the usual cost functions are treated as well as singular and impulsive controls. A major concern is on representations and approximations that use minimal memory.
