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The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, general stochastic viability and invariance results, which can (and hopefully will) be applied directly to other fields, are described.

Applied mathematics. --- Engineering mathematics. --- Finance. --- Economics, Mathematical. --- Probabilities. --- Applications of Mathematics. --- Finance, general. --- Quantitative Finance. --- Probability Theory and Stochastic Processes.

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This monograph, unique in the literature, is the first to develop a mathematical theory of gravitational lensing. The theory applies to any finite number of deflector planes and highlights the distinctions between single and multiple plane lensing. Introductory material in Parts I and II present historical highlights and the astrophysical aspects of the subject. Among the lensing topics discussed are multiple quasars, giant luminous arcs, Einstein rings, the detection of dark matter and planets with lensing, time delays and the age of the universe (Hubble’s constant), microlensing of stars and quasars. The main part of the book---Part III---employs the ideas and results of singularity theory to put gravitational lensing on a rigorous mathematical foundation and solve certain key lensing problems. Results are published here for the first time. Mathematical topics discussed: Morse theory, Whitney singularity theory, Thom catastrophe theory, Mather stability theory, Arnold singularity theory, and the Euler characteristic via projectivized rotation numbers. These tools are applied to the study of stable lens systems, local and global geometry of caustics, caustic metamorphoses, multiple lens images, lensed image magnification, magnification cross sections, and lensing by singular and nonsingular deflectors. Examples, illustrations, bibliography and index make this a suitable text for an undergraduate/graduate course, seminar, or independent these project on gravitational lensing. The book is also an excellent reference text for professional mathematicians, mathematical physicists, astrophysicists, and physicists.

Differential geometry. Global analysis --- Physics. --- Applied mathematics. --- Engineering mathematics. --- Differential geometry. --- Astrophysics. --- Mathematical Methods in Physics. --- Applications of Mathematics. --- Differential Geometry. --- Astrophysics and Astroparticles. --- Astronomical physics --- Astronomy --- Cosmic physics --- Physics --- Differential geometry --- Engineering --- Engineering analysis --- Mathematical analysis --- Natural philosophy --- Philosophy, Natural --- Physical sciences --- Dynamics --- Mathematics

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A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes. .

Stochastic processes --- Lévy processes. --- Lévy processes --- 519.282 --- Random walks (Mathematics) --- Probabilities. --- Applied mathematics. --- Engineering mathematics. --- Operations research. --- Management science. --- Probability Theory and Stochastic Processes. --- Applications of Mathematics. --- Operations Research, Management Science. --- Quantitative business analysis --- Management --- Problem solving --- Operations research --- Statistical decision --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- Engineering --- Engineering analysis --- Mathematical analysis --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk

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This edited review book on Godunov methods contains 97 articles, all of which were presented at the international conference on Godunov Methods: Theory and Applications, held at Oxford in October 1999, to commemo­ rate the 70th birthday of the Russian mathematician Sergei K. Godunov. The meeting enjoyed the participation of 140 scientists from 20 countries; one of the participants commented: everyone is here, meaning that virtu­ ally everybody who had made a significant contribution to the general area of numerical methods for hyperbolic conservation laws, along the lines first proposed by Godunov in the fifties, was present at the meeting. Sadly, there were important absentees, who due to personal circumstance could not at­ tend this very exciting gathering. The central theme o{ the meeting, and of this book, was numerical methods for hyperbolic conservation laws fol­ lowing Godunov's key ideas contained in his celebrated paper of 1959. But Godunov's contributions to science are not restricted to Godunov's method.

Fluid dynamics --- Conservation laws (Mathematics) --- Differential equations, Hyperbolic --- Numerical solutions --- 536.24 --- -536.24 Heat transfer. Heat exchange. Heat transmission --- Heat transfer. Heat exchange. Heat transmission --- Hyperbolic differential equations --- 536.24 Heat transfer. Heat exchange. Heat transmission --- Differential equations, Partial --- Numerical analysis. --- Mathematics. --- History. --- Applied mathematics. --- Engineering mathematics. --- Mechanics. --- Numeric Computing. --- History of Mathematical Sciences. --- Applications of Mathematics. --- Classical Mechanics. --- Classical mechanics --- Newtonian mechanics --- Physics --- Dynamics --- Quantum theory --- Engineering --- Engineering analysis --- Mathematical analysis --- Annals --- Auxiliary sciences of history --- Math --- Science --- Mathematics

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This book is intended as a one-semester first course in probability and statistics, requiring only a knowledge of calculus. It will be useful for students majoring in a number of disciplines:for example,biology, computer science, electrical engineer­ ing, mathematics, and physics. Many good texts in probability and statistics are intended for a one-year course and consist of a large number of topics. In this book, the number of topics is dras­ tically reduced. We concentrate instead on several important concepts that every student should understand and be able to apply in an interesting and useful way. Thus statistics is introduced at an early stage. The presentation focuses on topics in probability and statistics and tries to min­ imize the difficulties students often have with calculus. Theory therefore is kept to a minimum and interesting examples are provided throughout. Chapter I contains the basic rules of probability and conditional probability with some interesting ap­ plications such asBayes' rule and the birthday problem. In Chapter 2 discrete and continuous random variables, expectation and variance are introduced. This chapter is mostly computational with a few probability concepts and many applications of calculus. In Chapters 3 and 4 we get to the heart of the subject: binomial distribu­ tion, normal approximation of the binomial, Poisson distribution, the Law of Large Numbers and the Central Limit Theorem. Wealso cover the Poisson approximation of the binomial (in a nonstandard way) and the Poisson scattering theorem.

Probabilities --- Mathematical statistics --- Probabilities. --- Mathematical statistics. --- 519.213 --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Risk --- Statistics, Mathematical --- Statistics --- Sampling (Statistics) --- 519.213 Probability distributions and densities. Normal distribution. Characteristic functions. Measures of dependence. Infinitely divisible laws. Stable laws --- Probability distributions and densities. Normal distribution. Characteristic functions. Measures of dependence. Infinitely divisible laws. Stable laws --- Statistical methods --- Statistics . --- Applied mathematics. --- Engineering mathematics. --- Probability Theory and Stochastic Processes. --- Statistical Theory and Methods. --- Applications of Mathematics. --- Engineering --- Engineering analysis --- Mathematical analysis --- Statistical analysis --- Statistical data --- Statistical science --- Econometrics