Lectures From Markov Processes To Brownian Motion

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Lectures From Markov Processes To Brownian Motion

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Author : Kai Lai Chung
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11

Lectures From Markov Processes To Brownian Motion written by Kai Lai Chung 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 2013-11-11 with Mathematics categories.

This book evolved from several stacks of lecture notes written over a decade and given in classes at slightly varying levels. In transforming the over lapping material into a book, I aimed at presenting some of the best features of the subject with a minimum of prerequisities and technicalities. (Needless to say, one man's technicality is another's professionalism. ) But a text frozen in print does not allow for the latitude of the classroom; and the tendency to expand becomes harder to curb without the constraints of time and audience. The result is that this volume contains more topics and details than I had intended, but I hope the forest is still visible with the trees. The book begins at the beginning with the Markov property, followed quickly by the introduction of option al times and martingales. These three topics in the discrete parameter setting are fully discussed in my book A Course In Probability Theory (second edition, Academic Press, 1974). The latter will be referred to throughout this book as the Course, and may be considered as a general background; its specific use is limited to the mate rial on discrete parameter martingale theory cited in § 1. 4. Apart from this and some dispensable references to Markov chains as examples, the book is self-contained.

Green Brown And Probability And Brownian Motion On The Line

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Author : Kai Lai Chung
language : en
Publisher: World Scientific Publishing Company
Release Date : 2002-05-06

Green Brown And Probability And Brownian Motion On The Line written by Kai Lai Chung and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-05-06 with Mathematics categories.

This invaluable book consists of two parts. Part I is the second edition of the author's widely acclaimed publication Green, Brown, and Probability, which first appeared in 1995. In this exposition the author reveals, from a historical perspective, the beautiful relations between the Brownian motion process in probability theory and two important aspects of the theory of partial differential equations initiated from the problems in electricity — Green's formula for solving the boundary value problem of Laplace equations and the Newton–Coulomb potential. Part II of the book comprises lecture notes based on a short course on “Brownian Motion on the Line” which the author has given to graduate students at Stanford University. It emphasizes the methodology of Brownian motion in the relatively simple case of one-dimensional space. Numerous exercises are included.

Green Brown And Probability Brownian Motion On The Line

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Author : Kai Lai Chung
language : en
Publisher: World Scientific
Release Date : 2002

Green Brown And Probability Brownian Motion On The Line written by Kai Lai Chung and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Mathematics categories.

This invaluable book consists of two parts. Part I is the second edition of the author's widely acclaimed publication Green, Brown, and Probability, which first appeared in 1995. In this exposition the author reveals, from a historical perspective, the beautiful relations between the Brownian motion process in probability theory and two important aspects of the theory of partial differential equations initiated from the problems in electricity ? Green's formula for solving the boundary value problem of Laplace equations and the Newton-Coulomb potential.Part II of the book comprises lecture notes based on a short course on ?Brownian Motion on the Line? which the author has given to graduate students at Stanford University. It emphasizes the methodology of Brownian motion in the relatively simple case of one-dimensional space. Numerous exercises are included.

Lectures On Stochastic Processes

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Author : Kiyosi Itō
language : en
Publisher: Springer
Release Date : 1984

Lectures On Stochastic Processes written by Kiyosi Itō and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Markov Processes categories.

Green Brown And Probability

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Author : Kai Lai Chung
language : en
Publisher: World Scientific
Release Date : 1995-10-18

Green Brown And Probability written by Kai Lai Chung and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-10-18 with Mathematics categories.

This volume shows modern probabilistic methods in action: Brownian Motion Process as applied to the electrical phenomena investigated by Green et al., beginning with the Newton-Coulomb potential and ending with solutions by first and last exits of Brownian paths from conductors.

Markov Processes Brownian Motion And Time Symmetry

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Author : Kai Lai Chung
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-18

Markov Processes Brownian Motion And Time Symmetry written by Kai Lai Chung 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 2006-01-18 with Mathematics categories.

From the reviews of the First Edition: "This excellent book is based on several sets of lecture notes written over a decade and has its origin in a one-semester course given by the author at the ETH, Zürich, in the spring of 1970. The author's aim was to present some of the best features of Markov processes and, in particular, of Brownian motion with a minimum of prerequisites and technicalities. The reader who becomes acquainted with the volume cannot but agree with the reviewer that the author was very successful in accomplishing this goal...The volume is very useful for people who wish to learn Markov processes but it seems to the reviewer that it is also of great interest to specialists in this area who could derive much stimulus from it. One can be convinced that it will receive wide circulation." (Mathematical Reviews) This new edition contains 9 new chapters which include new exercises, references, and multiple corrections throughout the original text.

Ten Lectures On Random Media

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Author : Erwin Bolthausen
language : en
Publisher: Birkhäuser
Release Date : 2012-12-06

Ten Lectures On Random Media written by Erwin Bolthausen and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

The following notes grew out oflectures held during the DMV-Seminar on Random Media in November 1999 at the Mathematics Research Institute of Oberwolfach, and in February-March 2000 at the Ecole Normale Superieure in Paris. In both places the atmosphere was very friendly and stimulating. The positive response of the audience was encouragement enough to write up these notes. I hope they will carryover the enjoyment of the live lectures. I whole heartedly wish to thank Profs. Matthias Kreck and Jean-Franc;ois Le Gall who were respon sible for these two very enjoyable visits, Laurent Miclo for his comments on an earlier version of these notes, and last but not least Erwin Bolthausen who was my accomplice during the DMV-Seminar. A Brief Introduction The main theme of this series of lectures are "Random motions in random me dia". The subject gathers a variety of probabilistic models often originated from physical sciences such as solid state physics, physical chemistry, oceanography, biophysics . . . , in which typically some diffusion mechanism takes place in an inho mogeneous medium. Randomness appears at two levels. It comes in the description of the motion of the particle diffusing in the medium, this is a rather traditional point of view for probability theory; but it also comes in the very description of the medium in which the diffusion takes place.

Markov Processes Brownian Motion And Time Symmetry

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Author : Kai Lai Chung
language : en
Publisher: Springer
Release Date : 2008-11-01

Markov Processes Brownian Motion And Time Symmetry written by Kai Lai Chung and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-01 with Mathematics categories.

From the reviews of the First Edition: "This excellent book is based on several sets of lecture notes written over a decade and has its origin in a one-semester course given by the author at the ETH, Zürich, in the spring of 1970. The author's aim was to present some of the best features of Markov processes and, in particular, of Brownian motion with a minimum of prerequisites and technicalities. The reader who becomes acquainted with the volume cannot but agree with the reviewer that the author was very successful in accomplishing this goal...The volume is very useful for people who wish to learn Markov processes but it seems to the reviewer that it is also of great interest to specialists in this area who could derive much stimulus from it. One can be convinced that it will receive wide circulation." (Mathematical Reviews) This new edition contains 9 new chapters which include new exercises, references, and multiple corrections throughout the original text.

Lectures On The Coupling Method

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Author : Torgny Lindvall
language : en
Publisher: Courier Corporation
Release Date : 2012-08-15

Lectures On The Coupling Method written by Torgny Lindvall and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-15 with Mathematics categories.

Practical and easy-to-use reference progresses from simple to advanced topics, covering, among other topics, renewal theory, Markov chains, Poisson approximation, ergodicity, and Strassen's theorem. 1992 edition.

Brownian Motion And Stochastic Processes

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Author : Shizuo Kakutani
language : en
Publisher:
Release Date : 1974

Brownian Motion And Stochastic Processes written by Shizuo Kakutani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974 with Brownian motion processes categories.