Heat Kernel Method and its Applications (Hardcover, 1st ed. 2015)

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.

General

Imprint:	Birkhauser Verlag AG
Country of origin:	Switzerland
Release date:	December 2015
First published:	2015
Authors:	Ivan Avramidi
Dimensions:	235 x 155 x 28mm (L x W x T)
Format:	Hardcover
Pages:	390
Edition:	1st ed. 2015
ISBN-13:	978-3-319-26265-9
Categories:	Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations Books > Science & Mathematics > Physics > Quantum physics (quantum mechanics) > General Promotions
LSN:	3-319-26265-3
Barcode:	9783319262659

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