Random Walk And The Heat Equation
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Random Walk And The Heat Equation
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Author : Gregory F. Lawler
language : en
Publisher: American Mathematical Soc.
Release Date : 2010-11-22
Random Walk And The Heat Equation written by Gregory F. Lawler 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 2010-11-22 with Mathematics categories.
The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation and considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In this book, Lawler introduces the heat equations and the closely related notion of harmonic functions from a probabilistic perspective. The theme of the first two chapters of the book is the relationship between random walks and the heat equation. This first chapter discusses the discrete case, random walk and the heat equation on the integer lattice; and the second chapter discusses the continuous case, Brownian motion and the usual heat equation. Relationships are shown between the two. For example, solving the heat equation in the discrete setting becomes a problem of diagonalization of symmetric matrices, which becomes a problem in Fourier series in the continuous case. Random walk and Brownian motion are introduced and developed from first principles. The latter two chapters discuss different topics: martingales and fractal dimension, with the chapters tied together by one example, a random Cantor set. The idea of this book is to merge probabilistic and deterministic approaches to heat flow. It is also intended as a bridge from undergraduate analysis to graduate and research perspectives. The book is suitable for advanced undergraduates, particularly those considering graduate work in mathematics or related areas.
Random Walks On Boundary For Solving Pdes
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Author : Karl K. Sabelfeld
language : en
Publisher: Walter de Gruyter
Release Date : 2013-07-05
Random Walks On Boundary For Solving Pdes written by Karl K. Sabelfeld 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 2013-07-05 with Mathematics categories.
This monograph presents new probabilistic representations for classical boundary value problems of mathematical physics and is the first book devoted to the walk on boundary algorithms. Compared to the well-known Wiener and diffusion path integrals, the trajectories of random walks in this publication are simlated on the boundary of the domain as Markov chains generated by the kernels of the boundary integral equations equivalent to the original boundary value problem. The book opens with an introduction for solving the interior and exterior boundary values for the Laplace and heat equations, which is followed by applying this method to all main boundary value problems of the potential and elasticity theories.
The Parabolic Anderson Model
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Author : Wolfgang König
language : en
Publisher: Birkhäuser
Release Date : 2016-06-30
The Parabolic Anderson Model written by Wolfgang König and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-30 with Mathematics categories.
This is a comprehensive survey on the research on the parabolic Anderson model – the heat equation with random potential or the random walk in random potential – of the years 1990 – 2015. The investigation of this model requires a combination of tools from probability (large deviations, extreme-value theory, e.g.) and analysis (spectral theory for the Laplace operator with potential, variational analysis, e.g.). We explain the background, the applications, the questions and the connections with other models and formulate the most relevant results on the long-time behavior of the solution, like quenched and annealed asymptotics for the total mass, intermittency, confinement and concentration properties and mass flow. Furthermore, we explain the most successful proof methods and give a list of open research problems. Proofs are not detailed, but concisely outlined and commented; the formulations of some theorems are slightly simplified for better comprehension.
Random Walks And Diffusion
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Author : Open University Course Team
language : en
Publisher:
Release Date : 2009-10-21
Random Walks And Diffusion written by Open University Course Team and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-21 with Diffusion categories.
This block explores the diffusion equation which is most commonly encountered in discussions of the flow of heat and of molecules moving in liquids, but diffusion equations arise from many different areas of applied mathematics. As well as considering the solutions of diffusion equations in detail, we also discuss the microscopic mechanism underlying the diffusion equation, namely that particles of matter or heat move erratically. This involves a discussion of elementary probability and statistics, which are used to develop a description of random walk processes and of the central limit theorem. These concepts are used to show that if particles follow random walk trajectories, their density obeys the diffusion equation.
Stochastic Tools In Mathematics And Science
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Author : Alexandre J Chorin
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-11-29
Stochastic Tools In Mathematics And Science written by Alexandre J Chorin 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 2005-11-29 with Mathematics categories.
This introduction to probability-based modeling covers basic stochastic tools used in physics, chemistry, engineering and the life sciences. Topics covered include conditional expectations, stochastic processes, Langevin equations, and Markov chain Monte Carlo algorithms. The applications include data assimilation, prediction from partial data, spectral analysis and turbulence. A special feature is the systematic analysis of memory effects.
Random Walks And Heat Kernels On Graphs
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Author : M. T. Barlow
language : en
Publisher:
Release Date : 2017
Random Walks And Heat Kernels On Graphs written by M. T. Barlow and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Electronic books categories.
This introduction to random walks on infinite graphs gives particular emphasis to graphs with polynomial volume growth. It offers an overview of analytic methods, starting with the connection between random walks and electrical resistance, and then proceeding to study the use of isoperimetric and Poincar inequalities. The book presents rough isometries and looks at the properties of a graph that are stable under these transformations. Applications include the 'type problem': determining whether a graph is transient or recurrent. The final chapters show how geometric properties of the graph can be used to establish heat kernel bounds, that is, bounds on the transition probabilities of the random walk, and it is proved that Gaussian bounds hold for graphs that are roughly isometric to Euclidean space. Aimed at graduate students in mathematics, the book is also useful for researchers as a reference for results that are hard to find elsewhere.
Random Walks And Heat Kernels On Graphs
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Author : M. T. Barlow
language : en
Publisher: Cambridge University Press
Release Date : 2017-02-23
Random Walks And Heat Kernels On Graphs written by M. T. Barlow 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 2017-02-23 with Mathematics categories.
Useful but hard-to-find results enrich this introduction to the analytic study of random walks on infinite graphs.
The Art Of Random Walks
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Author : Andras Telcs
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-05-17
The Art Of Random Walks written by Andras Telcs 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 2006-05-17 with Mathematics categories.
Einstein proved that the mean square displacement of Brownian motion is proportional to time. He also proved that the diffusion constant depends on the mass and on the conductivity (sometimes referred to Einstein’s relation). The main aim of this book is to reveal similar connections between the physical and geometric properties of space and diffusion. This is done in the context of random walks in the absence of algebraic structure, local or global spatial symmetry or self-similarity. The author studies the heat diffusion at this general level and discusses the following topics: The multiplicative Einstein relation, Isoperimetric inequalities, Heat kernel estimates Elliptic and parabolic Harnack inequality.
Partial Differential Equations Of Applied Mathematics
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Author : Erich Zauderer
language : en
Publisher: Wiley-Interscience
Release Date : 1998-08-04
Partial Differential Equations Of Applied Mathematics written by Erich Zauderer and has been published by Wiley-Interscience this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-08-04 with Mathematics categories.
The only comprehensive guide to modeling, characterizing, and solving partial differential equations This classic text by Erich Zauderer provides a comprehensive account of partial differential equations and their applications. Dr. Zauderer develops mathematical models that give rise to partial differential equations and describes classical and modern solution techniques. With an emphasis on practical applications, he makes liberal use of real-world examples, explores both linear and nonlinear problems, and provides approximate as well as exact solutions. He also describes approximation methods for simplifying complicated solutions and for solving linear and nonlinear problems not readily solved by standard methods. The book begins with a demonstration of how the three basic types of equations (parabolic, hyperbolic, and elliptic) can be derived from random walk models. It continues in a less statistical vein to cover an exceptionally broad range of topics, including stabilities, singularities, transform methods, the use of Green's functions, and perturbation and asymptotic treatments. Features that set Partial Differential Equations of Applied Mathematics, Second Edition above all other texts in the field include: Coverage of random walk problems, discontinuous and singular solutions, and perturbation and asymptotic methods More than 800 practice exercises, many of which are fully worked out Numerous up-to-date examples from engineering and the physical sciences Partial Differential Equations of Applied Mathematics, Second Edition is a superior advanced-undergraduate to graduate-level text for students in engineering, the sciences, and applied mathematics. The title is also a valuable working resource for professionals in these fields. Dr. Zauderer received his doctorate in mathematics from the New York University-Courant Institute. Prior to joining the staff of Polytechnic University, he was a Senior Weitzmann Fellow of the Weitzmann Institute of Science in Rehovot, Israel.
Aspects And Applications Of The Random Walk
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Author : George Herbert Weiss
language : en
Publisher: Elsevier Science & Technology
Release Date : 1994
Aspects And Applications Of The Random Walk written by George Herbert Weiss and has been published by Elsevier Science & Technology this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Computers categories.
Paperback. Both the formalism and many of the attendant ideas related to the random walk lie at the core of a significant fraction of contemporary research in statistical physics. In the language of physics the random walk can be described as a microscopic model for transport processes which have some element of randomness. The starting point of nearly all analyses of transport in disordered media is to be found in one or another type of random walk model. Mathematical formalism based on the theory of random walks is not only pervasive in a number of areas of physics, but also finds application in many areas of chemistry. The random walk has also been applied to the study of a number of biological phenomena.Despite the obvious importance of random walks in these and other applications there are few books devoted to the subject. This is therefore a timely introduction to the subject which will be welcomed by students and more senior researchers who have