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Damiano Brigo
Damiano Brigo (born Venice, Italy 1966) is a mathematician known for research in mathematical finance, filtering theory, stochastic analysis with differential geometry, probability theory and statistics, authoring more than 130 research publications and three monographs.Publications and citations page in From 2012 he serves as full professor with a chair in at the Department of Mathematics of |
Stochastic Differential Equation
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics and are used to model various behaviours of stochastic models such as stock prices,Musiela, M., and Rutkowski, M. (2004), Martingale Methods in Financial Modelling, 2nd Edition, Springer Verlag, Berlin. random growth models or physical systems that are subjected to thermal fluctuations. SDEs have a random differential that is in the most basic case random white noise calculated as the distributional derivative of a Brownian motion or more generally a semimartingale. However, other types of random behaviour are possible, such as jump processes like Lévy processes or semimartingales with jumps. Stochastic differential equations are in general neither differential equations nor random differential equations. Random differential equation ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematical Finance
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that require advanced quantitative techniques: derivatives pricing on the one hand, and risk and portfolio management on the other. Mathematical finance overlaps heavily with the fields of computational finance and financial engineering. The latter focuses on applications and modeling, often with the help of stochastic asset models, while the former focuses, in addition to analysis, on building tools of implementation for the models. Also related is quantitative investing, which relies on statistical and numerical models (and lately machine learning) as opposed to traditional fundamental analysis when managing portfolios. French mathematician Louis Bachelier's doctoral thesis, defended in 1900, is considered the first scholarly work on ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Projection Filters
Projection filters are a set of algorithms based on stochastic analysis and information geometry, or the differential geometric approach to statistics, used to find approximate solutions for Filtering problem (stochastic processes), filtering problems for nonlinear state-space systems. The filtering problem consists of estimating the unobserved signal of a random dynamical system from partial noisy observations of the signal. The objective is computing the probability distribution of the signal conditional on the history of the noise-perturbed observations. This distribution allows for calculations of all statistics of the signal given the history of observations. If this distribution has a density, the density satisfies Filtering problem (stochastic processes)#More advanced result: nonlinear filtering SPDE, specific stochastic partial differential equations (SPDEs) called Kushner-Stratonovich equation, or Zakai equation. It is known that the nonlinear filter density evolves in an ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ocean Dynamics
Ocean dynamics define and describe the flow of water within the oceans. Ocean temperature and motion fields can be separated into three distinct layers: mixed (surface) layer, upper ocean (above the thermocline), and deep ocean. Ocean dynamics has traditionally been investigated by sampling from instruments in situ. The mixed layer is nearest to the surface and can vary in thickness from 10 to 500 meters. This layer has properties such as temperature, salinity and dissolved oxygen which are uniform with depth reflecting a history of active turbulence (the atmosphere has an analogous planetary boundary layer). Turbulence is high in the mixed layer. However, it becomes zero at the base of the mixed layer. Turbulence again increases below the base of the mixed layer due to shear instabilities. At extratropical latitudes this layer is deepest in late winter as a result of surface cooling and winter storms and quite shallow in summer. Its dynamics is governed by turbulent mixing as ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Navigation
Navigation is a field of study that focuses on the process of monitoring and controlling the motion, movement of a craft or vehicle from one place to another.Bowditch, 2003:799. The field of navigation includes four general categories: land navigation, marine navigation, air navigation, aeronautic navigation, and space navigation. It is also the term of art used for the specialized knowledge used by navigators to perform navigation tasks. All navigational techniques involve locating the navigator's Position (geometry), position compared to known locations or patterns. Navigation, in a broader sense, can refer to any skill or study that involves the determination of position and Relative direction, direction. In this sense, navigation includes orienteering and pedestrian navigation. For marine navigation, this involves the safe movement of ships, boats and other nautical craft either on or underneath the water using positions from navigation equipment with appropriate nautical char ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Projection Filters
Projection filters are a set of algorithms based on stochastic analysis and information geometry, or the differential geometric approach to statistics, used to find approximate solutions for Filtering problem (stochastic processes), filtering problems for nonlinear state-space systems. The filtering problem consists of estimating the unobserved signal of a random dynamical system from partial noisy observations of the signal. The objective is computing the probability distribution of the signal conditional on the history of the noise-perturbed observations. This distribution allows for calculations of all statistics of the signal given the history of observations. If this distribution has a density, the density satisfies Filtering problem (stochastic processes)#More advanced result: nonlinear filtering SPDE, specific stochastic partial differential equations (SPDEs) called Kushner-Stratonovich equation, or Zakai equation. It is known that the nonlinear filter density evolves in an ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Manifold
In mathematics, a manifold is a topological space that locally resembles Euclidean space near each point. More precisely, an n-dimensional manifold, or ''n-manifold'' for short, is a topological space with the property that each point has a Neighbourhood (mathematics), neighborhood that is homeomorphic to an open (topology), open subset of n-dimensional Euclidean space. One-dimensional manifolds include Line (geometry), lines and circles, but not Lemniscate, self-crossing curves such as a figure 8. Two-dimensional manifolds are also called Surface (topology), surfaces. Examples include the Plane (geometry), plane, the sphere, and the torus, and also the Klein bottle and real projective plane. The concept of a manifold is central to many parts of geometry and modern mathematical physics because it allows complicated structures to be described in terms of well-understood topological properties of simpler spaces. Manifolds naturally arise as solution sets of systems of equations ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Nonlinear Filtering SPDE
In mathematics and science, a nonlinear system (or a non-linear system) is a system in which the change of the output is not proportional to the change of the input. Nonlinear problems are of interest to engineers, biologists, physicists, mathematicians, and many other scientists since most systems are inherently nonlinear in nature. Nonlinear dynamical systems, describing changes in variables over time, may appear chaotic, unpredictable, or counterintuitive, contrasting with much simpler linear systems. Typically, the behavior of a nonlinear system is described in mathematics by a nonlinear system of equations, which is a set of simultaneous equations in which the unknowns (or the unknown functions in the case of differential equations) appear as variables of a polynomial of degree higher than one or in the argument of a function which is not a polynomial of degree one. In other words, in a nonlinear system of equations, the equation(s) to be solved cannot be written as a linea ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stochastic Partial Differential Equation
Stochastic partial differential equations (SPDEs) generalize partial differential equations via random force terms and coefficients, in the same way ordinary stochastic differential equations generalize ordinary differential equations. They have relevance to quantum field theory, statistical mechanics, and spatial modeling. Examples One of the most studied SPDEs is the stochastic heat equation, which may formally be written as : \partial_t u = \Delta u + \xi\;, where \Delta is the Laplacian and \xi denotes space-time white noise. Other examples also include stochastic versions of famous linear equations, such as the wave equation and the Schrödinger equation. Discussion One difficulty is their lack of regularity. In one dimensional space, solutions to the stochastic heat equation are only almost 1/2-Hölder continuous in space and 1/4-Hölder continuous in time. For dimensions two and higher, solutions are not even function-valued, but can be made sense of as random d ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Information Geometry
Information geometry is an interdisciplinary field that applies the techniques of differential geometry to study probability theory and statistics. It studies statistical manifolds, which are Riemannian manifolds whose points correspond to probability distributions. Introduction Historically, information geometry can be traced back to the work of C. R. Rao, who was the first to treat the Fisher matrix as a Riemannian metric. The modern theory is largely due to Shun'ichi Amari, whose work has been greatly influential on the development of the field. Classically, information geometry considered a parametrized statistical model as a Riemannian manifold, Riemannian, conjugate connection, statistical, and dually flat manifolds. Unlike usual smooth manifolds with tensor metric and Levi-Civita connection, these take into account conjugate connection, torsion, and Amari-Chentsov metric. All presented above geometric structures find application in information theory and machine lea ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Nonlinear Filter
In signal processing, a nonlinear filter is a filter whose output is not a linear function of its input. That is, if the filter outputs signals and for two input signals and separately, but does not always output when the input is a linear combination . Both continuous-domain and discrete-domain filters may be nonlinear. A simple example of the former would be an electrical device whose output voltage at any moment is the square of the input voltage ; or which is the input clipped to a fixed range , namely . An important example of the latter is the running-median filter, such that every output sample is the median of the last three input samples . Like linear filters, nonlinear filters may be shift invariant or not. Non-linear filters have many applications, especially in the removal of certain types of noise that are not additive. For example, the median filter is widely used to remove spike noise — that affects only a small percentage of the samples, possibly b ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Swedish Defense Research Agency
The Swedish Defence Research Agency (, FOI; literal translation: ''Total Defence Research Institute'') is a government agency in Sweden for total defence research and development. FOI has its headquarters in Kista (Stockholm). Other FOI offices or research centres are located in Grindsjön, Linköping, and Umeå. History FOI was created in 2001 by combining the Swedish National Defence Research Institute (FOA) with the National Aeronautical Research Institute (FFA). The first of these agencies, FFA, had been created in 1940 in Bromma, Stockholm as a governmental research institute for the Swedish aviation industry, large parts of which were devoted to military aircraft. The second, FOA, had been created in 1945 from three existing organisations: * The Swedish Armed Forces Chemical Institute (''Försvarsväsendets kemiska anstalt'', FKA), a government agency created in 1937 and located in Ursvik, Sundbyberg Municipality. FKA had predecessors in chemical warfare and chemical wa ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
