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The heart of the book is the development of a short-time asymptotic expansion for the heat kernel. This is explained in detail and explicit examples of some advanced calculations are given. In addition some advanced methods and extensions, including path integrals, jump diffusion and others are presented.
The book consists of four parts: Analysis, Geometry, Perturbations and Applications. The first part shortly reviews of some background material and gives an introduction to PDEs. The second part is devoted to a short introduction to various aspects of differential geometry that will be needed later. The third part and heart of the book presents a systematic development of effective methods for various approximation schemes for parabolic differential equations. The last part is devoted to applications in financial mathematics, in particular, stochastic differential equations.
Although this book is intended for advanced undergraduate or beginning graduate students in, it should also provide a useful reference for professional physicists, applied mathematicians as well as quantitative analysts with an interest in PDEs.
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Book Description Birkh?user, 2015. Hardcover. Condition: New. Dispatched, from the UK, within 48 hours of ordering. This book is in Brand New condition. Seller Inventory # CHL2389077
Book Description Birkh?user, 2015. Condition: New. Num Pages: 409 pages, 17 colour illustrations, biography. BIC Classification: PBKJ; PHQ. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 24. Weight in Grams: 777. . 2015. 1st ed. 2015. Hardcover. . . . . . Seller Inventory # V9783319262659
Book Description Birkhäuser. Condition: New. Num Pages: 409 pages, 17 colour illustrations, biography. BIC Classification: PBKJ; PHQ. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 24. Weight in Grams: 777. . 2015. 1st ed. 2015. Hardcover. . . . . Books ship from the US and Ireland. Seller Inventory # V9783319262659
Book Description Birkhauser Verlag AG, 2016. Condition: New. book. Seller Inventory # ria9783319262659_rkm
Book Description Springer International Publishing 2015-11-28, Basel, 2015. hardback. Condition: New. Seller Inventory # 9783319262659
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Book Description Birkhauser Verlag AG, 2015. HRD. Condition: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # IP-9783319262659
Book Description BirkhÃ¤user, 2015. Hardback. Condition: NEW. 9783319262659 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Seller Inventory # HTANDREE0966489