Download or read book Markov Processes Feller Semigroups and Evolution Equations written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Markov Processes Feller Semigroups and Evolution Equations written by J. A. van Casteren and published by World Scientific. This book was released on 2011 with total page 825 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which are mathematical physics, hedging models in financial mathematics, and population models.
Download or read book Markov Processes Semigroups and Generators written by Vassili N. Kolokoltsov and published by Walter de Gruyter. This book was released on 2011-03-29 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Generators of Markov Chains written by Adam Bobrowski and published by Cambridge University Press. This book was released on 2020-11-26 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: A clear explanation of what an explosive Markov chain does after it passes through all available states in finite time.
Download or read book Pseudo Differential Operators and Markov Processes written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Structured Dependence between Stochastic Processes written by Tomasz R. Bielecki and published by Cambridge University Press. This book was released on 2020-08-27 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relatively young theory of structured dependence between stochastic processes has many real-life applications in areas including finance, insurance, seismology, neuroscience, and genetics. With this monograph, the first to be devoted to the modeling of structured dependence between random processes, the authors not only meet the demand for a solid theoretical account but also develop a stochastic processes counterpart of the classical copula theory that exists for finite-dimensional random variables. Presenting both the technical aspects and the applications of the theory, this is a valuable reference for researchers and practitioners in the field, as well as for graduate students in pure and applied mathematics programs. Numerous theoretical examples are included, alongside examples of both current and potential applications, aimed at helping those who need to model structured dependence between dynamic random phenomena.
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.
Download or read book Markov Operators Positive Semigroups and Approximation Processes written by Francesco Altomare and published by Walter de Gruyter GmbH & Co KG. This book was released on 2015-12-18 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years several investigations have been devoted to the study of large classes of (mainly degenerate) initial-boundary value evolution problems in connection with the possibility to obtain a constructive approximation of the associated positive C_0-semigroups. In this research monograph we present the main lines of a theory which finds its root in the above-mentioned research field.
Download or read book Semigroups Boundary Value Problems and Markov Processes written by Kazuaki Taira and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume will be of great appeal to both advanced students and researchers. For the former, it serves as an effective introduction to three interrelated subjects of analysis: semigroups, Markov processes and elliptic boundary value problems. For the latter, it provides a new method for the analysis of Markov processes, a powerful method clearly capable of extensive further development.
Download or read book Evolution of Systems in Random Media written by Vladimir S. Korolyuk and published by CRC Press. This book was released on 1995-09-11 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolution of Systems in Random Media is an innovative, application-oriented text that explores stochastic models of evolutionary stochastic systems in random media. Specially designed for researchers and practitioners who do not have a background in random evolutions, the book allows non-experts to explore the potential information and applications that random evolutions can provide.
Download or read book Semi Markov Random Evolutions written by Vladimir S. Korolyuk and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: The evolution of systems in random media is a broad and fruitful field for the applica tions of different mathematical methods and theories. This evolution can be character ized by a semigroup property. In the abstract form, this property is given by a semigroup of operators in a normed vector (Banach) space. In the practically boundless variety of mathematical models of the evolutionary systems, we have chosen the semi-Markov ran dom evolutions as an object of our consideration. The definition of the evolutions of this type is based on rather simple initial assumptions. The random medium is described by the Markov renewal processes or by the semi Markov processes. The local characteristics of the system depend on the state of the ran dom medium. At the same time, the evolution of the system does not affect the medium. Hence, the semi-Markov random evolutions are described by two processes, namely, by the switching Markov renewal process, which describes the changes of the state of the external random medium, and by the switched process, i.e., by the semigroup of oper ators describing the evolution of the system in the semi-Markov random medium.
Download or read book Lectures on Random Evolution written by Mark A. Pinsky and published by World Scientific. This book was released on 1991 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: Random evolution denotes a class of stochastic processes which evolve according to a rule which varies in time according to jumps. This is in contrast to diffusion processes, which assume that the rule changes continuously with time. Random evolutions provide a very flexible language, having the advantage that they permit direct numerical simulation-which is not possible for a diffusion process. Furthermore, they allow connections with hyperbolic partial differential equations and the kinetic theory of gases, which is impossible within the domain of diffusion proceses. They also posses great geometric invariance, allowing formulation on an arbitrary Riemannian manifold. In the field of stochastic stability, random evolutions furnish some easily computable models in which to study the Lyapunov exponent and rotation numbers of oscillators under the influence of noise. This monograph presents the various aspects of random evolution in an accessible and interesting format which will appeal to a large scientific audience.
Download or read book Markov Processes written by Stewart N. Ethier and published by John Wiley & Sons. This book was released on 1986-04-04 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: As a graduate text/reference on Markov Processes and their relationship to operator semigroups, this book presents several different approaches to proving weak approximation theorems for Markov processes, emphasizing the interplay of methods of characterization and approximation.
Download or read book Fractional Differential Equations written by Anatoly Kochubei and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-02-19 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This multi-volume handbook is the most up-to-date and comprehensive reference work in the field of fractional calculus and its numerous applications. This second volume collects authoritative chapters covering the mathematical theory of fractional calculus, including ordinary and partial differential equations of fractional order, inverse problems, and evolution equations.
Download or read book Pseudo Differential Operators And Markov Processes Volume I Fourier Analysis And Semigroups written by Niels Jacob and published by World Scientific. This book was released on 2001-11-28 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: After recalling essentials of analysis — including functional analysis, convexity, distribution theory and interpolation theory — this book handles 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. The book is self-contained and offers new material originated by the author and his students./a
Download or read book Markov Processes and Differential Equations written by Mark I. Freidlin and published by Birkhäuser. This book was released on 2012-12-06 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probabilistic methods can be applied very successfully to a number of asymptotic problems for second-order linear and non-linear partial differential equations. Due to the close connection between the second order differential operators with a non-negative characteristic form on the one hand and Markov processes on the other, many problems in PDE's can be reformulated as problems for corresponding stochastic processes and vice versa. In the present book four classes of problems are considered: - the Dirichlet problem with a small parameter in higher derivatives for differential equations and systems - the averaging principle for stochastic processes and PDE's - homogenization in PDE's and in stochastic processes - wave front propagation for semilinear differential equations and systems. From the probabilistic point of view, the first two topics concern random perturbations of dynamical systems. The third topic, homog- enization, is a natural problem for stochastic processes as well as for PDE's. Wave fronts in semilinear PDE's are interesting examples of pattern formation in reaction-diffusion equations. The text presents new results in probability theory and their applica- tion to the above problems. Various examples help the reader to understand the effects. Prerequisites are knowledge in probability theory and in partial differential equations.
Download or read book Pseudo Differential Operators Markov Processes written by Niels Jacob and published by Imperial College Press. This book was released on 2005 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume concentrates on how to construct a Markov process by starting with a suitable pseudo-differential operator. Feller processes, Hunt processes associated with Lp-sub-Markovian semigroups and processes constructed by using the Martingale problem are at the center of the considerations. The potential theory of these processes is further developed and applications are discussed. Due to the non-locality of the generators, the processes are jump processes and their relations to Levy processes are investigated. Special emphasis is given to the symbol of a process, a notion which generalizes that of the characteristic exponent of a Levy process and provides a natural link to pseudo-differential operator theory.
