Author: L. C. G. Rogers
Publisher: Cambridge University Press
ISBN: 9780521775946
Category : Mathematics
Languages : en
Pages : 412
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Book Description
Now available in paperback for the first time; essential reading for all students of probability theory.
Author: L. C. G. Rogers
Publisher: Cambridge University Press
ISBN: 1107717493
Category : Mathematics
Languages : en
Pages : 412
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Book Description
Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors' aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively and readable account of the theory of Markov processes. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
Author: L. C. G. Rogers
Publisher: Cambridge University Press
ISBN: 9780521775939
Category : Mathematics
Languages : en
Pages : 498
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Book Description
This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.
Author: David Williams
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: D. Williams
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: David B1938 (Apr) Williams
Publisher:
ISBN:
Category :
Languages : en
Pages : 237
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Book Description
Author: David Williams
Publisher: Cambridge University Press
ISBN: 9780521406055
Category : Mathematics
Languages : en
Pages : 274
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Book Description
This is a masterly introduction to the modern, and rigorous, theory of probability. The author emphasises martingales and develops all the necessary measure theory.
Author: Daniel W. Stroock
Publisher: Springer
ISBN: 3540289992
Category : Mathematics
Languages : en
Pages : 338
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Book Description
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik
Author: Tomasz Komorowski
Publisher: Springer Science & Business Media
ISBN: 364229880X
Category : Mathematics
Languages : en
Pages : 494
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Book Description
The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses. The second concerns application to exclusion processes, in which the duality methods are fully exploited. The third part is about the homogenization of diffusions in random fields, including passive tracers in turbulent flows (including the superdiffusive behavior). There are no other books in the mathematical literature that deal with this kind of approach to the problem of the central limit theorem. Hence, this volume meets the demand for a monograph on this powerful approach, now widely used in many areas of probability and mathematical physics. The book also covers the connections with and application to hydrodynamic limits and homogenization theory, so besides probability researchers it will also be of interest also to mathematical physicists and analysts.
Author: Grigorios A. Pavliotis
Publisher: Springer
ISBN: 1493913239
Category : Mathematics
Languages : en
Pages : 345
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Book Description
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.
