الصفحة 6
الصفحة 6
Interest Rate Models : an Infinite Dimensional Stochastic Analysis Perspective
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in infinite dimensions. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is a self-contained introduction to infinite dimensional stochastic analysis, including SDE in Hilbert spaces and Malliavin calculus. Part III presents some recent results in interest rate theory, including finite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.
Integral Methods in Science and Engineering : Theoretical and Practical Aspects
The quantitative and qualitative study of the physical world makes use of many mathematical models governed by a great diversity of ordinary, partial differential, integral, and integro-differential equations. An essential step in such investigations is the solution of these types of equations, which sometimes can be performed analytically, while at other times only numerically. This edited, self-contained volume presents a series of state-of-the-art analytic and numerical methods of solution constructed for important problems arising in science and engineering, all based on the powerful operation of (exact or approximate) integration.It covers a wide variety of topics, from the theoretical development of boundary integral methods to the application of integration-based analytic and numerical techniques that include integral equations, finite and boundary elements, conservation laws, hybrid approaches, and other procedures.
Integral Methods in Science and Engineering : Techniques and Applications
The physical world is studied by means of mathematical models, which consist of differential, integral, and integro-differential equations accompanied by a large assortment of initial and boundary conditions. In certain circumstances, such models yield exact analytic solutions. When they do not, they are solved numerically by means of various approximation schemes. Whether analytic or numerical, these solutions share a common feature: they are constructed by means of the powerful tool of integration—the focus of this self-contained book. This work illustrates the application of integral methods to diverse problems in mathematics, physics, biology, and engineering. The thirty two chapters of the book, written by scientists with established credentials in their fields, contain state-of-the-art information on current research in a variety of important practical disciplines.
Integral closure : Rees algebras, multiplicities, algorithms
Integral Closure gives an account of theoretical and algorithmic developments on the integral closure of algebraic structures. These are shared concerns in commutative algebra, algebraic geometry, number theory and the computational aspects of these fields. The overall goal is to determine and analyze the equations of the assemblages of the set of solutions that arise under various processes and algorithms. It gives a comprehensive treatment of Rees algebras and multiplicity theory - while pointing to applications in many other problem areas. Its main goal is to provide complexity estimates by tracking numerically invariants of the structures that may occur.
Integrable Hamiltonian Hierarchies : Spectral and Geometric Methods
This book presents a detailed derivation of the spectral properties of the Recursion Operators allowing one to derive all the fundamental properties of the soliton equations and to study their Hamiltonian hierarchies. Thus it is demonstrated that the inverse scattering method for solving soliton equations is a nonlinear generalization of the Fourier transform. The book brings together the spectral and the geometric approaches and as such will be useful to a wide readership: from researchers in the field of nonlinear completely integrable evolution equations to graduate and post-graduate students.
Instability in Models Connected with Fluid Flows II
Instability in Models Connected with Fluid Flows II presents chapters from world renowned specialists. The stability of mathematical models simulating physical processes is discussed in topics on control theory, first order linear and nonlinear equations, water waves, free boundary problems, large time asymptotics of solutions, stochastic equations, Euler equations, Navier-Stokes equations, and other PDEs of fluid mechanics. Fields covered include: the free surface Euler (or water-wave) equations, the Cauchy problem for transport equations, irreducible Chapman--Enskog projections and Navier-Stokes approximations, randomly forced PDEs, stability of equilibrium figures of uniformly rotating viscous incompressible liquid, Navier-Stokes equations in cylindrical domains, Navier-Stokes-Poisson flows in a vacuum.
Instability in Models Connected with Fluid Flows I
Instability in Models Connected with Fluid Flows I presents chapters from world renowned specialists. The stability of mathematical models simulating physical processes is discussed in topics on control theory, first order linear and nonlinear equations, water waves, free boundary problems, large time asymptotics of solutions, stochastic equations, Euler equations, Navier-Stokes equations, and other PDEs of fluid mechanics. Fields covered include: controllability and accessibility properties of the Navier- Stokes and Euler systems, nonlinear dynamics of particle-like wavepackets, attractors of nonautonomous Navier-Stokes systems, large amplitude monophase nonlinear geometric optics, existence results for 3D Navier-Stokes equations and smoothness results for 2D Boussinesq equations, instability of incompressible Euler equations, increased stability in the Cauchy problem for elliptic equations.
Indefinite Linear Algebra and Applications
This book is dedicated to relatively recent results in linear algebra with indefinite inner product. It also includes applications to differential and difference equations with symmetries, matrix polynomials and Riccati equations. These applications have been developed in the last fifty years, and all of them are based on linear algebra in spaces with indefinite inner product. The latter forms a new more or less independent branch of linear algebra and we gave it the name of indefinite linear algebra. This new subject in linear algebra is presented following the lines and principles of a standard linear algebra course. This book has the structure of a graduate text in which chapters of advanced linear algebra form the core. This together with the many significant applications and accessible style will make it widely useful for engineers, scientists and mathematicians alike.
Implementing Models in Quantitative Finance : Methods and Cases
This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives.
Image processing based on partial differential equations ; Proceedings of the International Conference on PDE-Based Image Processing and Related Inverse Problems, CMA, Oslo, August 8-12, 2005
The book contains twenty-two original scienti?c research articles that address the state-of-the-art in using partial di?erential equations for image and signal processing. The articles arose from presentations given at the inter- tional conference on PDE-Based Image Processing and Related Inverse Pr- lems, held at the Centre of Mathematics for Applications, University of Oslo, Norway, August 8-12, 2005.
Ideals, Varieties, and Algorithms : An Introduction to Computational Algebraic Geometry and Commutative Algebra
Algebraic Geometry is the study of systems of polynomial equations in one or more variables.The solutions of a system of polynomial equations form a geometric object called a variety; the corresponding algebraic object is an ideal. There is a close relationship between ideals and varieties which reveals the intimate link between algebra and geometry. Written at a level appropriate to undergraduates, this book covers such topics as the Hilbert Basis Theorem, the Nullstellensatz, invariant theory, projective geometry, and dimension theory.
Hypoelliptic estimates and spectral theory for Fokker-Planck operators and witten Laplacians
There has recently been a renewal of interest in Fokker-Planck operators, motivated by problems in statistical physics, in kinetic equations and differential geometry. Compared to more standard problems in the spectral theory of partial differential operators, those operators are not self-adjoint and only hypoelliptic. The aim of the analysis is to give, as generally as possible, an accurate qualitative and quantitative description of the exponential return to the thermodynamical equilibrium. While exploring and improving recent results in this direction this volume proposes a review of known techniques on: the hypoellipticity of polynomial of vector fields and its global counterpart; the global Weyl-Hörmander pseudo-differential calculus, the spectral theory of non-self-adjoint operators, the semi-classical analysis of Schrödinger-type operators.
Hyperbolic Problems and Regularity Questions
This book discusses new challenges in the quickly developing field of hyperbolic problems. Particular emphasis lies on the interaction between nonlinear partial differential equations, functional analysis and applied analysis as well as mechanics.The book originates from a recent conference focusing on hyperbolic problems and regularity questions. It is intended for researchers in functional analysis, PDE, fluid dynamics and differential geometry.
Hyperbolic Problems : Theory, Numerics, Applications ; Proceedings of the Eleventh International Conference on Hyperbolic Problems held in Ecole Normale Supérieure, Lyon, July 17-21, 2006
This volume contains papers that were presented at HYP2006, the eleventh international Conference on Hyperbolic Problems: Theory, Numerics and Applications held at the Ecole Normale Supérieure de Lyon, France, July 17-21, 2006. This biennial series of conferences has become one of the most important international events in Applied Mathematics. As computers became more and more powerful, the interplay between theory, modelling, and numerical algorithms gained considerable impact, and the scope of HYP conferences expanded accordingly. The field is currently in interaction with a variety of scientific domains, including fluid dynamics, physics, electromagnetism, chemistry, biology, road and network traffic, and engineering. Many of these papers present new effective numerical methods and their application in various contexts.
Hyberbolic Conservation Laws in Continuum Physics
This masterly exposition of the mathematical theory of hyperbolic system for conservation laws brings out the intimate connection with continuum thermodynamics, by emphasising issues in which the analysis may reveal something about the physics and, in return, the underlying physical structure may direct and drive the analysis.Theis edition contains chapter recounting the exciting recent developments on the vanishing viscosity method. Numerous new sections have been incorporated in preexisting chapters, to introduce newly derived results or present older material
Homotopy-Based Methods in Water Engineering
Exploring the concept of homotopy from topology, different kinds of homotopy-based methods have been proposed for analytically solving nonlinear differential equations, given by approximate series solutions. Homotopy-Based Methods in Water Engineering attempts to present the wide applicability of these methods to water engineering problems. It solves all kinds of nonlinear equations, namely algebraic/transcendental equations, ordinary differential equations (ODEs), systems of ODEs, partial differential equations (PDEs), system of PDEs, and integro-differential equations using the homotopy-based methods
Homogenization of Partial Differential Equations
Homogenization is a method for modeling processes in microinhomogeneous media, which are encountered in radiophysics, filtration theory, rheology, elasticity theory, and other domains of mechanics, physics, and technology. These processes are described by PDEs with rapidly oscillating coefficients or boundary value problems in domains with complex microstructure. From the technical point of view, given the complexity of these processes, the best techniques to solve a wide variety of problems involve constructing appropriate macroscopic (homogenized) models. The present monograph is a comprehensive study of homogenized problems, based on the asymptotic analysis of boundary value problems as the characteristic scales of the microstructure decrease to zero. The work focuses on the construction of nonstandard models: non-local models, multicomponent models, and models with memory.
History of Mathematics : A Supplement
This book attempts to fill two gaps which exist in the standard textbooks on the History of Mathematics. One is to provide students with material that could encourage more critical thinking. General textbooks, attempting to cover three thousand years of mathematical history, must necessarily oversimplify almost everything, the practice of which can scarcely promote a critical approach to the subject. For this reason, Craig Smorynski chooses a more narrow but deeper coverage of a few select topics. The second aim of this book is to include the proofs of important results which are typically neglected in the modern history of mathematics curriculum. The most obvious of these is the oft-cited necessity of introducing complex numbers in applying the algebraic solution of cubic equations. This solution, though it is now relegated to courses in the History of Mathematics, was a major occurrence in the history of mathematics.
H-infinity control for nonlinear descriptor systems
The authors present a study of the H-infinity control problem and related topics for descriptor systems, described by a set of nonlinear differential-algebraic equations. They derive necessary and sufficient conditions for the existence of a controller solving the standard nonlinear H-infinity control problem considering both state and output feedback. One such condition for the output feedback control problem to be solvable is obtained in terms of Hamilton–Jacobi inequalities and a weak coupling condition; a parameterization of output feedback controllers solving the problem is also provided. All of these results are then specialized to the linear case. The derivation of state-space formulae for all controllers solving the standard H-infinity control problem for descriptor systems is proposed. Among other important topics covered are balanced realization, reduced-order controller design and mixed H2/H-infinity control.
High-Pressure Shock Compression of Solids VIII : The Science and Technology of High-Velocity Impact
Research in the field of shock physics and ballistic impact has always been intimately tied to progress in development of facilities for accelerating projectiles to high velocity and instrumentation for recording impact phenomena. The chapters of this book, written by leading US and European experts, cover a broad range of topics and address researchers concerned with questions of material behaviour under impulsive loading and the equations of state of matter, as well as the design of suitable instrumentation such as gas guns and high-speed diagnostics. Applications include high-speed impact dynamics, the inner composition of planets, syntheses of new materials and materials processing. Among the more technologically-oriented applications treated is the testing of the flight characteristics of aeroballistic models and the assessment of impacts in the aerospace industry.
