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Author: J. L. Doob
Publisher: Springer Science & Business Media
ISBN: 9780387908816
Category : Mathematics
Languages : en
Pages : 898
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Book Description
Potential theory and certain aspects of probability theory are intimately related, perhaps most obviously in that the transition function determining a Markov process can be used to define the Green function of a potential theory. Thus it is possible to define and develop many potential theoretic concepts probabilistically, a procedure potential theorists observe withjaun diced eyes in view of the fact that now as in the past their subject provides the motivation for much of Markov process theory. However that may be it is clear that certain concepts in potential theory correspond closely to concepts in probability theory, specifically to concepts in martingale theory. For example, superharmonic functions correspond to supermartingales. More specifically: the Fatou type boundary limit theorems in potential theory correspond to supermartingale convergence theorems; the limit properties of monotone sequences of superharmonic functions correspond surprisingly closely to limit properties of monotone sequences of super martingales; certain positive superharmonic functions [supermartingales] are called "potentials," have associated measures in their respective theories and are subject to domination principles (inequalities) involving the supports of those measures; in each theory there is a reduction operation whose properties are the same in the two theories and these reductions induce sweeping (balayage) of the measures associated with potentials, and so on.
Author: J. L. Doob
Publisher: Springer Science & Business Media
ISBN: 9780387908816
Category : Mathematics
Languages : en
Pages : 898
Get Book Here
Book Description
Potential theory and certain aspects of probability theory are intimately related, perhaps most obviously in that the transition function determining a Markov process can be used to define the Green function of a potential theory. Thus it is possible to define and develop many potential theoretic concepts probabilistically, a procedure potential theorists observe withjaun diced eyes in view of the fact that now as in the past their subject provides the motivation for much of Markov process theory. However that may be it is clear that certain concepts in potential theory correspond closely to concepts in probability theory, specifically to concepts in martingale theory. For example, superharmonic functions correspond to supermartingales. More specifically: the Fatou type boundary limit theorems in potential theory correspond to supermartingale convergence theorems; the limit properties of monotone sequences of superharmonic functions correspond surprisingly closely to limit properties of monotone sequences of super martingales; certain positive superharmonic functions [supermartingales] are called "potentials," have associated measures in their respective theories and are subject to domination principles (inequalities) involving the supports of those measures; in each theory there is a reduction operation whose properties are the same in the two theories and these reductions induce sweeping (balayage) of the measures associated with potentials, and so on.
Author: J. L. Doob
Publisher: Springer Science & Business Media
ISBN: 1461252083
Category : Mathematics
Languages : en
Pages : 865
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Book Description
Potential theory and certain aspects of probability theory are intimately related, perhaps most obviously in that the transition function determining a Markov process can be used to define the Green function of a potential theory. Thus it is possible to define and develop many potential theoretic concepts probabilistically, a procedure potential theorists observe withjaun diced eyes in view of the fact that now as in the past their subject provides the motivation for much of Markov process theory. However that may be it is clear that certain concepts in potential theory correspond closely to concepts in probability theory, specifically to concepts in martingale theory. For example, superharmonic functions correspond to supermartingales. More specifically: the Fatou type boundary limit theorems in potential theory correspond to supermartingale convergence theorems; the limit properties of monotone sequences of superharmonic functions correspond surprisingly closely to limit properties of monotone sequences of super martingales; certain positive superharmonic functions [supermartingales] are called "potentials," have associated measures in their respective theories and are subject to domination principles (inequalities) involving the supports of those measures; in each theory there is a reduction operation whose properties are the same in the two theories and these reductions induce sweeping (balayage) of the measures associated with potentials, and so on.
Author:
Publisher: Academic Press
ISBN: 0080873413
Category : Mathematics
Languages : en
Pages : 325
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Book Description
Markov Processes and Potential Theory
Author: N. A. Watson
Publisher: American Mathematical Soc.
ISBN: 0821849980
Category : Mathematics
Languages : en
Pages : 282
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Book Description
This book is the first to be devoted entirely to the potential theory of the heat equation, and thus deals with time dependent potential theory. Its purpose is to give a logical, mathematically precise introduction to a subject where previously many proofs were not written in detail, due to their similarity with those of the potential theory of Laplace's equation. The approach to subtemperatures is a recent one, based on the Poisson integral representation of temperatures on a circular cylinder. Characterizations of subtemperatures in terms of heat balls and modified heat balls are proved, and thermal capacity is studied in detail. The generalized Dirichlet problem on arbitrary open sets is given a treatment that reflects its distinctive nature for an equation of parabolic type. Also included is some new material on caloric measure for arbitrary open sets. Each chapter concludes with bibliographical notes and open questions. The reader should have a good background in the calculus of functions of several variables, in the limiting processes and inequalities of analysis, in measure theory, and in general topology for Chapter 9.
Author: Kai L. Chung
Publisher: Springer Science & Business Media
ISBN: 364257856X
Category : Mathematics
Languages : en
Pages : 297
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Book Description
In recent years, the study of the theory of Brownian motion has become a powerful tool in the solution of problems in mathematical physics. This self-contained and readable exposition by leading authors, provides a rigorous account of the subject, emphasizing the "explicit" rather than the "concise" where necessary, and addressed to readers interested in probability theory as applied to analysis and mathematical physics. A distinctive feature of the methods used is the ubiquitous appearance of stopping time. The book contains much original research by the authors (some of which published here for the first time) as well as detailed and improved versions of relevant important results by other authors, not easily accessible in existing literature.
Author: René L. Schilling
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 311037398X
Category : Mathematics
Languages : en
Pages : 514
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Book Description
Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance. Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors’ aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs. This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.
Author: Michiel Hazewinkel
Publisher: Springer Science & Business Media
ISBN: 9781556080104
Category : Mathematics
Languages : en
Pages : 982
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Book Description
The Encyclopaedia of Mathematics is the most up-to-date, authoritative and comprehensive English-language work of reference in mathematics which exists today. With over 7,000 articles from `A-integral' to `Zygmund Class of Functions', supplemented with a wealth of complementary information, and an index volume providing thorough cross-referencing of entries of related interest, the Encyclopaedia of Mathematics offers an immediate source of reference to mathematical definitions, concepts, explanations, surveys, examples, terminology and methods. The depth and breadth of content and the straightforward, careful presentation of the information, with the emphasis on accessibility, makes the Encyclopaedia of Mathematics an immensely useful tool for all mathematicians and other scientists who use, or are confronted by, mathematics in their work. The Enclyclopaedia of Mathematics provides, without doubt, a reference source of mathematical knowledge which is unsurpassed in value and usefulness. It can be highly recommended for use in libraries of universities, research institutes, colleges and even schools.
Author: Bert E. Fristedt
Publisher: Springer Science & Business Media
ISBN: 1489928375
Category : Mathematics
Languages : en
Pages : 775
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Book Description
Students and teachers of mathematics and related fields will find this book a comprehensive and modern approach to probability theory, providing the background and techniques to go from the beginning graduate level to the point of specialization in research areas of current interest. The book is designed for a two- or three-semester course, assuming only courses in undergraduate real analysis or rigorous advanced calculus, and some elementary linear algebra. A variety of applications—Bayesian statistics, financial mathematics, information theory, tomography, and signal processing—appear as threads to both enhance the understanding of the relevant mathematics and motivate students whose main interests are outside of pure areas.
Author: Svetozar Kurepa
Publisher: Springer
ISBN: 3540478760
Category : Mathematics
Languages : en
Pages : 442
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Book Description
This volume consists of a long monographic paper by J. Hoffmann-Jorgensen and a number of shorter research papers and survey articles covering different aspects of functional analysis and its application to probability theory and differential equations.
Author: J. L. Doob
Publisher: Wiley-Interscience
ISBN:
Category : Mathematics
Languages : en
Pages : 672
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Book Description
The theory of stochastic processes has developed so much in the last twenty years that the need for a systematic account of the subject has been felt, particularly by students and instructors of probability. This book fills that need. While even elementary definitions and theorems are stated in detail, this is not recommended as a first text in probability and there has been no compromise with the mathematics of probability. Since readers complained that omission of certain mathematical detail increased the obscurity of the subject, the text contains various mathematical points that might otherwise seem extraneous. A supplement includes a treatment of the various aspects of measure theory. A chapter on the specialized problem of prediction theory has also been included and references to the literature and historical remarks have been collected in the Appendix.
