Generators of Markov Chains

Generators of Markov Chains PDF Author: Adam Bobrowski
Publisher: Cambridge University Press
ISBN: 1108495796
Category : Mathematics
Languages : en
Pages : 279

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Book Description
A clear explanation of what an explosive Markov chain does after it passes through all available states in finite time.

Generators of Markov Chains

Generators of Markov Chains PDF Author: Adam Bobrowski
Publisher: Cambridge University Press
ISBN: 1108495796
Category : Mathematics
Languages : en
Pages : 279

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Book Description
A clear explanation of what an explosive Markov chain does after it passes through all available states in finite time.

Markov Processes, Semigroups, and Generators

Markov Processes, Semigroups, and Generators PDF Author: Vassili N. Kolokoltsov
Publisher: Walter de Gruyter
ISBN: 3110250101
Category : Mathematics
Languages : en
Pages : 449

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Book Description
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

Continuous-Time Markov Chains and Applications

Continuous-Time Markov Chains and Applications PDF Author: G. George Yin
Publisher: Springer Science & Business Media
ISBN: 1461443466
Category : Mathematics
Languages : en
Pages : 442

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Book Description
This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions. To bridge the gap between theory and applications, a large portion of the book is devoted to applications in controlled dynamic systems, production planning, and numerical methods for controlled Markovian systems with large-scale and complex structures in the real-world problems. This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. The chapters on analytic and probabilistic properties of two-time-scale Markov chains have been almost completely rewritten and the notation has been streamlined and simplified. This book is written for applied mathematicians, engineers, operations researchers, and applied scientists. Selected material from the book can also be used for a one semester advanced graduate-level course in applied probability and stochastic processes.

The Theory of Stochastic Processes I

The Theory of Stochastic Processes I PDF Author: Iosif I. Gikhman
Publisher: Springer
ISBN: 3642619436
Category : Mathematics
Languages : en
Pages : 587

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Book Description
From the Reviews: "Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection." --D.W. Stroock, Bulletin of the American Mathematical Society, 1980

Continuous Time Markov Processes

Continuous Time Markov Processes PDF Author: Thomas Milton Liggett
Publisher: American Mathematical Soc.
ISBN: 0821849492
Category : Mathematics
Languages : en
Pages : 290

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Book Description
Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes, and applies this theory to various special examples.

Markov Processes

Markov Processes PDF Author: Stewart N. Ethier
Publisher: John Wiley & Sons
ISBN: 0470317329
Category : Mathematics
Languages : en
Pages : 528

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Book Description
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.

Stochastic Processes and Applications

Stochastic Processes and Applications PDF 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.

Markov Processes

Markov Processes PDF Author: James R. Kirkwood
Publisher: CRC Press
ISBN: 1482240742
Category : Business & Economics
Languages : en
Pages : 336

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Book Description
Clear, rigorous, and intuitive, Markov Processes provides a bridge from an undergraduate probability course to a course in stochastic processes and also as a reference for those that want to see detailed proofs of the theorems of Markov processes. It contains copious computational examples that motivate and illustrate the theorems. The text is desi

Markov Chains

Markov Chains PDF Author: Pierre Bremaud
Publisher: Springer Science & Business Media
ISBN: 1475731248
Category : Mathematics
Languages : en
Pages : 456

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Book Description
Primarily an introduction to the theory of stochastic processes at the undergraduate or beginning graduate level, the primary objective of this book is to initiate students in the art of stochastic modelling. However it is motivated by significant applications and progressively brings the student to the borders of contemporary research. Examples are from a wide range of domains, including operations research and electrical engineering. Researchers and students in these areas as well as in physics, biology and the social sciences will find this book of interest.

Lévy Processes

Lévy Processes PDF Author: Ole E Barndorff-Nielsen
Publisher: Springer Science & Business Media
ISBN: 1461201977
Category : Mathematics
Languages : en
Pages : 414

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Book Description
A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.