Download or read book Continuous Parameter Markov Chains Classification of Boundary Points and Use of Local Time written by Harry Frederick Bushar and published by . This book was released on 1976 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Continuous Parameter Markov Chains written by Kai Lai Chung and published by . This book was released on 1958 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Passage Times for Markov Chains written by R. Syski and published by IOS Press. This book was released on 1992 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a survey of work on passage times in stable Markov chains with a discrete state space and a continuous time. Passage times have been investigated since early days of probability theory and its applications. The best known example is the first entrance time to a set, which embraces waiting times, busy periods, absorption problems, extinction phenomena, etc. Another example of great interest is the last exit time from a set. The book presents a unifying treatment of passage times, written in a systematic manner and based on modern developments. The appropriate unifying framework is provided by probabilistic potential theory, and the results presented in the text are interpreted from this point of view. In particular, the crucial role of the Dirichlet problem and the Poisson equation is stressed. The work is addressed to applied probalilists, and to those who are interested in applications of probabilistic methods in their own areas of interest. The level of presentation is that of a graduate text in applied stochastic processes. Hence, clarity of presentation takes precedence over secondary mathematical details whenever no serious harm may be expected. Advanced concepts described in the text gain nowadays growing acceptance in applied fields, and it is hoped that this work will serve as an useful introduction. Abstracted by Mathematical Reviews, issue 94c

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1994 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Continuous Time Markov Chains written by William J. Anderson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: Continuous time parameter Markov chains have been useful for modeling various random phenomena occurring in queueing theory, genetics, demography, epidemiology, and competing populations. This is the first book about those aspects of the theory of continuous time Markov chains which are useful in applications to such areas. It studies continuous time Markov chains through the transition function and corresponding q-matrix, rather than sample paths. An extensive discussion of birth and death processes, including the Stieltjes moment problem, and the Karlin-McGregor method of solution of the birth and death processes and multidimensional population processes is included, and there is an extensive bibliography. Virtually all of this material is appearing in book form for the first time.

Download or read book Discrete Time Markov Chains written by George Yin and published by Springer Science & Business Media. This book was released on 2005 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on discrete-time-scale Markov chains, the contents of this book are an outgrowth of some of the authors' recent research. The motivation stems from existing and emerging applications in optimization and control of complex hybrid Markovian systems in manufacturing, wireless communication, and financial engineering. Much effort in this book is devoted to designing system models arising from these applications, analyzing them via analytic and probabilistic techniques, and developing feasible computational algorithms so as to reduce the inherent complexity. This book presents results including asymptotic expansions of probability vectors, structural properties of occupation measures, exponential bounds, aggregation and decomposition and associated limit processes, and interface of discrete-time and continuous-time systems. One of the salient features is that it contains a diverse range of applications on filtering, estimation, control, optimization, and Markov decision processes, and financial engineering. This book will be an important reference for researchers in the areas of applied probability, control theory, operations research, as well as for practitioners who use optimization techniques. Part of the book can also be used in a graduate course of applied probability, stochastic processes, and applications.

Download or read book Understanding Markov Chains written by Nicolas Privault and published by Springer. This book was released on 2018-08-03 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an undergraduate-level introduction to discrete and continuous-time Markov chains and their applications, with a particular focus on the first step analysis technique and its applications to average hitting times and ruin probabilities. It also discusses classical topics such as recurrence and transience, stationary and limiting distributions, as well as branching processes. It first examines in detail two important examples (gambling processes and random walks) before presenting the general theory itself in the subsequent chapters. It also provides an introduction to discrete-time martingales and their relation to ruin probabilities and mean exit times, together with a chapter on spatial Poisson processes. The concepts presented are illustrated by examples, 138 exercises and 9 problems with their solutions.

Download or read book Continuous Time Markov Chains and Applications written by G. George Yin and published by Springer Science & Business Media. This book was released on 2012-11-14 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions. To bridge the gap between theory and applications, a large portion of the book is devoted to applications in controlled dynamic systems, production planning, and numerical methods for controlled Markovian systems with large-scale and complex structures in the real-world problems. This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. The chapters on analytic and probabilistic properties of two-time-scale Markov chains have been almost completely rewritten and the notation has been streamlined and simplified. This book is written for applied mathematicians, engineers, operations researchers, and applied scientists. Selected material from the book can also be used for a one semester advanced graduate-level course in applied probability and stochastic processes.

Download or read book Catalog of Copyright Entries Third Series written by Library of Congress. Copyright Office and published by Copyright Office, Library of Congress. This book was released on 1978 with total page 1696 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Markov Chains written by David Freedman and published by . This book was released on 1971 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, part of a trilogy covering the field of Markov processes, provides a readable and constructive treatment of Markov chains. It contains some of the author's own research and many of the proofs are new. It includes material not usually available in textbooks, such as invariance principles for functionals of a Markov chain, Kolmogorov's inequality on the concentration function, the boundary, and the construction of a variety of continuous-time chains from their jump processes and holding times. (Author).

Download or read book Bulletin Institute of Mathematical Statistics written by Institute of Mathematical Statistics and published by . This book was released on 1993 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Continuous Parameter Markov Processes and Stochastic Differential Equations written by Rabi Bhattacharya and published by Springer Nature. This book was released on 2023-11-16 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: This graduate text presents the elegant and profound theory of continuous parameter Markov processes and many of its applications. The authors focus on developing context and intuition before formalizing the theory of each topic, illustrated with examples. After a review of some background material, the reader is introduced to semigroup theory, including the Hille–Yosida Theorem, used to construct continuous parameter Markov processes. Illustrated with examples, it is a cornerstone of Feller’s seminal theory of the most general one-dimensional diffusions studied in a later chapter. This is followed by two chapters with probabilistic constructions of jump Markov processes, and processes with independent increments, or Lévy processes. The greater part of the book is devoted to Itô’s fascinating theory of stochastic differential equations, and to the study of asymptotic properties of diffusions in all dimensions, such as explosion, transience, recurrence, existence of steady states, and the speed of convergence to equilibrium. A broadly applicable functional central limit theorem for ergodic Markov processes is presented with important examples. Intimate connections between diffusions and linear second order elliptic and parabolic partial differential equations are laid out in two chapters, and are used for computational purposes. Among Special Topics chapters, two study anomalous diffusions: one on skew Brownian motion, and the other on an intriguing multi-phase homogenization of solute transport in porous media.

Download or read book Markov Chains with Stationary Transition Probabilities written by Kai Lai Chung and published by Springer Science & Business Media. This book was released on 1967 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: J. Neveu, 1962 in Zentralblatt für Mathematik, 92.Band Heft 2, p. 343: "Ce livre écrit par l'un des plus éminents spécialistes en la matière, est un exposé très détaillé de la théorie des processus de Markov définis sur un espace dénombrable d'états et homogènes dans le temps (chaines stationnaires de Markov)." N.Jain, 2008 in Selected Works of Kai Lai Chung, edited by Farid AitSahlia (University of Florida, USA), Elton Hsu (Northwestern University, USA), & Ruth Williams (University of California-San Diego, USA), Chapter 1, p. 15: "This monograph deals with countable state Markov chains in both discrete time (Part I) and continuous time (Part II). [...] Much of Kai Lai's fundamental work in the field is included in this monograph. Here, for the first time, Kai Lai gave a systematic exposition of the subject which includes classification of states, ratio ergodic theorems, and limit theorems for functionals of the chain."

Download or read book Local Time at Boundary Atoms of a Markov Chain written by Robert Thomas Smythe and published by . This book was released on 1969 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book American Doctoral Dissertations written by and published by . This book was released on 1980 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1989 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comprehensive Dissertation Index Mathematics statistics Physics A E written by and published by . This book was released on 1984 with total page 1008 pages. Available in PDF, EPUB and Kindle. Book excerpt: