Excursions Of Markov Processes
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Excursions Of Markov Processes
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Author : Robert M. Blumenthal
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Excursions Of Markov Processes written by Robert M. Blumenthal 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 2012-12-06 with Mathematics categories.
Let {Xti t ~ O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "excursions away from 0," that is pieces of path X. : T ::5 s ::5 t, with Xr- = X = 0, but X. 1= 0 for T
Excursions Of Markov Processes
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Author : Robert McCallum Blumenthal
language : en
Publisher:
Release Date : 1992
Excursions Of Markov Processes written by Robert McCallum Blumenthal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Markov processes categories.
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.
Stochastic Processes And Point Processes Of Excursions
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Author : J. A. M. van der Weide
language : en
Publisher:
Release Date : 1994
Stochastic Processes And Point Processes Of Excursions written by J. A. M. van der Weide and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Markov processes categories.
Passage Times For Markov Chains
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Author : R. Syski
language : en
Publisher: SAGE Publications Limited
Release Date : 1992-12-31
Passage Times For Markov Chains written by R. Syski and has been published by SAGE Publications Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-12-31 with Mathematics categories.
This book is a survey of work on passage times in stable Markov chains with a discrete state space and a continuous time. Passage times have been investigated since early days of probability theory and its applications. The best known example is the first entrance time to a set, which embraces waiting times, busy periods, absorption problems, extinction phenomena, etc. Another example of great interest is the last exit time from a set. The book presents a unifying treatment of passage times, written in a systematic manner and based on modern developments. The appropriate unifying framework is provided by probabilistic potential theory, and the results presented in the text are interpreted from this point of view. In particular, the crucial role of the Dirichlet problem and the Poisson equation is stressed. The work is addressed to applied probalilists, and to those who are interested in applications of probabilistic methods in their own areas of interest. The level of presentation is that of a graduate text in applied stochastic processes. Hence, clarity of presentation takes precedence over secondary mathematical details whenever no serious harm may be expected. Advanced concepts described in the text gain nowadays growing acceptance in applied fields, and it is hoped that this work will serve as an useful introduction.
Seminar On Stochastic Processes 1982
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Author : Cinlar
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Seminar On Stochastic Processes 1982 written by Cinlar 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 2012-12-06 with Mathematics categories.
This volume consists of about half of the papers presented during a three-day seminar on stochastic processes held at Northwestern University in March 1982. This was the second of such yearly seminars aimed at bringing together a small group of researchers to discuss their current work in an informal atmosphere. The invited participants in this year's seminar were B. ATKINSON, R. BASS, K. BICHTELER, D. BURKHOLDER, K.L. CHUNG, J.L. DOOB, C. DOLEANS-DADE, H. FOLLMER, R.K. GETOOR, J. GLOVER, J. MITRO, D. MONRAD, E. PERKINS, J. PITMAN, Z. POP-STOJANOVIC, M.J. SHARPE, and J. WALSH. We thank them and the other participants for the lively atmosphere of the seminar. As mentioned above, the present volume is only a fragment of the work discussed at the seminar, the other work having been committed to other publications. The seminar was made possible through the enlightened support of the Air Force Office of Scientific Research, Grant No. 80-0252A. We are grateful to them as well as the publisher, Birkhauser, Boston, for their support and encouragement. E.C. , Evanston, 1983 Seminar on stochastic Processes, 1982 Birkhauser, Boston, 1983 GERM FIELDS AND A CONVERSE TO THE STRONG MARKOV PROPERTY by BRUCE W. ATKINSON 1. Introduction The purpose of this paper is to give an intrinsic characterization of optional (i.e., stopping) times for the general germ Markov process, which includes the general right process as a special case. We proceed from the general to the specific.
General Theory Of Markov Processes
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Author :
language : en
Publisher: Academic Press
Release Date : 1988-11-01
General Theory Of Markov Processes written by and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-11-01 with Mathematics categories.
General Theory of Markov Processes
Stochastic Processes And Applications To Mathematical Finance
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Author :
language : en
Publisher: World Scientific
Release Date : 2004
Stochastic Processes And Applications To Mathematical Finance written by and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"
Combinatorial Stochastic Processes
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Author : Jim Pitman
language : en
Publisher: Springer
Release Date : 2006-07-21
Combinatorial Stochastic Processes written by Jim Pitman and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-21 with Mathematics categories.
The purpose of this text is to bring graduate students specializing in probability theory to current research topics at the interface of combinatorics and stochastic processes. There is particular focus on the theory of random combinatorial structures such as partitions, permutations, trees, forests, and mappings, and connections between the asymptotic theory of enumeration of such structures and the theory of stochastic processes like Brownian motion and Poisson processes.