Lectures On Brownian Motion Heat Conduction And Potential Theory

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Brownian Motion

Author : René L. Schilling
Publisher : Walter de Gruyter
ISBN 13 : 3110278987
Total Pages : 396 pages
Book Rating : 4.1/5 (12 download)

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Book Synopsis Brownian Motion by : René L. Schilling

Download or read book Brownian Motion written by René L. Schilling and published by Walter de Gruyter. This book was released on 2012-05-29 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Potential Theory

Author : Jürgen Bliedtner
Publisher : Springer Science & Business Media
ISBN 13 : 3642711316
Total Pages : 448 pages
Book Rating : 4.6/5 (427 download)

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Book Synopsis Potential Theory by : Jürgen Bliedtner

Download or read book Potential Theory written by Jürgen Bliedtner and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last thirty years potential theory has undergone a rapid development, much of which can still only be found in the original papers. This book deals with one part of this development, and has two aims. The first is to give a comprehensive account of the close connection between analytic and probabilistic potential theory with the notion of a balayage space appearing as a natural link. The second aim is to demonstrate the fundamental importance of this concept by using it to give a straight presentation of balayage theory which in turn is then applied to the Dirichlet problem. We have considered it to be beyond the scope of this book to treat further topics such as duality, ideal boundary and integral representation, energy and Dirichlet forms. The subject matter of this book originates in the relation between classical potential theory and the theory of Brownian motion. Both theories are linked with the Laplace operator. However, the deep connection between these two theories was first revealed in the papers of S. KAKUTANI [1], [2], [3], M. KAC [1] and J. L. DO DB [2] during the period 1944-54: This can be expressed by the·fact that the harmonic measures which occur in the solution of the Dirichlet problem are hitting distri butions for Brownian motion or, equivalently, that the positive hyperharmonic func tions for the Laplace equation are the excessive functions of the Brownian semi group.

Classical Potential Theory and Its Probabilistic Counterpart

Author : J. L. Doob
Publisher : Springer Science & Business Media
ISBN 13 : 1461252083
Total Pages : 865 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Classical Potential Theory and Its Probabilistic Counterpart by : J. L. Doob

Download or read book Classical Potential Theory and Its Probabilistic Counterpart written by J. L. Doob and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 865 pages. Available in PDF, EPUB and Kindle. Book excerpt: Potential theory and certain aspects of probability theory are intimately related, perhaps most obviously in that the transition function determining a Markov process can be used to define the Green function of a potential theory. Thus it is possible to define and develop many potential theoretic concepts probabilistically, a procedure potential theorists observe withjaun diced eyes in view of the fact that now as in the past their subject provides the motivation for much of Markov process theory. However that may be it is clear that certain concepts in potential theory correspond closely to concepts in probability theory, specifically to concepts in martingale theory. For example, superharmonic functions correspond to supermartingales. More specifically: the Fatou type boundary limit theorems in potential theory correspond to supermartingale convergence theorems; the limit properties of monotone sequences of superharmonic functions correspond surprisingly closely to limit properties of monotone sequences of super martingales; certain positive superharmonic functions [supermartingales] are called "potentials," have associated measures in their respective theories and are subject to domination principles (inequalities) involving the supports of those measures; in each theory there is a reduction operation whose properties are the same in the two theories and these reductions induce sweeping (balayage) of the measures associated with potentials, and so on.

Lectures from Markov Processes to Brownian Motion

Author : Kai Lai Chung
Publisher : Springer Science & Business Media
ISBN 13 : 1475717768
Total Pages : 248 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Lectures from Markov Processes to Brownian Motion by : Kai Lai Chung

Download or read book Lectures from Markov Processes to Brownian Motion written by Kai Lai Chung and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Brownian Motion and Classical Potential Theory

Author : Sidney Port
Publisher : Elsevier
ISBN 13 : 0323159087
Total Pages : 251 pages
Book Rating : 4.3/5 (231 download)

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Book Synopsis Brownian Motion and Classical Potential Theory by : Sidney Port

Download or read book Brownian Motion and Classical Potential Theory written by Sidney Port and published by Elsevier. This book was released on 2012-12-02 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brownian Motion and Classical Potential Theory is a six-chapter text that discusses the connection between Brownian motion and classical potential theory. The first three chapters of this book highlight the developing properties of Brownian motion with results from potential theory. The subsequent chapters are devoted to the harmonic and superharmonic functions, as well as the Dirichlet problem. These topics are followed by a discussion on the transient potential theory of Green potentials, with an emphasis on the Newtonian potentials, as well as the recurrent potential theory of logarithmic potentials. The last chapters deal with the application of Brownian motion to obtain the main theorems of classical potential theory. This book will be of value to physicists, chemists, and biologists.

Seminar on Stochastic Processes, 1987

Author : Cinlar
Publisher : Springer Science & Business Media
ISBN 13 : 1468405500
Total Pages : 297 pages
Book Rating : 4.4/5 (684 download)

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Book Synopsis Seminar on Stochastic Processes, 1987 by : Cinlar

Download or read book Seminar on Stochastic Processes, 1987 written by Cinlar and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 1987 Seminar on Stochastic Processes was held at Princeton University, March 26 through March 28, 1987. It was the seventh seminar in a continuing series of meetings which provide opportunities for researchers to discuss current work in stochastic processes in an informal and enjoyable atmosphere. Previous seminars were held at Northwestern University, Evanston; University of Florida, Gainesville: and University of Virginia, Charlottesville. The success of these seminars has been due to the interest and enthusiasm of probabilists in the United States and abroad. Many of the participants have allowed us to pUblish the results of their re search in this volume. The editors hope that the reader will be able to sense some of the excitement present in the seminar by reading these articles. This year's invited participants included M. Aizenman, B. Atkinson, R.M. Blumenthal, C. Burdzy, D. Burkholder, R. Carmona, K.L. Chung, M. Cranston, C. Dellacherie, J.D. Deuschel, N. Dinculeanu, Gundy, P. Hsu, E.B. Dynkin, P. Fitzsimmons, R.K. Getoor, J. Glover, R.G. Hunt, H. Kaspi, Knight, G. Lawler, P. March, P.A. Meyer, A.F.J. Mitro, J. Neveu, E. Pardoux, M. Pinsky, L. Pitt, A.O. Pittenger, Z. Pop-Stojanovic, P. Protter, M. Rao, T. Salisbury, M.J. Sharpe, S.J. Taylor, E. Toby, S.R.S. Varadhan, R. Williams, M. Weber, and Z. Zhao.

Collected Papers Vol.1: Quantum Field Theory and Statistical Mechanics

Author : James Glimm
Publisher : Springer Science & Business Media
ISBN 13 : 9780817632717
Total Pages : 434 pages
Book Rating : 4.6/5 (327 download)

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Book Synopsis Collected Papers Vol.1: Quantum Field Theory and Statistical Mechanics by : James Glimm

Download or read book Collected Papers Vol.1: Quantum Field Theory and Statistical Mechanics written by James Glimm and published by Springer Science & Business Media. This book was released on 1985-01-01 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325 Critical point dominance in quantum field models. . . . . . . . . . . . . . . . . . . . 326 q>,' quantum field model in the single-phase regions: Differentiability of the mass and bounds on critical exponents. . . . 341 Remark on the existence of q>:. . . • . . . . • . . . . • . . . . . . . . • . • . . . . . . . . . . • . 345 On the approach to the critical point . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348 Critical exponents and elementary particles. . . . . . . . . . . . . . . . . . . . . . . . . . 362 V Particle Structure Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371 Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371 The entropy principle for vertex functions in quantum field models. . . . . 372 Three-particle structure of q>4 interactions and the scaling limit . . . . . . . . . 397 Two and three body equations in quantum field models. . . . . . . . . . . . . . . 409 Particles and scaling for lattice fields and Ising models. . . . . . . . . . . . . . . . 437 The resummation of one particle lines. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 450 VI Bounds on Coupling Constants Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 479 Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 479 Absolute bounds on vertices and couplings. . . . . . . . . . . . . . . . . . . . . . . . . . 480 The coupling constant in a q>4 field theory. . . . . . . . . . . . . . . . . . . . . . . . . . . 491 VII Confinement and Instantons Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 497 Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 497 Instantons in a U(I) lattice gauge theory: A coulomb dipole gas. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 498 Charges, vortices and confinement. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 516 ix VIII Reflection Positivity Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 531 Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 531 A note on reflection positivity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532 x Introduction This volume contains a selection of expository articles on quantum field theory and statistical mechanics by James Glimm and Arthur Jaffe. They include a solution of the original interacting quantum field equations and a description of the physics which these equations contain. Quantum fields were proposed in the late 1920s as the natural framework which combines quantum theory with relativ ity. They have survived ever since.

Brownian Motion

Author : Peter Mörters
Publisher : Cambridge University Press
ISBN 13 : 1139486578
Total Pages : pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Brownian Motion by : Peter Mörters

Download or read book Brownian Motion written by Peter Mörters and published by Cambridge University Press. This book was released on 2010-03-25 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability. Notions of fractal dimension are introduced early and are used throughout the book to describe fine properties of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory of Brownian local times from random walk embeddings. Stochastic integration is introduced as a tool and an accessible treatment of the potential theory of Brownian motion clears the path for an extensive treatment of intersections of Brownian paths. An investigation of exceptional points on the Brownian path and an appendix on SLE processes, by Oded Schramm and Wendelin Werner, lead directly to recent research themes.

Lecture notes series

Author :
Publisher :
ISBN 13 :
Total Pages : 530 pages
Book Rating : 4.:/5 (319 download)

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Book Synopsis Lecture notes series by :

Download or read book Lecture notes series written by and published by . This book was released on 1963* with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Quantum Field Theory and Statistical Mechanics

Author : James Glimm
Publisher : Springer Science & Business Media
ISBN 13 : 1461251583
Total Pages : 406 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Quantum Field Theory and Statistical Mechanics by : James Glimm

Download or read book Quantum Field Theory and Statistical Mechanics written by James Glimm and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a selection of expository articles on quantum field theory and statistical mechanics by James Glimm and Arthur Jaffe. They include a solution of the original interacting quantum field equations and a description of the physics which these equations contain. Quantum fields were proposed in the late 1920s as the natural framework which combines quantum theory with relativ ity. They have survived ever since. The mathematical description for quantum theory starts with a Hilbert space H of state vectors. Quantum fields are linear operators on this space, which satisfy nonlinear wave equations of fundamental physics, including coupled Dirac, Max well and Yang-Mills equations. The field operators are restricted to satisfy a "locality" requirement that they commute (or anti-commute in the case of fer mions) at space-like separated points. This condition is compatible with finite propagation speed, and hence with special relativity. Asymptotically, these fields converge for large time to linear fields describing free particles. Using these ideas a scattering theory had been developed, based on the existence of local quantum fields.

Elementary Stochastic Calculus, With Finance In View

Author : Thomas Mikosch
Publisher : World Scientific Publishing Company
ISBN 13 : 9813105291
Total Pages : 223 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Elementary Stochastic Calculus, With Finance In View by : Thomas Mikosch

Download or read book Elementary Stochastic Calculus, With Finance In View written by Thomas Mikosch and published by World Scientific Publishing Company. This book was released on 1998-10-30 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory.This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Itô calculus and/or stochastic finance.

Markov Processes, Brownian Motion, and Time Symmetry

Author : Kai Lai Chung
Publisher : Springer Science & Business Media
ISBN 13 : 0387220267
Total Pages : 443 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Markov Processes, Brownian Motion, and Time Symmetry by : Kai Lai Chung

Download or read book Markov Processes, Brownian Motion, and Time Symmetry written by Kai Lai Chung and published by Springer Science & Business Media. This book was released on 2005-07-15 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Markov Processes and Potential Theory

Author : Joshua Chover
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Markov Processes and Potential Theory by : Joshua Chover

Download or read book Markov Processes and Potential Theory written by Joshua Chover and published by . This book was released on 1967 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Quantum Potential Theory

Author : Philippe Biane
Publisher : Springer
ISBN 13 : 3540693653
Total Pages : 467 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Quantum Potential Theory by : Philippe Biane

Download or read book Quantum Potential Theory written by Philippe Biane and published by Springer. This book was released on 2008-10-16 with total page 467 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers the revised and completed notes of lectures given at the 2007 conference, "Quantum Potential Theory: Structures and Applications to Physics." These lectures provide an introduction to the theory and discuss various applications.

Random Walk and the Heat Equation

Author : Gregory F. Lawler
Publisher : American Mathematical Soc.
ISBN 13 : 0821848291
Total Pages : 170 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Random Walk and the Heat Equation by : Gregory F. Lawler

Download or read book Random Walk and the Heat Equation written by Gregory F. Lawler and published by American Mathematical Soc.. This book was released on 2010-11-22 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation and considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In this book, Lawler introduces the heat equations and the closely related notion of harmonic functions from a probabilistic perspective. The theme of the first two chapters of the book is the relationship between random walks and the heat equation. This first chapter discusses the discrete case, random walk and the heat equation on the integer lattice; and the second chapter discusses the continuous case, Brownian motion and the usual heat equation. Relationships are shown between the two. For example, solving the heat equation in the discrete setting becomes a problem of diagonalization of symmetric matrices, which becomes a problem in Fourier series in the continuous case. Random walk and Brownian motion are introduced and developed from first principles. The latter two chapters discuss different topics: martingales and fractal dimension, with the chapters tied together by one example, a random Cantor set. The idea of this book is to merge probabilistic and deterministic approaches to heat flow. It is also intended as a bridge from undergraduate analysis to graduate and research perspectives. The book is suitable for advanced undergraduates, particularly those considering graduate work in mathematics or related areas.

Preprint Series

Author : Universitetet i Oslo. Matematisk institutt
Publisher :
ISBN 13 :
Total Pages : 500 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Preprint Series by : Universitetet i Oslo. Matematisk institutt

Download or read book Preprint Series written by Universitetet i Oslo. Matematisk institutt and published by . This book was released on 1975 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Lectures on Probability Theory and Statistics

Author : Erwin Bolthausen
Publisher : Springer
ISBN 13 : 3540479449
Total Pages : 469 pages
Book Rating : 4.5/5 (44 download)

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Book Synopsis Lectures on Probability Theory and Statistics by : Erwin Bolthausen

Download or read book Lectures on Probability Theory and Statistics written by Erwin Bolthausen and published by Springer. This book was released on 2004-06-04 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains lectures given at the Saint-Flour Summer School of Probability Theory during the period 8th-24th July, 1999. We thank the authors for all the hard work they accomplished. Their lectures are a work of reference in their domain. The School brought together 85 participants, 31 of whom gave a lecture concerning their research work. At the end of this volume you will find the list of participants and their papers. Finally, to facilitate research concerning previous schools we give here the number of the volume of "Lecture Notes" where they can be found: Lecture Notes in Mathematics 1975: n ° 539- 1971: n ° 307- 1973: n ° 390- 1974: n ° 480- 1979: n ° 876- 1976: n ° 598- 1977: n ° 678- 1978: n ° 774- 1980: n ° 929- 1981: n ° 976- 1982: n ° 1097- 1983: n ° 1117- 1988: n ° 1427- 1984: n ° 1180- 1985-1986 et 1987: n ° 1362- 1989: n ° 1464- 1990: n ° 1527- 1991: n ° 1541- 1992: n ° 1581- 1993: n ° 1608- 1994: n ° 1648- 1995: n ° 1690- 1996: n ° 1665- 1997: n ° 1717- 1998: n ° 1738- Lecture Notes in Statistics 1971: n ° 307- Table of Contents Part I Erwin Bolthausen: Large Deviations and Interacting Random Walks 1 On the construction of the three-dimensional polymer measure. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2 Self-attracting random walks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 3 One-dimensional pinning-depinning transitions. . . . . . . . . . . 105 References. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .