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Author :
Publisher : Academic Press
ISBN 13 : 0080873413
Total Pages : 325 pages
Book Rating : 4.0/5 (88 download)
Download or read book Markov Processes and Potential Theory written by and published by Academic Press. This book was released on 2011-08-29 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov Processes and Potential Theory
Author : Joseph L. Doob
Publisher : Springer Science & Business Media
ISBN 13 : 9783540412069
Total Pages : 892 pages
Book Rating : 4.4/5 (12 download)
Download or read book Classical Potential Theory and Its Probabilistic Counterpart written by Joseph L. Doob and published by Springer Science & Business Media. This book was released on 2001-01-12 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Here is a momumental work by Doob, one of the masters, in which Part 1 develops the potential theory associated with Laplace's equation and the heat equation, and Part 2 develops those parts (martingales and Brownian motion) of stochastic process theory which are closely related to Part 1". --G.E.H. Reuter in Short Book Reviews (1985)
Author : Robert M. Blumenthal
Publisher : Springer Science & Business Media
ISBN 13 : 1468494120
Total Pages : 287 pages
Book Rating : 4.4/5 (684 download)
Download or read book Excursions of Markov Processes written by Robert M. Blumenthal and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: Let {Xti t ~ O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "excursions away from 0," that is pieces of path X. : T ::5 s ::5 t, with Xr- = X = 0, but X. 1= 0 for T
Author : Thomas Milton Liggett
Publisher : American Mathematical Soc.
ISBN 13 : 0821849492
Total Pages : 290 pages
Book Rating : 4.8/5 (218 download)
Download or read book Continuous Time Markov Processes written by Thomas Milton Liggett and published by American Mathematical Soc.. This book was released on 2010 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Zhenqing Chen
Publisher : Princeton University Press
ISBN 13 : 1400840562
Total Pages : 496 pages
Book Rating : 4.4/5 (8 download)
Download or read book Symmetric Markov Processes, Time Change, and Boundary Theory (LMS-35) written by Zhenqing Chen and published by Princeton University Press. This book was released on 2011-10-31 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : E. B. Dynkin
Publisher : Courier Corporation
ISBN 13 : 0486154866
Total Pages : 226 pages
Book Rating : 4.4/5 (861 download)
Download or read book Theory of Markov Processes written by E. B. Dynkin and published by Courier Corporation. This book was released on 2012-01-27 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: DIVAn investigation of the logical foundations of the theory behind Markov random processes, this text explores subprocesses, transition functions, and conditions for boundedness and continuity. 1961 edition. /div
Author : Lester L. Helms
Publisher : Springer Science & Business Media
ISBN 13 : 1447164229
Total Pages : 494 pages
Book Rating : 4.4/5 (471 download)
Download or read book Potential Theory written by Lester L. Helms and published by Springer Science & Business Media. This book was released on 2014-04-10 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: Potential Theory presents a clear path from calculus to classical potential theory and beyond, with the aim of moving the reader into the area of mathematical research as quickly as possible. The subject matter is developed from first principles using only calculus. Commencing with the inverse square law for gravitational and electromagnetic forces and the divergence theorem, the author develops methods for constructing solutions of Laplace's equation on a region with prescribed values on the boundary of the region. The latter half of the book addresses more advanced material aimed at those with the background of a senior undergraduate or beginning graduate course in real analysis. Starting with solutions of the Dirichlet problem subject to mixed boundary conditions on the simplest of regions, methods of morphing such solutions onto solutions of Poisson's equation on more general regions are developed using diffeomorphisms and the Perron-Wiener-Brelot method, culminating in application to Brownian motion. In this new edition, many exercises have been added to reconnect the subject matter to the physical sciences. This book will undoubtedly be useful to graduate students and researchers in mathematics, physics and engineering.
Author : Evgenij Borisovic Dynkin
Publisher : Springer
ISBN 13 : 9783662000335
Total Pages : 366 pages
Book Rating : 4.0/5 (3 download)
Download or read book Markov Processes written by Evgenij Borisovic Dynkin and published by Springer. This book was released on 2012-08-01 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: The modem theory of Markov processes has its origins in the studies of A. A. MARKOV (1906-1907) on sequences of experiments "connected in a chain" and in the attempts to describe mathematically the physical phenomenon known as Brownian motion (L. BACHELlER 1900, A. EIN STEIN 1905). The first correct mathematical construction of a Markov process with continuous trajectories was given by N. WIENER in 1923. (This process is often called the Wiener process.) The general theory of Markov processes was developed in the 1930's and 1940's by A. N. KOL MOGOROV, W. FELLER, W. DOEBLlN, P. LEVY, J. L. DOOB, and others. During the past ten years the theory of Markov processes has entered a new period of intensive development. The methods of the theory of semigroups of linear operators made possible further progress in the classification of Markov processes by their infinitesimal characteristics. The broad classes of Markov processes with continuous trajectories be came the main object of study. The connections between Markov pro cesses and classical analysis were further developed. It has become possible not only to apply the results and methods of analysis to the problems of probability theory, but also to investigate analytic problems using probabilistic methods. Remarkable new connections between Markov processes and potential theory were revealed. The foundations of the theory were reviewed critically: the new concept of strong Markov process acquired for the whole theory of Markov processes great importance.
Author : Corneliu Constantinescu
Publisher : Springer
ISBN 13 :
Total Pages : 376 pages
Book Rating : 4.:/5 (44 download)
Download or read book Potential Theory on Harmonic Spaces written by Corneliu Constantinescu and published by Springer. This book was released on 1972-12-05 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been a considerable revival of interest in potential theory during the last 20 years. This is made evident by the appearance of new mathematical disciplines in that period which now-a-days are considered as parts of potential theory. Examples of such disciplines are: the theory of Choquet capacities, of Dirichlet spaces, of martingales and Markov processes, of integral representation in convex compact sets as well as the theory of harmonic spaces. All these theories have roots in classical potential theory. The theory of harmonic spaces, sometimes also called axiomatic theory of harmonic functions, plays a particular role among the above mentioned theories. On the one hand, this theory has particularly close connections with classical potential theory. Its main notion is that of a harmonic function and its main aim is the generalization and unification of classical results and methods for application to an extended class of elliptic and parabolic second order partial differential equations. On the other hand, the theory of harmonic spaces is closely related to the theory of Markov processes. In fact, all important notions and results of the theory have a probabilistic interpretation.
Author : Nicole Bäuerle
Publisher : Springer Science & Business Media
ISBN 13 : 3642183247
Total Pages : 393 pages
Book Rating : 4.6/5 (421 download)
Download or read book Markov Decision Processes with Applications to Finance written by Nicole Bäuerle and published by Springer Science & Business Media. This book was released on 2011-06-06 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).
Author : Kai Lai Chung
Publisher : Springer Science & Business Media
ISBN 13 : 0387220267
Total Pages : 443 pages
Book Rating : 4.3/5 (872 download)
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.
Author : Michael B. Marcus
Publisher : Cambridge University Press
ISBN 13 : 1139458833
Total Pages : 4 pages
Book Rating : 4.1/5 (394 download)
Download or read book Markov Processes, Gaussian Processes, and Local Times written by Michael B. Marcus and published by Cambridge University Press. This book was released on 2006-07-24 with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was first published in 2006. Written by two of the foremost researchers in the field, this book studies the local times of Markov processes by employing isomorphism theorems that relate them to certain associated Gaussian processes. It builds to this material through self-contained but harmonized 'mini-courses' on the relevant ingredients, which assume only knowledge of measure-theoretic probability. The streamlined selection of topics creates an easy entrance for students and experts in related fields. The book starts by developing the fundamentals of Markov process theory and then of Gaussian process theory, including sample path properties. It then proceeds to more advanced results, bringing the reader to the heart of contemporary research. It presents the remarkable isomorphism theorems of Dynkin and Eisenbaum and then shows how they can be applied to obtain new properties of Markov processes by using well-established techniques in Gaussian process theory. This original, readable book will appeal to both researchers and advanced graduate students.
Author : Daniel W. Stroock
Publisher : Princeton University Press
ISBN 13 : 1400835577
Total Pages : 289 pages
Book Rating : 4.4/5 (8 download)
Download or read book Markov Processes from K. Itô's Perspective (AM-155) written by Daniel W. Stroock and published by Princeton University Press. This book was released on 2003-05-06 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kiyosi Itô's greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. Starting with the geometric ideas that guided him, this book gives an account of Itô's program. The modern theory of Markov processes was initiated by A. N. Kolmogorov. However, Kolmogorov's approach was too analytic to reveal the probabilistic foundations on which it rests. In particular, it hides the central role played by the simplest Markov processes: those with independent, identically distributed increments. To remedy this defect, Itô interpreted Kolmogorov's famous forward equation as an equation that describes the integral curve of a vector field on the space of probability measures. Thus, in order to show how Itô's thinking leads to his theory of stochastic integral equations, Stroock begins with an account of integral curves on the space of probability measures and then arrives at stochastic integral equations when he moves to a pathspace setting. In the first half of the book, everything is done in the context of general independent increment processes and without explicit use of Itô's stochastic integral calculus. In the second half, the author provides a systematic development of Itô's theory of stochastic integration: first for Brownian motion and then for continuous martingales. The final chapter presents Stratonovich's variation on Itô's theme and ends with an application to the characterization of the paths on which a diffusion is supported. The book should be accessible to readers who have mastered the essentials of modern probability theory and should provide such readers with a reasonably thorough introduction to continuous-time, stochastic processes.
Author : Masatoshi Fukushima
Publisher : Walter de Gruyter
ISBN 13 : 3110218089
Total Pages : 501 pages
Book Rating : 4.1/5 (12 download)
Download or read book Dirichlet Forms and Symmetric Markov Processes written by Masatoshi Fukushima and published by Walter de Gruyter. This book was released on 2011 with total page 501 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the publication of the first edition in 1994, this book has attracted constant interests from readers and is by now regarded as a standard reference for the theory of Dirichlet forms. For the present second edition, the authors not only revise
Author : Niels Jacob
Publisher : Imperial College Press
ISBN 13 : 1860945686
Total Pages : 506 pages
Book Rating : 4.8/5 (69 download)
Download or read book Pseudo Differential Operators & Markov Processes: Markov processes and applications written by Niels Jacob and published by Imperial College Press. This book was released on 2001 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Jürgen Bliedtner
Publisher : Springer Science & Business Media
ISBN 13 : 3642711316
Total Pages : 448 pages
Book Rating : 4.6/5 (427 download)
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.
Author :
Publisher : Academic Press
ISBN 13 : 0080874533
Total Pages : 439 pages
Book Rating : 4.0/5 (88 download)
Download or read book General Theory of Markov Processes written by and published by Academic Press. This book was released on 1988-11-01 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: General Theory of Markov Processes
