Markov Processes Gaussian Processes And Local Times

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Markov Processes, Gaussian Processes, and Local Times

Author : Michael B. Marcus
Publisher : Cambridge University Press
ISBN 13 : 1139458833
Total Pages : 4 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Markov Processes, Gaussian Processes, and Local Times by : Michael B. Marcus

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.

Markov Processes, Gaussian Processes, and Local Times

Author : Michael B. Marcus
Publisher : Cambridge University Press
ISBN 13 : 9780521863001
Total Pages : 640 pages
Book Rating : 4.8/5 (63 download)

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Book Synopsis Markov Processes, Gaussian Processes, and Local Times by : Michael B. Marcus

High Dimensional Probability II

Author : Evarist Giné
Publisher : Springer Science & Business Media
ISBN 13 : 1461213584
Total Pages : 491 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis High Dimensional Probability II by : Evarist Giné

Download or read book High Dimensional Probability II written by Evarist Giné and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: High dimensional probability, in the sense that encompasses the topics rep resented in this volume, began about thirty years ago with research in two related areas: limit theorems for sums of independent Banach space valued random vectors and general Gaussian processes. An important feature in these past research studies has been the fact that they highlighted the es sential probabilistic nature of the problems considered. In part, this was because, by working on a general Banach space, one had to discard the extra, and often extraneous, structure imposed by random variables taking values in a Euclidean space, or by processes being indexed by sets in R or Rd. Doing this led to striking advances, particularly in Gaussian process theory. It also led to the creation or introduction of powerful new tools, such as randomization, decoupling, moment and exponential inequalities, chaining, isoperimetry and concentration of measure, which apply to areas well beyond those for which they were created. The general theory of em pirical processes, with its vast applications in statistics, the study of local times of Markov processes, certain problems in harmonic analysis, and the general theory of stochastic processes are just several of the broad areas in which Gaussian process techniques and techniques from probability in Banach spaces have made a substantial impact. Parallel to this work on probability in Banach spaces, classical proba bility and empirical process theory were enriched by the development of powerful results in strong approximations.

Lévy Processes

Author : Ole E Barndorff-Nielsen
Publisher : Springer Science & Business Media
ISBN 13 : 1461201977
Total Pages : 414 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Lévy Processes by : Ole E Barndorff-Nielsen

Download or read book Lévy Processes written by Ole E Barndorff-Nielsen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.

An Introduction to Continuity, Extrema, and Related Topics for General Gaussian Processes

Author : Robert J. Adler
Publisher : IMS
ISBN 13 : 9780940600171
Total Pages : 198 pages
Book Rating : 4.6/5 (1 download)

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Book Synopsis An Introduction to Continuity, Extrema, and Related Topics for General Gaussian Processes by : Robert J. Adler

Download or read book An Introduction to Continuity, Extrema, and Related Topics for General Gaussian Processes written by Robert J. Adler and published by IMS. This book was released on 1990 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Topics in Spatial Stochastic Processes

Author : Vincenzo Capasso
Publisher : Springer Science & Business Media
ISBN 13 : 9783540002956
Total Pages : 268 pages
Book Rating : 4.0/5 (29 download)

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Book Synopsis Topics in Spatial Stochastic Processes by : Vincenzo Capasso

Download or read book Topics in Spatial Stochastic Processes written by Vincenzo Capasso and published by Springer Science & Business Media. This book was released on 2003-01-21 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of stochastic processes indexed by a partially ordered set has been the subject of much research over the past twenty years. The objective of this CIME International Summer School was to bring to a large audience of young probabilists the general theory of spatial processes, including the theory of set-indexed martingales and to present the different branches of applications of this theory, including stochastic geometry, spatial statistics, empirical processes, spatial estimators and survival analysis. This theory has a broad variety of applications in environmental sciences, social sciences, structure of material and image analysis. In this volume, the reader will find different approaches which foster the development of tools to modelling the spatial aspects of stochastic problems.

Continuous Time Markov Processes

Author : Thomas Milton Liggett
Publisher : American Mathematical Soc.
ISBN 13 : 0821849492
Total Pages : 290 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Continuous Time Markov Processes by : Thomas Milton Liggett

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.

Markov Processes, Brownian Motion, and Time Symmetry

Author : Kai Lai Chung
Publisher : Springer Science & Business Media
ISBN 13 : 0387286969
Total Pages : 444 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 2006-01-18 with total page 444 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.

Gaussian Processes

Author : Takeyuki Hida
Publisher : American Mathematical Soc.
ISBN 13 : 9780821887639
Total Pages : 208 pages
Book Rating : 4.8/5 (876 download)

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Book Synopsis Gaussian Processes by : Takeyuki Hida

Download or read book Gaussian Processes written by Takeyuki Hida and published by American Mathematical Soc.. This book was released on with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at students and researchers in mathematics, communications engineering, and economics, this book describes the probabilistic structure of a Gaussian process in terms of its canonical representation (or its innovation process). Multiple Markov properties of a Gaussian process and equivalence problems of Gaussian processes are clearly presented. The authors' approach is unique, involving causality in time evolution and information-theoretic aspects. Because the book is self-contained and only requires background in the fundamentals of probability theory and measure theory, it would be suitable as a textbook at the senior undergraduate or graduate level.

A Central Limit Theorem for Markov Paths and Some Properties of Gaussian Random Fields

Author : Robert J. Adler
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (227 download)

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Book Synopsis A Central Limit Theorem for Markov Paths and Some Properties of Gaussian Random Fields by : Robert J. Adler

Download or read book A Central Limit Theorem for Markov Paths and Some Properties of Gaussian Random Fields written by Robert J. Adler and published by . This book was released on 1986 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our primary aim is to 'build' versions of generalized Gaussian processes from simple, elementary components in such a way that as many as possible of the esoteric properties of these elusive objects become intuitive. For generalised Gaussian processes, or fields, indexed by smooth functions or measures on R sub d, our building blocks will be simple Markov processes whose state space is R sub d. Roughly speaking, by summing functions of the local times of the Markov processes we shall, via a central limit theorem type of result, obtain the Gaussian field. This central limit result, together with related results indicating how additive functionals of the Markov processes generate additive functionals of the fields, yield considerable insight into properties of generalised Gaussian processes such as Markovianess, self-similarity, 'locality' of functionals, etc. Although the paper is comprised primarily of new results, and despite the fact that the subject matter is somewhat esoteric, our aims are primarily didactic and expository - we want to try to initiate the uninitiated into some of the mysteries of generalised processes via an easily understood model. (Author).

Diffusions, Markov Processes, and Martingales: Volume 1, Foundations

Author : L. C. G. Rogers
Publisher : Cambridge University Press
ISBN 13 : 1107717493
Total Pages : 412 pages
Book Rating : 4.1/5 (77 download)

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Book Synopsis Diffusions, Markov Processes, and Martingales: Volume 1, Foundations by : L. C. G. Rogers

Download or read book Diffusions, Markov Processes, and Martingales: Volume 1, Foundations written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 2000-04-13 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors' aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively and readable account of the theory of Markov processes. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.

Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus

Author : L. C. G. Rogers
Publisher : Cambridge University Press
ISBN 13 : 9780521775939
Total Pages : 498 pages
Book Rating : 4.7/5 (759 download)

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Book Synopsis Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus by : L. C. G. Rogers

Download or read book Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 2000-09-07 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

Further Developments in Fractals and Related Fields

Author : Julien Barral
Publisher : Springer Science & Business Media
ISBN 13 : 081768400X
Total Pages : 296 pages
Book Rating : 4.8/5 (176 download)

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Book Synopsis Further Developments in Fractals and Related Fields by : Julien Barral

Download or read book Further Developments in Fractals and Related Fields written by Julien Barral and published by Springer Science & Business Media. This book was released on 2013-02-20 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, following in the tradition of a similar 2010 publication by the same editors, is an outgrowth of an international conference, “Fractals and Related Fields II,” held in June 2011. The book provides readers with an overview of developments in the mathematical fields related to fractals, including original research contributions as well as surveys from many of the leading experts on modern fractal theory and applications. The chapters cover fields related to fractals such as: *geometric measure theory *ergodic theory *dynamical systems *harmonic and functional analysis *number theory *probability theory Further Developments in Fractals and Related Fields is aimed at pure and applied mathematicians working in the above-mentioned areas as well as other researchers interested in discovering the fractal domain. Throughout the volume, readers will find interesting and motivating results as well as new avenues for further research.

Topics in Occupation Times and Gaussian Free Fields

Author : Alain-Sol Sznitman
Publisher : European Mathematical Society
ISBN 13 : 9783037191095
Total Pages : 128 pages
Book Rating : 4.1/5 (91 download)

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Book Synopsis Topics in Occupation Times and Gaussian Free Fields by : Alain-Sol Sznitman

Download or read book Topics in Occupation Times and Gaussian Free Fields written by Alain-Sol Sznitman and published by European Mathematical Society. This book was released on 2012 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book grew out of a graduate course at ETH Zurich during the spring 2011 term. It explores various links between such notions as occupation times of Markov chains, Gaussian free fields, Poisson point processes of Markovian loops, and random interlacements, which have been the object of intensive research over the last few years. These notions are developed in the convenient setup of finite weighted graphs endowed with killing measures. This book first discusses elements of continuous-time Markov chains, Dirichlet forms, potential theory, together with some consequences for Gaussian free fields. Next, isomorphism theorems and generalized Ray-Knight theorems, which relate occupation times of Markov chains to Gaussian free fields, are presented. Markovian loops are constructed and some of their key properties derived. The field of occupation times of Poisson point processes of Markovian loops is investigated. Of special interest are its connection to the Gaussian free field, and a formula of Symanzik. Finally, links between random interlacements and Markovian loops are discussed, and some further connections with Gaussian free fields are mentioned.

Markov Processes

Author : Daniel T. Gillespie
Publisher : Gulf Professional Publishing
ISBN 13 : 9780122839559
Total Pages : 600 pages
Book Rating : 4.8/5 (395 download)

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Book Synopsis Markov Processes by : Daniel T. Gillespie

Download or read book Markov Processes written by Daniel T. Gillespie and published by Gulf Professional Publishing. This book was released on 1992 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov process theory provides a mathematical framework for analyzing the elements of randomness that are involved in most real-world dynamical processes. This introductory text, which requires an understanding of ordinary calculus, develops the concepts and results of random variable theory.

Symmetric Markov Processes, Time Change, and Boundary Theory (LMS-35)

Author : Zhen-Qing Chen
Publisher : Princeton University Press
ISBN 13 : 069113605X
Total Pages : 496 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Symmetric Markov Processes, Time Change, and Boundary Theory (LMS-35) by : Zhen-Qing Chen

Download or read book Symmetric Markov Processes, Time Change, and Boundary Theory (LMS-35) written by Zhen-Qing Chen and published by Princeton University Press. This book was released on 2012 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.

Markov Processes

Author : James R. Kirkwood
Publisher : CRC Press
ISBN 13 : 1482240742
Total Pages : 336 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Markov Processes by : James R. Kirkwood

Download or read book Markov Processes written by James R. Kirkwood and published by CRC Press. This book was released on 2015-02-09 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Clear, rigorous, and intuitive, Markov Processes provides a bridge from an undergraduate probability course to a course in stochastic processes and also as a reference for those that want to see detailed proofs of the theorems of Markov processes. It contains copious computational examples that motivate and illustrate the theorems. The text is desi