Markov Processes Brownian Motion And Time Symmetry

Author : Kai Lai Chung,John B. Walsh
Publisher : Springer Science & Business Media
Page : 444 pages
File Size : 43,7 Mb
Release : 2006-01-18
Category : Mathematics
ISBN : 9780387286969

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Markov Processes, Brownian Motion, and Time Symmetry by Kai Lai Chung,John B. Walsh Pdf

From the reviews of the First Edition: "This excellent book is based on several sets of lecture notes written over a decade and has its origin in a one-semester course given by the author at the ETH, Zürich, in the spring of 1970. The author's aim was to present some of the best features of Markov processes and, in particular, of Brownian motion with a minimum of prerequisites and technicalities. The reader who becomes acquainted with the volume cannot but agree with the reviewer that the author was very successful in accomplishing this goal...The volume is very useful for people who wish to learn Markov processes but it seems to the reviewer that it is also of great interest to specialists in this area who could derive much stimulus from it. One can be convinced that it will receive wide circulation." (Mathematical Reviews) This new edition contains 9 new chapters which include new exercises, references, and multiple corrections throughout the original text.

Author : Zhen-Qing Chen,Masatoshi Fukushima
Publisher : Princeton University Press
Page : 496 pages
File Size : 43,9 Mb
Release : 2012
Category : Mathematics
ISBN : 9780691136059

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Symmetric Markov Processes, Time Change, and Boundary Theory (LMS-35) by Zhen-Qing Chen,Masatoshi Fukushima Pdf

This book gives a comprehensive and self-contained introduction to the theory of symmetric Markov processes and symmetric quasi-regular Dirichlet forms. In a detailed and accessible manner, Zhen-Qing Chen and Masatoshi Fukushima cover the essential elements and applications of the theory of symmetric Markov processes, including recurrence/transience criteria, probabilistic potential theory, additive functional theory, and time change theory. The authors develop the theory in a general framework of symmetric quasi-regular Dirichlet forms in a unified manner with that of regular Dirichlet forms, emphasizing the role of extended Dirichlet spaces and the rich interplay between the probabilistic and analytic aspects of the theory. Chen and Fukushima then address the latest advances in the theory, presented here for the first time in any book. Topics include the characterization of time-changed Markov processes in terms of Douglas integrals and a systematic account of reflected Dirichlet spaces, and the important roles such advances play in the boundary theory of symmetric Markov processes. This volume is an ideal resource for researchers and practitioners, and can also serve as a textbook for advanced graduate students. It includes examples, appendixes, and exercises with solutions.

Author : Thomas Milton Liggett
Publisher : American Mathematical Soc.
Page : 290 pages
File Size : 43,6 Mb
Release : 2010
Category : Markov processes
ISBN : 9780821849491

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Continuous Time Markov Processes by Thomas Milton Liggett Pdf

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.

Author : M.L. Silverstein
Publisher : Springer
Page : 296 pages
File Size : 43,6 Mb
Release : 2006-11-15
Category : Mathematics
ISBN : 9783540372929

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Symmetric Markov Processes by M.L. Silverstein Pdf

Author : Tomasz Komorowski,Claudio Landim,Stefano Olla
Publisher : Springer Science & Business Media
Page : 494 pages
File Size : 52,7 Mb
Release : 2012-07-05
Category : Mathematics
ISBN : 9783642298806

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Fluctuations in Markov Processes by Tomasz Komorowski,Claudio Landim,Stefano Olla Pdf

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 : M.L. Silverstein
Publisher : Springer
Page : 329 pages
File Size : 48,9 Mb
Release : 2006-11-14
Category : Mathematics
ISBN : 9783540382225

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Boundary Theory for Symmetric Markov Processes by M.L. Silverstein Pdf

Author : Masao Nagasawa
Publisher : Springer Nature
Page : 339 pages
File Size : 51,9 Mb
Release : 2021-06-23
Category : Computers
ISBN : 9783030626884

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Markov Processes and Quantum Theory by Masao Nagasawa Pdf

This book discusses quantum theory as the theory of random (Brownian) motion of small particles (electrons etc.) under external forces. Implying that the Schrödinger equation is a complex-valued evolution equation and the Schrödinger function is a complex-valued evolution function, important applications are given. Readers will learn about new mathematical methods (theory of stochastic processes) in solving problems of quantum phenomena. Readers will also learn how to handle stochastic processes in analyzing physical phenomena.

Author : Kai Lai Chung
Publisher : Springer Science & Business Media
Page : 248 pages
File Size : 43,8 Mb
Release : 2013-11-11
Category : Mathematics
ISBN : 9781475717761

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Lectures from Markov Processes to Brownian Motion by Kai Lai Chung Pdf

This book evolved from several stacks of lecture notes written over a decade and given in classes at slightly varying levels. In transforming the over lapping material into a book, I aimed at presenting some of the best features of the subject with a minimum of prerequisities and technicalities. (Needless to say, one man's technicality is another's professionalism. ) But a text frozen in print does not allow for the latitude of the classroom; and the tendency to expand becomes harder to curb without the constraints of time and audience. The result is that this volume contains more topics and details than I had intended, but I hope the forest is still visible with the trees. The book begins at the beginning with the Markov property, followed quickly by the introduction of option al times and martingales. These three topics in the discrete parameter setting are fully discussed in my book A Course In Probability Theory (second edition, Academic Press, 1974). The latter will be referred to throughout this book as the Course, and may be considered as a general background; its specific use is limited to the mate rial on discrete parameter martingale theory cited in § 1. 4. Apart from this and some dispensable references to Markov chains as examples, the book is self-contained.

Author : Daniel T. Gillespie
Publisher : Elsevier
Page : 590 pages
File Size : 52,9 Mb
Release : 1991-12-02
Category : Mathematics
ISBN : 9780080918372

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Markov Processes by Daniel T. Gillespie Pdf

Markov process theory is basically an extension of ordinary calculus to accommodate functions whos time evolutions are not entirely deterministic. It is a subject that is becoming increasingly important for many fields of science. This book develops the single-variable theory of both continuous and jump Markov processes in a way that should appeal especially to physicists and chemists at the senior and graduate level. A self-contained, prgamatic exposition of the needed elements of random variable theory Logically integrated derviations of the Chapman-Kolmogorov equation, the Kramers-Moyal equations, the Fokker-Planck equations, the Langevin equation, the master equations, and the moment equations Detailed exposition of Monte Carlo simulation methods, with plots of many numerical examples Clear treatments of first passages, first exits, and stable state fluctuations and transitions Carefully drawn applications to Brownian motion, molecular diffusion, and chemical kinetics

Author : Andrei N. Borodin,Paavo Salminen
Publisher : Birkhäuser
Page : 685 pages
File Size : 54,5 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783034881630

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Handbook of Brownian Motion - Facts and Formulae by Andrei N. Borodin,Paavo Salminen Pdf

Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.

Author : René L. Schilling,Lothar Partzsch
Publisher : Walter de Gruyter GmbH & Co KG
Page : 424 pages
File Size : 51,5 Mb
Release : 2014-06-18
Category : Mathematics
ISBN : 9783110307306

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Brownian Motion by René L. Schilling,Lothar Partzsch Pdf

Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance. Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors’ aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs. This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.

Author : René L. Schilling,Lothar Partzsch
Publisher : Walter de Gruyter
Page : 396 pages
File Size : 49,7 Mb
Release : 2012-05-29
Category : Mathematics
ISBN : 9783110278989

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Brownian Motion by René L. Schilling,Lothar Partzsch Pdf

Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance. Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors’ aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs. This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.

Author : David Freedman
Publisher : Springer Science & Business Media
Page : 242 pages
File Size : 52,5 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461565741

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Brownian Motion and Diffusion by David Freedman Pdf

A long time ago I started writing a book about Markov chains, Brownian motion, and diffusion. I soon had two hundred pages of manuscript and my publisher was enthusiastic. Some years and several drafts later, I had a thot:sand pages of manuscript, and my publisher was less enthusiastic. So we made it a trilogy: Markov Chains Brownian Motion and Diffusion Approximating Countable Markov Chains familiarly - Me, B & D, and ACM. I wrote the first two books for beginning graduate students with some knowledge of probability; if you can follow Sections 3.4 to 3.9 of Brownian Motion and Diffusion you're in. The first two books are quite independent of one another, and completely independent of the third. This last book is a monograph, which explains one way to think about chains with instantaneous states. The results in it are supposed to be new, except where there are spe cific disclaimers; it's written in the framework of Markov Chains. Most of the proofs in the trilogy are new, and I tried hard to make them explicit. The old ones were often elegant, but I seldom saw what made them go. With my own, I can sometimes show you why things work. And, as I will argue in a minute, my demonstrations are easier technically. If I wrote them down well enough, you may come to agree.

Author : Vassili N. Kolokoltsov
Publisher : Walter de Gruyter
Page : 449 pages
File Size : 48,9 Mb
Release : 2011-03-29
Category : Mathematics
ISBN : 9783110250114

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Markov Processes, Semigroups and Generators by Vassili N. Kolokoltsov Pdf

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

Author : Catherine Donati-Martin,Antoine Lejay,Alain Rouault
Publisher : Springer
Page : 619 pages
File Size : 44,5 Mb
Release : 2015-09-07
Category : Mathematics
ISBN : 9783319185859

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In Memoriam Marc Yor - Séminaire de Probabilités XLVII by Catherine Donati-Martin,Antoine Lejay,Alain Rouault Pdf

This volume is dedicated to the memory of Marc Yor, who passed away in 2014. The invited contributions by his collaborators and former students bear testament to the value and diversity of his work and of his research focus, which covered broad areas of probability theory. The volume also provides personal recollections about him, and an article on his essential role concerning the Doeblin documents. With contributions by P. Salminen, J-Y. Yen & M. Yor; J. Warren; T. Funaki; J. Pitman& W. Tang; J-F. Le Gall; L. Alili, P. Graczyk & T. Zak; K. Yano & Y. Yano; D. Bakry & O. Zribi; A. Aksamit, T. Choulli & M. Jeanblanc; J. Pitman; J. Obloj, P. Spoida & N. Touzi; P. Biane; J. Najnudel; P. Fitzsimmons, Y. Le Jan & J. Rosen; L.C.G. Rogers & M. Duembgen; E. Azmoodeh, G. Peccati & G. Poly, timP-L Méliot, A. Nikeghbali; P. Baldi; N. Demni, A. Rouault & M. Zani; N. O'Connell; N. Ikeda & H. Matsumoto; A. Comtet & Y. Tourigny; P. Bougerol; L. Chaumont; L. Devroye & G. Letac; D. Stroock and M. Emery.