Markov Processes Semigroups And Generators
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Markov Processes Semigroups And Generators
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Author : Vassili N. Kolokoltsov
language : en
Publisher: Walter de Gruyter
Release Date : 2011
Markov Processes Semigroups And Generators written by Vassili N. Kolokoltsov and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Mathematics categories.
This work offers a highly useful, well developed reference on Markov processes, the universal model for random processes and evolutions. The wide range of applications, in exact sciences as well as in other areas like social studies, require a volume that offers a refresher on fundamentals before conveying the Markov processes and examples for
Markov Processes Semigroups And Generators
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Author : Vassili N. Kolokoltsov
language : en
Publisher: Walter de Gruyter
Release Date : 2011-03-29
Markov Processes Semigroups And Generators written by Vassili N. Kolokoltsov and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-29 with Mathematics categories.
Markov processes represent a universal model for a large variety of real life random evolutions. The wide flow of new ideas, tools, methods and applications constantly pours into the ever-growing stream of research on Markov processes that rapidly spreads over new fields of natural and social sciences, creating new streamlined logical paths to its turbulent boundary. Even if a given process is not Markov, it can be often inserted into a larger Markov one (Markovianization procedure) by including the key historic parameters into the state space. This monograph gives a concise, but systematic and self-contained, exposition of the essentials of Markov processes, together with recent achievements, working from the "physical picture" - a formal pre-generator, and stressing the interplay between probabilistic (stochastic differential equations) and analytic (semigroups) tools. The book will be useful to students and researchers. Part I can be used for a one-semester course on Brownian motion, Lévy and Markov processes, or on probabilistic methods for PDE. Part II mainly contains the author's research on Markov processes. From the contents: Tools from Probability and Analysis Brownian motion Markov processes and martingales SDE, ψDE and martingale problems Processes in Euclidean spaces Processes in domains with a boundary Heat kernels for stable-like processes Continuous-time random walks and fractional dynamics Complex chains and Feynman integral
Generators Of Markov Chains
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Author : Adam Bobrowski
language : en
Publisher: Cambridge University Press
Release Date : 2021
Generators Of Markov Chains written by Adam Bobrowski 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 2021 with Mathematics categories.
A clear explanation of what an explosive Markov chain does after it passes through all available states in finite time.
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.
Markov Processes Feller Semigroups And Evolution Equations
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Author : J. A. van Casteren
language : en
Publisher: World Scientific
Release Date : 2011
Markov Processes Feller Semigroups And Evolution Equations written by J. A. van Casteren and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Mathematics categories.
The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which are mathematical physics, hedging models in financial mathematics, and population models.
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.
Functional Inequalities Markov Semigroups And Spectral Theory
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Author : Fengyu Wang
language : en
Publisher: Elsevier
Release Date : 2006-04-06
Functional Inequalities Markov Semigroups And Spectral Theory written by Fengyu Wang and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-06 with Mathematics categories.
In this book, the functional inequalities are introduced to describe:(i) the spectrum of the generator: the essential and discrete spectrums, high order eigenvalues, the principle eigenvalue, and the spectral gap;(ii) the semigroup properties: the uniform intergrability, the compactness, the convergence rate, and the existence of density;(iii) the reference measure and the intrinsic metric: the concentration, the isoperimetic inequality, and the transportation cost inequality.
L Vy Processes And Stochastic Calculus
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Author : David Applebaum
language : en
Publisher: Cambridge University Press
Release Date : 2009-04-30
L Vy Processes And Stochastic Calculus written by David Applebaum 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 2009-04-30 with Mathematics categories.
A fully revised and appended edition of this unique volume, which develops together these two important subjects.
Pseudo Differential Operators And Markov Processes Volume Ii Generators And Their Potential Theory
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Author : Niels Jacob
language : en
Publisher: World Scientific
Release Date : 2002-07-19
Pseudo Differential Operators And Markov Processes Volume Ii Generators And Their Potential Theory written by Niels Jacob and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-07-19 with Mathematics categories.
In this volume two topics are discussed: the construction of Feller and Lp-sub-Markovian semigroups by starting with a pseudo-differential operator, and the potential theory of these semigroups and their generators. The first part of the text essentially discusses the analysis of pseudo-differential operators with negative definite symbols and develops a symbolic calculus; in addition, it deals with special approaches, such as subordination in the sense of Bochner. The second part handles capacities, function spaces associated with continuous negative definite functions, Lp -sub-Markovian semigroups in their associated Bessel potential spaces, Stein's Littlewood-Paley theory, global properties of Lp-sub-Markovian semigroups, and estimates for transition functions.
Stochastic Calculus
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Author : Richard Durrett
language : en
Publisher: CRC Press
Release Date : 1996-06-21
Stochastic Calculus written by Richard Durrett and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-06-21 with Mathematics categories.
This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications . It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial differential equations. It solves stochastic differential equations by a variety of methods and studies in detail the one-dimensional case. The book concludes with a treatment of semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions. The presentation is unparalleled in its clarity and simplicity. Whether your students are interested in probability, analysis, differential geometry or applications in operations research, physics, finance, or the many other areas to which the subject applies, you'll find that this text brings together the material you need to effectively and efficiently impart the practical background they need.