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Beyond The Triangle: Brownian Motion, Ito Calculus, And Fokker-planck Equation - Fractional Generalizations (Hardcover)
Loot Price: R2,524
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Beyond The Triangle: Brownian Motion, Ito Calculus, And Fokker-planck Equation - Fractional Generalizations (Hardcover)
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The book is devoted to the fundamental relationship between three
objects: a stochastic process, stochastic differential equations
driven by that process and their associated
Fokker-Planck-Kolmogorov equations. This book discusses wide
fractional generalizations of this fundamental triple relationship,
where the driving process represents a time-changed stochastic
process; the Fokker-Planck-Kolmogorov equation involves
time-fractional order derivatives and spatial pseudo-differential
operators; and the associated stochastic differential equation
describes the stochastic behavior of the solution process. It
contains recent results obtained in this direction.This book is
important since the latest developments in the field, including the
role of driving processes and their scaling limits, the forms of
corresponding stochastic differential equations, and associated FPK
equations, are systematically presented. Examples and important
applications to various scientific, engineering, and economics
problems make the book attractive for all interested researchers,
educators, and graduate students.
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