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

Download or read book Excursions of Markov Processes written by Robert McCallum Blumenthal and published by . This book was released on 1992 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Processes and Point Processes of Excursions written by J. A. M. van der Weide and published by . This book was released on 1994 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Poisson Point Processes and Their Application to Markov Processes written by Kiyosi Itô and published by Springer. This book was released on 2015-12-24 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. Feller, K. Itô, and H. P. McKean, among others. In this book, Itô discussed a case of a general Markov process with state space S and a specified point a ∈ S called a boundary. The problem is to obtain all possible recurrent extensions of a given minimal process (i.e., the process on S \ {a} which is absorbed on reaching the boundary a). The study in this lecture is restricted to a simpler case of the boundary a being a discontinuous entrance point, leaving a more general case of a continuous entrance point to future works. He established a one-to-one correspondence between a recurrent extension and a pair of a positive measure k(db) on S \ {a} (called the jumping-in measure and a non-negative number m

Download or read book Excursion Theory for Rotation Invariant Markov Processes written by Juha Vuolle-Apiala and published by . This book was released on 1991 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Local Times and Excursion Theory for Brownian Motion written by Ju-Yi Yen and published by Springer. This book was released on 2013-10-01 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.

Download or read book A Lifetime of Excursions Through Random Walks and L vy Processes written by Loïc Chaumont and published by Springer Nature. This book was released on 2022-01-01 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.

Download or read book Construction of Strong Markov Processes Through Excursions and a Related Martin Boundary written by Thomas Stephenson Salisbury and published by . This book was released on 1983 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Diffusions Markov Processes and Martingales Volume 2 It 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.

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

Download or read book It s Stochastic Calculus and Probability Theory written by Nobuyuki Ikeda and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professor Kiyosi Ito is well known as the creator of the modern theory of stochastic analysis. Although Ito first proposed his theory, now known as Ito's stochastic analysis or Ito's stochastic calculus, about fifty years ago, its value in both pure and applied mathematics is becoming greater and greater. For almost all modern theories at the forefront of probability and related fields, Ito's analysis is indispensable as an essential instrument, and it will remain so in the future. For example, a basic formula, called the Ito formula, is well known and widely used in fields as diverse as physics and economics. This volume contains 27 papers written by world-renowned probability theorists. Their subjects vary widely and they present new results and ideas in the fields where stochastic analysis plays an important role. Also included are several expository articles by well-known experts surveying recent developments. Not only mathematicians but also physicists, biologists, economists and researchers in other fields who are interested in the effectiveness of stochastic theory will find valuable suggestions for their research. In addition, students who are beginning their study and research in stochastic analysis and related fields will find instructive and useful guidance here. This volume is dedicated to Professor Ito on the occasion of his eightieth birthday as a token of deep appreciation for his great achievements and contributions. An introduction to and commentary on the scientific works of Professor Ito are also included.

Download or read book An excursion into Markov chains written by Marco Ferrante and published by Springer. This book was released on 2015-12-07 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will present, in a rigorous way, the basic theory of the discrete-time and the continuous-time Markov chains, along with many examples and solved problems. For both the topics a simple model, the Random Walk and the Poisson Process respectively, will be used to anticipate and illustrate the most interesting concepts rigorously defined in the following sections. A great attention will be paid to the applications of the theory of the Markov chains and many classical as well as new results will be faced in the book. This textbook is intended for a basic course on stochastic processes at an advanced undergraduate level and the background needed will be a first course in probability theory. A big emphasis is given to the computational approach and to simulations.

Download or read book S minaire de Probabilit s XLII written by Catherine Donati-Martin and published by Springer Science & Business Media. This book was released on 2009-06-29 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: The tradition of specialized courses in the Séminaires de Probabilités is continued with A. Lejay's Another introduction to rough paths. Other topics from this 42nd volume range from the interface between analysis and probability to special processes, Lévy processes and Lévy systems, branching, penalization, representation of Gaussian processes, filtrations and quantum probability.

Download or read book Selected Works of Kai Lai Chung written by Farid AitSahlia and published by World Scientific. This book was released on 2008 with total page 847 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique volume presents a collection of the extensive journal publications written by Kai Lai Chung over a span of 70-odd years. It was produced to celebrate his 90th birthday. The selection is only a subset of the many contributions that he made throughout his prolific career. Another volume, Chance and Choice, published by World Scientific in 2004, contains yet another subset, with four articles in common with this volume. Kai Lai Chung''s research contributions have had a major influence on several areas in probability. Among his most significant works are those related to sums of independent random variables, Markov chains, time reversal of Markov processes, probabilistic potential theory, Brownian excursions, and gauge theorems for the SchrAdinger equation.As Kai Lai Chung''s contributions spawned critical new developments, this volume also contains retrospective and perspective views provided by collaborators and other authors who themselves advanced the areas of probability and mathematics."

Download or read book Selected Works Of Kai Lai Chung written by Elton P Hsu and published by World Scientific. This book was released on 2008-10-22 with total page 847 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique volume presents a collection of the extensive journal publications written by Kai Lai Chung over a span of 70-odd years. It was produced to celebrate his 90th birthday. The selection is only a subset of the many contributions that he made throughout his prolific career. Another volume, Chance and Choice, published by World Scientific in 2004, contains yet another subset, with four articles in common with this volume. Kai Lai Chung's research contributions have had a major influence on several areas in probability. Among his most significant works are those related to sums of independent random variables, Markov chains, time reversal of Markov processes, probabilistic potential theory, Brownian excursions, and gauge theorems for the Schrödinger equation.As Kai Lai Chung's contributions spawned critical new developments, this volume also contains retrospective and perspective views provided by collaborators and other authors who themselves advanced the areas of probability and mathematics.

Download or read book Markov Processes Applied to Control Replacement and Signal Analysis written by Erhan Cinlar and published by . This book was released on 1982 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research efforts during this period concentrated on the following topics: (a) Deformation of Solids; (b) Markov and Semimarkov Models of Deterioration; (c) Regenerative Systems and Markov Additive Processes; (d) Excursions of Markov Processes; and (e) Brownian Motion on Riemannian Manifolds.

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 for the first time; essential reading for all students of probability theory.