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

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

Functional Inequalities Markov Semigroups and Spectral Theory

Functional Inequalities Markov Semigroups and Spectral Theory PDF Author: Fengyu Wang
Publisher: Elsevier
ISBN: 0080532071
Category : Mathematics
Languages : en
Pages : 391

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Book Description
In this book, the functional inequalities are introduced to describe:(i) the spectrum of the generator: the essential and discrete spectrums, high order eigenvalues, the principle eigenvalue, and the spectral gap;(ii) the semigroup properties: the uniform intergrability, the compactness, the convergence rate, and the existence of density;(iii) the reference measure and the intrinsic metric: the concentration, the isoperimetic inequality, and the transportation cost inequality.

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

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.

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, Feller Semigroups and Evolution Equations

Markov Processes, Feller Semigroups and Evolution Equations PDF Author: J. A. van Casteren
Publisher: World Scientific
ISBN: 9814322180
Category : Mathematics
Languages : en
Pages : 825

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Book Description
The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which are mathematical physics, hedging models in financial mathematics, and population models.

Analysis and Geometry of Markov Diffusion Operators

Analysis and Geometry of Markov Diffusion Operators PDF Author: Dominique Bakry
Publisher: Springer Science & Business Media
ISBN: 3319002279
Category : Mathematics
Languages : en
Pages : 555

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Book Description
The present volume is an extensive monograph on the analytic and geometric aspects of Markov diffusion operators. It focuses on the geometric curvature properties of the underlying structure in order to study convergence to equilibrium, spectral bounds, functional inequalities such as Poincaré, Sobolev or logarithmic Sobolev inequalities, and various bounds on solutions of evolution equations. At the same time, it covers a large class of evolution and partial differential equations. The book is intended to serve as an introduction to the subject and to be accessible for beginning and advanced scientists and non-specialists. Simultaneously, it covers a wide range of results and techniques from the early developments in the mid-eighties to the latest achievements. As such, students and researchers interested in the modern aspects of Markov diffusion operators and semigroups and their connections to analytic functional inequalities, probabilistic convergence to equilibrium and geometric curvature will find it especially useful. Selected chapters can also be used for advanced courses on the topic.

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.

Lévy Processes and Stochastic Calculus

Lévy Processes and Stochastic Calculus PDF Author: David Applebaum
Publisher: Cambridge University Press
ISBN: 9780521832632
Category : Mathematics
Languages : en
Pages : 440

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Book Description
Publisher Description

Lévy Processes and Stochastic Calculus

Lévy Processes and Stochastic Calculus PDF Author: David Applebaum
Publisher: Cambridge University Press
ISBN: 1139477986
Category : Mathematics
Languages : en
Pages : 461

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Book Description
Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Lévy processes, then leading on to develop the stochastic calculus for Lévy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.