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Author : Xia Chen
Publisher : American Mathematical Soc.
Page : 225 pages
File Size : 55,9 Mb
Release : 1999
Category : Central limit theorem
ISBN : 9780821810606
This book is intended for graduate students and research mathematicians working probability theory and statistics.
Author : Alexei Kulik
Publisher : Walter de Gruyter GmbH & Co KG
Page : 267 pages
File Size : 52,5 Mb
Release : 2017-11-20
Category : Mathematics
ISBN : 9783110458930
The general topic of this book is the ergodic behavior of Markov processes. A detailed introduction to methods for proving ergodicity and upper bounds for ergodic rates is presented in the first part of the book, with the focus put on weak ergodic rates, typical for Markov systems with complicated structure. The second part is devoted to the application of these methods to limit theorems for functionals of Markov processes. The book is aimed at a wide audience with a background in probability and measure theory. Some knowledge of stochastic processes and stochastic differential equations helps in a deeper understanding of specific examples. Contents Part I: Ergodic Rates for Markov Chains and Processes Markov Chains with Discrete State Spaces General Markov Chains: Ergodicity in Total Variation MarkovProcesseswithContinuousTime Weak Ergodic Rates Part II: Limit Theorems The Law of Large Numbers and the Central Limit Theorem Functional Limit Theorems
Author : Dmitry Dolgopyat,Omri M. Sarig
Publisher : Springer Nature
Page : 348 pages
File Size : 53,6 Mb
Release : 2023-07-31
Category : Mathematics
ISBN : 9783031326011
This book extends the local central limit theorem to Markov chains whose state spaces and transition probabilities are allowed to change in time. Such chains are used to model Markovian systems depending on external time-dependent parameters. The book develops a new general theory of local limit theorems for additive functionals of Markov chains, in the regimes of local, moderate, and large deviations, and provides nearly optimal conditions for the classical expansions, as well as asymptotic corrections when these conditions fail. Applications include local limit theorems for independent but not identically distributed random variables, Markov chains in random environments, and time-dependent perturbations of homogeneous Markov chains. The inclusion of appendices with background material, numerous examples, and an account of the historical background of the subject make this self-contained book accessible to graduate students. It will also be useful for researchers in probability and ergodic theory who are interested in asymptotic behaviors, Markov chains in random environments, random dynamical systems and non-stationary systems.
Author : Kulik, Alexei
Publisher : Universitätsverlag Potsdam
Page : 138 pages
File Size : 44,9 Mb
Release : 2015-10-20
Category : Mathematics
ISBN : 9783869563381
The present lecture notes aim for an introduction to the ergodic behaviour of Markov Processes and addresses graduate students, post-graduate students and interested readers. Different tools and methods for the study of upper bounds on uniform and weak ergodic rates of Markov Processes are introduced. These techniques are then applied to study limit theorems for functionals of Markov processes. This lecture course originates in two mini courses held at University of Potsdam, Technical University of Berlin and Humboldt University in spring 2013 and Ritsumameikan University in summer 2013. Alexei Kulik, Doctor of Sciences, is a Leading researcher at the Institute of Mathematics of Ukrainian National Academy of Sciences.
Author : Hubert Hennion,Loic Herve
Publisher : Springer
Page : 152 pages
File Size : 52,5 Mb
Release : 2003-07-01
Category : Mathematics
ISBN : 9783540446231
The usefulness of from the of techniques perturbation theory operators, to kernel for limit theorems for a applied quasi-compact positive Q, obtaining Markov chains for stochastic of or dynamical by describing properties systems, of Perron- Frobenius has been demonstrated in several All use a operator, papers. these works share the features the features that must be same specific general ; used in each stem from the nature of the functional particular case precise space where the of is and from the number of quasi-compactness Q proved eigenvalues of of modulus 1. We here a functional framework for Q give general analytical this method and we the aforementioned behaviour within it. It asymptotic prove is worth that this framework is to allow the unified noticing sufficiently general treatment of all the cases considered in the literature the previously specific ; characters of model translate into the verification of of simple hypotheses every a functional nature. When to Markov kernels or to Perr- applied Lipschitz Frobenius associated with these statements rise operators expanding give maps, to new results and the of known The main clarify proofs already properties. of the deals with a Markov kernel for which 1 is a part quasi-compact Q paper of modulus 1. An essential but is not the simple eigenvalue unique eigenvalue element of the work is the of the of peripheral Q precise description spectrums and of its To conclude the the results obtained perturbations.
Author : Christian Houdré,David M. Mason,Patricia Reynaud-Bouret,Jan Rosiński
Publisher : Birkhäuser
Page : 480 pages
File Size : 52,7 Mb
Release : 2016-09-21
Category : Mathematics
ISBN : 9783319405193
This volume collects selected papers from the 7th High Dimensional Probability meeting held at the Institut d'Études Scientifiques de Cargèse (IESC) in Corsica, France. High Dimensional Probability (HDP) is an area of mathematics that includes the study of probability distributions and limit theorems in infinite-dimensional spaces such as Hilbert spaces and Banach spaces. The most remarkable feature of this area is that it has resulted in the creation of powerful new tools and perspectives, whose range of application has led to interactions with other subfields of mathematics, statistics, and computer science. These include random matrices, nonparametric statistics, empirical processes, statistical learning theory, concentration of measure phenomena, strong and weak approximations, functional estimation, combinatorial optimization, and random graphs. The contributions in this volume show that HDP theory continues to thrive and develop new tools, methods, techniques and perspectives to analyze random phenomena.
Author : Emmanuel Rio
Publisher : Springer
Page : 204 pages
File Size : 55,5 Mb
Release : 2017-04-13
Category : Mathematics
ISBN : 9783662543238
Ces notes sont consacrées aux inégalités et aux théorèmes limites classiques pour les suites de variables aléatoires absolument régulières ou fortement mélangeantes au sens de Rosenblatt. Le but poursuivi est de donner des outils techniques pour l'étude des processus faiblement dépendants aux statisticiens ou aux probabilistes travaillant sur ces processus.
Author : Randal Douc,Eric Moulines,Pierre Priouret,Philippe Soulier
Publisher : Springer
Page : 758 pages
File Size : 43,6 Mb
Release : 2018-12-11
Category : Mathematics
ISBN : 9783319977041
This book covers the classical theory of Markov chains on general state-spaces as well as many recent developments. The theoretical results are illustrated by simple examples, many of which are taken from Markov Chain Monte Carlo methods. The book is self-contained, while all the results are carefully and concisely proven. Bibliographical notes are added at the end of each chapter to provide an overview of the literature. Part I lays the foundations of the theory of Markov chain on general states-space. Part II covers the basic theory of irreducible Markov chains on general states-space, relying heavily on regeneration techniques. These two parts can serve as a text on general state-space applied Markov chain theory. Although the choice of topics is quite different from what is usually covered, where most of the emphasis is put on countable state space, a graduate student should be able to read almost all these developments without any mathematical background deeper than that needed to study countable state space (very little measure theory is required). Part III covers advanced topics on the theory of irreducible Markov chains. The emphasis is on geometric and subgeometric convergence rates and also on computable bounds. Some results appeared for a first time in a book and others are original. Part IV are selected topics on Markov chains, covering mostly hot recent developments.
Author : Hội Toán học Việt Nam,Trung tâm khoa học tự nhiên và công nghệ quốc gia (Vietnam)
Publisher : Dr. Vuong Quan Hoang
Page : 21 pages
File Size : 55,7 Mb
Release : 2024-07-01
Category : Mathematics
ISBN : 08667179
Author : Donald Dawson,Rafal Kulik,Mohamedou Ould Haye,Barbara Szyszkowicz,Yiqiang Zhao
Publisher : Springer
Page : 406 pages
File Size : 49,6 Mb
Release : 2015-11-12
Category : Mathematics
ISBN : 9781493930760
This book contains articles arising from a conference in honour of mathematician-statistician Miklόs Csörgő on the occasion of his 80th birthday, held in Ottawa in July 2012. It comprises research papers and overview articles, which provide a substantial glimpse of the history and state-of-the-art of the field of asymptotic methods in probability and statistics, written by leading experts. The volume consists of twenty articles on topics on limit theorems for self-normalized processes, planar processes, the central limit theorem and laws of large numbers, change-point problems, short and long range dependent time series, applied probability and stochastic processes, and the theory and methods of statistics. It also includes Csörgő’s list of publications during more than 50 years, since 1962.
Author : Vitaly Bergelson,Randall McCutcheon
Publisher : American Mathematical Soc.
Page : 106 pages
File Size : 41,5 Mb
Release : 2000
Category : Mathematics
ISBN : 9780821826577
We prove a polynomial multiple recurrence theorem for finitely many commuting measure preserving transformations of a probability space, extending a polynomial Szemeredi theorem appearing in [BL1]. The linear case is a consequence of an ergodic IP-Szemeredi theorem of Furstenberg and Katznelson ([FK2]). Several applications to the fine structure of recurrence in ergodic theory are given, some of which involve weakly mixing systems, for which we also prove a multiparameter weakly mixing polynomial ergodic theorem. The techniques and apparatus employed include a polynomialization of an IP structure theory developed in [FK2], an extension of Hindman's theorem due to Milliken and Taylor ([M], [T]), a polynomial version of the Hales-Jewett coloring theorem ([BL2]), and a theorem concerning limits of polynomially generated IP-systems of unitary operators ([BFM]).
Author : Alexander Fel'shtyn
Publisher : American Mathematical Soc.
Page : 165 pages
File Size : 53,7 Mb
Release : 2000
Category : Fixed point theory
ISBN : 9780821820902
In the paper we study new dynamical zeta functions connected with Nielsen fixed point theory. The study of dynamical zeta functions is part of the theory of dynamical systems, but it is also intimately related to algebraic geometry, number theory, topology and statistical mechanics. The paper consists of four parts. Part I presents a brief account of the Nielsen fixed point theory. Part II deals with dynamical zeta functions connected with Nielsen fixed point theory. Part III is concerned with analog of Dold congruences for the Reidemeister and Nielsen numbers. In Part IV we explain how dynamical zeta functions give rise to the Reidemeister torsion, a very important topological invariant which has useful applications in knots theory,quantum field theory and dynamical systems.
Author : J. A. van Casteren
Publisher : World Scientific
Page : 825 pages
File Size : 48,6 Mb
Release : 2011
Category : Mathematics
ISBN : 9789814322188
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.
Author : Palle E. T. Jørgensen
Publisher : American Mathematical Soc.
Page : 74 pages
File Size : 42,6 Mb
Release : 2001
Category : Memoirs of the American Mathematical Society
ISBN : 9780821826881
Let $N\in\mathbb{N}$, $N\geq2$, be given. Motivated by wavelet analysis, this title considers a class of normal representations of the $C DEGREES{\ast}$-algebra $\mathfrak{A}_{N}$ on two unitary generators $U$, $V$ subject to the relation $UVU DEGREES{-1}=V DEGREES{N}$. The representations are in one-to-one correspondence with solutions $h\in L DEGREES{1}\left(\mathbb{T}\right)$, $h\geq0$, to $R\left(h\right)=h$ where $R$ is a certain transfer operator (positivity-preserving) which was studied previously by D. Ruelle. The representations of $\mathfrak{A}_{N}$ may also be viewed as representations of a certain (discrete) $N$-adic $ax+b$ group which was considered recently
Author : Brian Marcus,Selim Tuncel
Publisher : American Mathematical Soc.
Page : 114 pages
File Size : 52,5 Mb
Release : 2001
Category : Bernoulli shifts
ISBN : 9780821826461
The two parts of this monograph contain two separate but related papers. The longer paper in Part A obtains necessary and sufficient conditions for several types of codings of Markov chains onto Bernoulli shifts. It proceeds by replacing the defining stochastic matrix of each Markov chain by a matrix whose entries are polynomials with positive coefficients in several variables; a Bernoulli shift is represented by a single polynomial with positive coefficients, $p$. This transforms jointly topological and measure-theoretic coding problems into combinatorial ones. In solving the combinatorial problems in Part A, the work states and makes use of facts from Part B concerning $p DEGREESn$ and its coefficients. Part B contains the shorter paper on $p DEGREESn$ and its coefficients, and is independ