Stochastic Processes And Orthogonal Polynomials

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Stochastic Processes And Orthogonal Polynomials

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Author : Wim Schoutens
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Stochastic Processes And Orthogonal Polynomials written by Wim Schoutens 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.

The book offers an accessible reference for researchers in the probability, statistics and special functions communities. It gives a variety of interdisciplinary relations between the two main ingredients of stochastic processes and orthogonal polynomials. It covers topics like time dependent and asymptotic analysis for birth-death processes and diffusions, martingale relations for Lévy processes, stochastic integrals and Stein's approximation method. Almost all well-known orthogonal polynomials, which are brought together in the so-called Askey Scheme, come into play. This volume clearly illustrates the powerful mathematical role of orthogonal polynomials in the analysis of stochastic processes and is made accessible for all mathematicians with a basic background in probability theory and mathematical analysis. Wim Schoutens is a Postdoctoral Researcher of the Fund for Scientific Research-Flanders (Belgium). He received his PhD in Science from the Catholic University of Leuven, Belgium.

Orthogonal Polynomials In The Spectral Analysis Of Markov Processes

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Author : Manuel Domínguez de la Iglesia
language : en
Publisher: Cambridge University Press
Release Date : 2021-10-21

Orthogonal Polynomials In The Spectral Analysis Of Markov Processes written by Manuel Domínguez de la Iglesia 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 2021-10-21 with Mathematics categories.

In pioneering work in the 1950s, S. Karlin and J. McGregor showed that probabilistic aspects of certain Markov processes can be studied by analyzing orthogonal eigenfunctions of associated operators. In the decades since, many authors have extended and deepened this surprising connection between orthogonal polynomials and stochastic processes. This book gives a comprehensive analysis of the spectral representation of the most important one-dimensional Markov processes, namely discrete-time birth-death chains, birth-death processes and diffusion processes. It brings together the main results from the extensive literature on the topic with detailed examples and applications. Also featuring an introduction to the basic theory of orthogonal polynomials and a selection of exercises at the end of each chapter, it is suitable for graduate students with a solid background in stochastic processes as well as researchers in orthogonal polynomials and special functions who want to learn about applications of their work to probability.

Stochastic Processes

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Author : Don Kulasiri
language : en
Publisher: BoD – Books on Demand
Release Date : 2024-07-31

Stochastic Processes written by Don Kulasiri and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-07-31 with categories.

Finite And Infinite Dimensional Analysis In Honor Of Leonard Gross

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Author : Hui-Hsiung Kuo
language : en
Publisher: American Mathematical Soc.
Release Date : 2003

Finite And Infinite Dimensional Analysis In Honor Of Leonard Gross written by Hui-Hsiung Kuo 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 2003 with Mathematics categories.

This book contains the proceedings of the special session in honor of Leonard Gross held at the annual Joint Mathematics Meetings in New Orleans (LA). The speakers were specialists in a variety of fields, and many were Professor Gross's former Ph.D. students and their descendants. Papers in this volume present results from several areas of mathematics. They illustrate applications of powerful ideas that originated in Gross's work and permeate diverse fields. Topics include stochastic partial differential equations, white noise analysis, Brownian motion, Segal-Bargmann analysis, heat kernels, and some applications. The volume should be useful to graduate students and researchers. It provides perspective on current activity and on central ideas and techniques in the topics covered.

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.

Orthogonal Polynomials In The Spectral Analysis Of Markov Processes

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Author : Manuel Domínguez de la Iglesia
language : en
Publisher: Cambridge University Press
Release Date : 2021-11-30

Orthogonal Polynomials In The Spectral Analysis Of Markov Processes written by Manuel Domínguez de la Iglesia 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 2021-11-30 with Mathematics categories.

In pioneering work in the 1950s, S. Karlin and J. McGregor showed that probabilistic aspects of certain Markov processes can be studied by analyzing orthogonal eigenfunctions of associated operators. In the decades since, many authors have extended and deepened this surprising connection between orthogonal polynomials and stochastic processes. This book gives a comprehensive analysis of the spectral representation of the most important one-dimensional Markov processes, namely discrete-time birth-death chains, birth-death processes and diffusion processes. It brings together the main results from the extensive literature on the topic with detailed examples and applications. Also featuring an introduction to the basic theory of orthogonal polynomials and a selection of exercises at the end of each chapter, it is suitable for graduate students with a solid background in stochastic processes as well as researchers in orthogonal polynomials and special functions who want to learn about applications of their work to probability.

Orthogonal Polynomials Of Several Variables

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Author : Charles F. Dunkl
language : en
Publisher: Cambridge University Press
Release Date : 2014-08-21

Orthogonal Polynomials Of Several Variables written by Charles F. Dunkl 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 2014-08-21 with Mathematics categories.

Updated throughout, this revised edition contains 25% new material covering progress made in the field over the past decade.

Quantum Probability And Spectral Analysis Of Graphs

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Author : Akihito Hora
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-07-05

Quantum Probability And Spectral Analysis Of Graphs written by Akihito Hora 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 2007-07-05 with Science categories.

This is the first book to comprehensively cover quantum probabilistic approaches to spectral analysis of graphs, an approach developed by the authors. The book functions as a concise introduction to quantum probability from an algebraic aspect. Here readers will learn several powerful methods and techniques of wide applicability, recently developed under the name of quantum probability. The exercises at the end of each chapter help to deepen understanding.

Probability Geometry And Integrable Systems

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Author : Mark Pinsky
language : en
Publisher: Cambridge University Press
Release Date : 2008-03-17

Probability Geometry And Integrable Systems written by Mark Pinsky 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 2008-03-17 with Mathematics categories.

Reflects the range of mathematical interests of Henry McKean, to whom it is dedicated.

Wiener Chaos Moments Cumulants And Diagrams

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Author : Giovanni Peccati
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-04-06

Wiener Chaos Moments Cumulants And Diagrams written by Giovanni Peccati 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 2011-04-06 with Mathematics categories.

The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distributions on the real line. It plays a crucial role in modern probability theory, with applications ranging from Malliavin calculus to stochastic differential equations and from probabilistic approximations to mathematical finance. This book is concerned with combinatorial structures arising from the study of chaotic random variables related to infinitely divisible random measures. The combinatorial structures involved are those of partitions of finite sets, over which Möbius functions and related inversion formulae are defined. This combinatorial standpoint (which is originally due to Rota and Wallstrom) provides an ideal framework for diagrams, which are graphical devices used to compute moments and cumulants of random variables. Several applications are described, in particular, recent limit theorems for chaotic random variables. An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.