Functional Analytic Techniques For Diffusion Processes

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Functional Analytic Techniques For Diffusion Processes

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Author : Kazuaki Taira
language : en
Publisher: Springer Nature
Release Date : 2022-05-28

Functional Analytic Techniques For Diffusion Processes written by Kazuaki Taira and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-28 with Mathematics categories.

This book is an easy-to-read reference providing a link between functional analysis and diffusion processes. More precisely, the book takes readers to a mathematical crossroads of functional analysis (macroscopic approach), partial differential equations (mesoscopic approach), and probability (microscopic approach) via the mathematics needed for the hard parts of diffusion processes. This work brings these three fields of analysis together and provides a profound stochastic insight (microscopic approach) into the study of elliptic boundary value problems. The author does a massive study of diffusion processes from a broad perspective and explains mathematical matters in a more easily readable way than one usually would find. The book is amply illustrated; 14 tables and 141 figures are provided with appropriate captions in such a fashion that readers can easily understand powerful techniques of functional analysis for the study of diffusion processes in probability. The scope of the author’s work has been and continues to be powerful methods of functional analysis for future research of elliptic boundary value problems and Markov processes via semigroups. A broad spectrum of readers can appreciate easily and effectively the stochastic intuition that this book conveys. Furthermore, the book will serve as a sound basis both for researchers and for graduate students in pure and applied mathematics who are interested in a modern version of the classical potential theory and Markov processes. For advanced undergraduates working in functional analysis, partial differential equations, and probability, it provides an effective opening to these three interrelated fields of analysis. Beginning graduate students and mathematicians in the field looking for a coherent overview will find the book to be a helpful beginning. This work will be a major influence in a very broad field of study for a long time.

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.

Real Analysis Methods For Markov Processes

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Author : Kazuaki Taira
language : en
Publisher: Springer Nature
Release Date : 2024

Real Analysis Methods For Markov Processes written by Kazuaki Taira and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024 with Boundary value problems categories.

Zusammenfassung: This book is devoted to real analysis methods for the problem of constructing Markov processes with boundary conditions in probability theory. Analytically, a Markovian particle in a domain of Euclidean space is governed by an integro-differential operator, called the Waldenfels operator, in the interior of the domain, and it obeys a boundary condition, called the Ventcel (Wentzell) boundary condition, on the boundary of the domain. Most likely, a Markovian particle moves both by continuous paths and by jumps in the state space and obeys the Ventcel boundary condition, which consists of six terms corresponding to diffusion along the boundary, an absorption phenomenon, a reflection phenomenon, a sticking (or viscosity) phenomenon, and a jump phenomenon on the boundary and an inward jump phenomenon from the boundary. More precisely, we study a class of first-order Ventcel boundary value problems for second-order elliptic Waldenfels integro-differential operators. By using the Calderón-Zygmund theory of singular integrals, we prove the existence and uniqueness of theorems in the framework of the Sobolev and Besov spaces, which extend earlier theorems due to Bony-Courrège-Priouret to the vanishing mean oscillation (VMO) case. Our proof is based on various maximum principles for second-order elliptic differential operators with discontinuous coefficients in the framework of Sobolev spaces. My approach is distinguished by the extensive use of the ideas and techniques characteristic of recent developments in the theory of singular integral operators due to Calderón and Zygmund. Moreover, we make use of an Lp variant of an estimate for the Green operator of the Neumann problem introduced in the study of Feller semigroups by me. The present book is amply illustrated; 119 figures and 12 tables are provided in such a fashion that a broad spectrum of readers understand our problem and main results

Analysis For Diffusion Processes On Riemannian Manifolds

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Author : Feng-Yu Wang
language : en
Publisher: World Scientific
Release Date : 2014

Analysis For Diffusion Processes On Riemannian Manifolds written by Feng-Yu Wang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Mathematics categories.

Stochastic analysis on Riemannian manifolds without boundary has been well established. However, the analysis for reflecting diffusion processes and sub-elliptic diffusion processes is far from complete. This book contains recent advances in this direction along with new ideas and efficient arguments, which are crucial for further developments. Many results contained here (for example, the formula of the curvature using derivatives of the semigroup) are new among existing monographs even in the case without boundary.

Analysis And Geometry Of Markov Diffusion Operators

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Author : Dominique Bakry
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-18

Analysis And Geometry Of Markov Diffusion Operators written by Dominique Bakry 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 2013-11-18 with Mathematics categories.

The present volume is an extensive monograph on the analytic and geometric aspects of Markov diffusion operators. It focuses on the geometric curvature properties of the underlying structure in order to study convergence to equilibrium, spectral bounds, functional inequalities such as Poincaré, Sobolev or logarithmic Sobolev inequalities, and various bounds on solutions of evolution equations. At the same time, it covers a large class of evolution and partial differential equations. The book is intended to serve as an introduction to the subject and to be accessible for beginning and advanced scientists and non-specialists. Simultaneously, it covers a wide range of results and techniques from the early developments in the mid-eighties to the latest achievements. As such, students and researchers interested in the modern aspects of Markov diffusion operators and semigroups and their connections to analytic functional inequalities, probabilistic convergence to equilibrium and geometric curvature will find it especially useful. Selected chapters can also be used for advanced courses on the topic.

Inference For Diffusion Processes

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Author : Christiane Fuchs
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-01-18

Inference For Diffusion Processes written by Christiane Fuchs 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 2013-01-18 with Mathematics categories.

Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.

Stochastic Control By Functional Analysis Methods

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Author : A. Bensoussan
language : en
Publisher: Elsevier
Release Date : 2011-08-18

Stochastic Control By Functional Analysis Methods written by A. Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-18 with Mathematics categories.

Stochastic Control by Functional Analysis Methods

Ergodic Control Of Diffusion Processes

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Author : Ari Arapostathis
language : en
Publisher: Cambridge University Press
Release Date : 2012

Ergodic Control Of Diffusion Processes written by Ari Arapostathis 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 2012 with Mathematics categories.

The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control.

Functional Analytic Methods For Heat Green Operators

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Author : Kazuaki Taira
language : en
Publisher: Springer Nature
Release Date : 2024-09-18

Functional Analytic Methods For Heat Green Operators written by Kazuaki Taira and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-09-18 with Mathematics categories.

This monograph guides the reader to the mathematical crossroads of heat equations and differential geometry via functional analysis. Following the recent trend towards constructive methods in the theory of partial differential equations, it makes extensive use of the ideas and techniques from the Weyl–Hörmander calculus of pseudo-differential operators to study heat Green operators through concrete calculations for the Dirichlet, Neumann, regular Robin and hypoelliptic Robin boundary conditions. Further, it provides detailed coverage of important examples and applications in elliptic and parabolic problems, illustrated with many figures and tables. A unified mathematical treatment for solving initial boundary value problems for the heat equation under general Robin boundary conditions is desirable, and leads to an extensive study of various aspects of elliptic and parabolic partial differential equations. The principal ideas are explicitly presented so that a broad spectrum of readers can easily understand the problem and the main results. The book will be of interest to readers looking for a functional analytic introduction to the meeting point of partial differential equations, differential geometry and probability.

Generalized Diffusion Processes

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Author : Nikola_ Ivanovich Portenko
language : en
Publisher: American Mathematical Soc.
Release Date : 1990-12-21

Generalized Diffusion Processes written by Nikola_ Ivanovich Portenko and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-12-21 with Mathematics categories.

Diffusion processes serve as a mathematical model for the physical phenomenon of diffusion. One of the most important problems in the theory of diffusion processes is the development of methods for constructing these processes from a given diffusion matrix and a given drift vector. Focusing on the investigation of this problem, this book is intended for specialists in the theory of random processes and its applications. A generalized diffusion process (that is, a continuous Markov process for which the Kolmogorov local characteristics exist in the generalized sense) can serve as a model for diffusion in a medium moving in a nonregular way. The author constructs generalized diffusion processes under two assumptions: first, that the diffusion matrix is sufficiently regular; and second, that the drift vector is a function integrable to some power, or is a generalized function of the type of the derivative of a measure.