Markov Processes Semigroups And Generators
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Markov Processes Semigroups and Generators
Author | : Vassili N. Kolokoltsov |
Publsiher | : Walter de Gruyter |
Total Pages | : 449 |
Release | : 2011-03-29 |
Genre | : Mathematics |
ISBN | : 9783110250114 |
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Markov processes represent a universal model for a large variety of real life random evolutions. The wide flow of new ideas, tools, methods and applications constantly pours into the ever-growing stream of research on Markov processes that rapidly spreads over new fields of natural and social sciences, creating new streamlined logical paths to its turbulent boundary. Even if a given process is not Markov, it can be often inserted into a larger Markov one (Markovianization procedure) by including the key historic parameters into the state space. This monograph gives a concise, but systematic and self-contained, exposition of the essentials of Markov processes, together with recent achievements, working from the "physical picture" - a formal pre-generator, and stressing the interplay between probabilistic (stochastic differential equations) and analytic (semigroups) tools. The book will be useful to students and researchers. Part I can be used for a one-semester course on Brownian motion, Lévy and Markov processes, or on probabilistic methods for PDE. Part II mainly contains the author's research on Markov processes. From the contents: Tools from Probability and Analysis Brownian motion Markov processes and martingales SDE, ψDE and martingale problems Processes in Euclidean spaces Processes in domains with a boundary Heat kernels for stable-like processes Continuous-time random walks and fractional dynamics Complex chains and Feynman integral
Markov Processes Semigroups and Generators
Author | : Vassili N. Kolokoltsov |
Publsiher | : Walter de Gruyter |
Total Pages | : 449 |
Release | : 2011 |
Genre | : Mathematics |
ISBN | : 9783110250107 |
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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 Feller Semigroups and Evolution Equations
Author | : Anonim |
Publsiher | : Unknown |
Total Pages | : 135 |
Release | : 2024 |
Genre | : Electronic Book |
ISBN | : 9789814464178 |
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Continuous Time Markov Processes
Author | : Thomas Milton Liggett |
Publsiher | : American Mathematical Soc. |
Total Pages | : 290 |
Release | : 2010 |
Genre | : Markov processes |
ISBN | : 9780821849491 |
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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
Author | : J. A. van Casteren |
Publsiher | : World Scientific |
Total Pages | : 825 |
Release | : 2011 |
Genre | : Mathematics |
ISBN | : 9789814322188 |
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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.
Generators of Markov Chains
Author | : Adam Bobrowski |
Publsiher | : Cambridge University Press |
Total Pages | : 279 |
Release | : 2020-11-26 |
Genre | : Mathematics |
ISBN | : 9781108495790 |
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A clear explanation of what an explosive Markov chain does after it passes through all available states in finite time.
Pseudo Differential Operators and Markov Processes
Author | : Anonim |
Publsiher | : Unknown |
Total Pages | : 135 |
Release | : 2024 |
Genre | : Electronic Book |
ISBN | : 9781783260249 |
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Pseudo Differential Operators Markov Processes Generators and potential theory
Author | : Niels Jacob |
Publsiher | : Unknown |
Total Pages | : 135 |
Release | : 2001 |
Genre | : Dirichlet forms |
ISBN | : 1860942938 |
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This work covers two topics in detail: Fourier analysis, with emphasis on positivity and also on some function spaces and multiplier theorems; and one-parameter operator semigroups with emphasis on Feller semigroups and Lp-sub-Markovian semigroups. In addition, Dirichlet forms are treated.