Diffusions Markov Processes And Martingales
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Diffusions Markov Processes And Martingales Volume 1 Foundations
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Author : L. C. G. Rogers
language : en
Publisher: Cambridge University Press
Release Date : 2000-04-13
Diffusions Markov Processes And Martingales Volume 1 Foundations written by L. C. G. Rogers and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-04-13 with Mathematics categories.
Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors' aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively and readable account of the theory of Markov processes. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
Diffusions Markov Processes And Martingales It Calculus
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Author : L. C. G. Rogers
language : en
Publisher: Cambridge University Press
Release Date : 2000
Diffusions Markov Processes And Martingales It Calculus written by L. C. G. Rogers and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Brownian motion processes categories.
This celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Much effort has gone into making these subjects as accessible as possible by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
Diffusions Markov Processes And Martingales Volume 1 Foundations
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Author : L. C. G. Rogers
language : en
Publisher: Cambridge University Press
Release Date : 2000-04-13
Diffusions Markov Processes And Martingales Volume 1 Foundations written by L. C. G. Rogers and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-04-13 with Mathematics categories.
Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors' aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively and readable account of the theory of Markov processes. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
Probability With Martingales
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Author : David Williams
language : en
Publisher: Cambridge University Press
Release Date : 1991-02-14
Probability With Martingales written by David Williams and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-02-14 with Mathematics categories.
This is a masterly introduction to the modern, and rigorous, theory of probability. The author emphasises martingales and develops all the necessary measure theory.
Fluctuations In Markov Processes
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Author : Tomasz Komorowski
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-07-05
Fluctuations In Markov Processes written by Tomasz Komorowski and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-05 with Mathematics categories.
The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses. The second concerns application to exclusion processes, in which the duality methods are fully exploited. The third part is about the homogenization of diffusions in random fields, including passive tracers in turbulent flows (including the superdiffusive behavior). There are no other books in the mathematical literature that deal with this kind of approach to the problem of the central limit theorem. Hence, this volume meets the demand for a monograph on this powerful approach, now widely used in many areas of probability and mathematical physics. The book also covers the connections with and application to hydrodynamic limits and homogenization theory, so besides probability researchers it will also be of interest also to mathematical physicists and analysts.
Multidimensional Diffusion Processes
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Author : Daniel W. Stroock
language : en
Publisher: Springer
Release Date : 2007-02-03
Multidimensional Diffusion Processes written by Daniel W. Stroock and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-02-03 with Mathematics categories.
"This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. This approach was initiated by Stroock and Varadhan in their famous papers. (...) The proofs and techniques are presented in such a way that an adaptation in other contexts can be easily done. (...) The reader must be familiar with standard probability theory and measure theory which are summarized at the beginning of the book. This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik, 1981
Markov Processes
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Author : Stewart N. Ethier
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-25
Markov Processes written by Stewart N. Ethier and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-25 with Mathematics categories.
The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "[A]nyone who works with Markov processes whose state space is uncountably infinite will need this most impressive book as a guide and reference." -American Scientist "There is no question but that space should immediately be reserved for [this] book on the library shelf. Those who aspire to mastery of the contents should also reserve a large number of long winter evenings." -Zentralblatt für Mathematik und ihre Grenzgebiete/Mathematics Abstracts "Ethier and Kurtz have produced an excellent treatment of the modern theory of Markov processes that [is] useful both as a reference work and as a graduate textbook." -Journal of Statistical Physics Markov Processes presents several different approaches to proving weak approximation theorems for Markov processes, emphasizing the interplay of methods of characterization and approximation. Martingale problems for general Markov processes are systematically developed for the first time in book form. Useful to the professional as a reference and suitable for the graduate student as a text, this volume features a table of the interdependencies among the theorems, an extensive bibliography, and end-of-chapter problems.
Diffusions Markov Processes And Martingales
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Author : L Rogers (C. G.)
language : en
Publisher:
Release Date : 2001
Diffusions Markov Processes And Martingales written by L Rogers (C. G.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Stochastic Processes And Applications
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Author : Grigorios A. Pavliotis
language : en
Publisher: Springer
Release Date : 2014-11-19
Stochastic Processes And Applications written by Grigorios A. Pavliotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-19 with Mathematics categories.
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Diffusions Markov Processes And Martingales
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Author : David Williams
language : en
Publisher:
Release Date : 1979
Diffusions Markov Processes And Martingales written by David Williams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with categories.