Download or read book Introduction to the Theory of Diffusion Processes written by Nikolaĭ Vladimirovich Krylov and published by . This book was released on 1994 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Schr dinger Equations and Diffusion Theory written by M. Nagasawa and published by Birkhäuser. This book was released on 2012-12-06 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Schrödinger Equations and Diffusion Theory addresses the question "What is the Schrödinger equation?" in terms of diffusion processes, and shows that the Schrödinger equation and diffusion equations in duality are equivalent. In turn, Schrödinger's conjecture of 1931 is solved. The theory of diffusion processes for the Schrödinger equation tell us that we must go further into the theory of systems of (infinitely) many interacting quantum (diffusion) particles. The method of relative entropy and the theory of transformations enable us to construct severely singular diffusion processes which appear to be equivalent to Schrödinger equations. The theory of large deviations and the propagation of chaos of interacting diffusion particles reveal the statistical mechanical nature of the Schrödinger equation, namely, quantum mechanics. The text is practically self-contained and requires only an elementary knowledge of probability theory at the graduate level.

Download or read book Multidimensional Diffusion Processes written by Daniel W. Stroock and published by Springer. This book was released on 2007-02-03 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik

Download or read book Diffusion Processes and Stochastic Calculus written by Fabrice Baudoin and published by Erich Schmidt Verlag GmbH & Co. KG. This book was released on 2014 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of the book is to present, at a graduate level and in a self-contained way, the most important aspects of the theory of continuous stochastic processes in continuous time and to introduce some of its ramifications such as the theory of semigroups, the Malliavin calculus, and the Lyons' rough paths. This book is intended for students, or even researchers, who wish to learn the basics in a concise but complete and rigorous manner. Several exercises are distributed throughout the text to test the understanding of the reader and each chapter ends with bibliographic comments aimed at those interested in exploring the materials further. Stochastic calculus was developed in the 1950s and the range of its applications is huge and still growing today. Besides being a fundamental component of modern probability theory, domains of applications include but are not limited to: mathematical finance, biology, physics, and engineering sciences. The first part of the text is devoted to the general theory of stochastic processes. The author focuses on the existence and regularity results for processes and on the theory of martingales. This allows him to introduce the Brownian motion quickly and study its most fundamental properties. The second part deals with the study of Markov processes, in particular, diffusions. The author's goal is to stress the connections between these processes and the theory of evolution semigroups. The third part deals with stochastic integrals, stochastic differential equations and Malliavin calculus. In the fourth and final part, the author presents an introduction to the very new theory of rough paths by Terry Lyons.

Download or read book Controlled Diffusion Processes written by N. V. Krylov and published by Springer Science & Business Media. This book was released on 2008-09-26 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.

Download or read book Schr dinger Equations and Diffusion Theory written by Masao Nagasawa and published by Springer Science & Business Media. This book was released on 2012-12-13 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Schrödinger Equations and Diffusion Theory addresses the question “What is the Schrödinger equation?” in terms of diffusion processes, and shows that the Schrödinger equation and diffusion equations in duality are equivalent. In turn, Schrödinger’s conjecture of 1931 is solved. The theory of diffusion processes for the Schrödinger equation tells us that we must go further into the theory of systems of (infinitely) many interacting quantum (diffusion) particles. The method of relative entropy and the theory of transformations enable us to construct severely singular diffusion processes which appear to be equivalent to Schrödinger equations. The theory of large deviations and the propagation of chaos of interacting diffusion particles reveal the statistical mechanical nature of the Schrödinger equation, namely, quantum mechanics. The text is practically self-contained and requires only an elementary knowledge of probability theory at the graduate level. --- This book is a self-contained, very well-organized monograph recommended to researchers and graduate students in the field of probability theory, functional analysis and quantum dynamics. (...) what is written in this book may be regarded as an introduction to the theory of diffusion processes and applications written with the physicists in mind. Interesting topics present themselves as the chapters proceed. (...) this book is an excellent addition to the literature of mathematical sciences with a flavour different from an ordinary textbook in probability theory because of the author’s great contributions in this direction. Readers will certainly enjoy the topics and appreciate the profound mathematical properties of diffusion processes. (Mathematical Reviews)​

Download or read book Elements of Random Walk and Diffusion Processes written by Oliver C. Ibe and published by John Wiley & Sons. This book was released on 2013-08-29 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents an important and unique introduction to random walk theory Random walk is a stochastic process that has proven to be a useful model in understanding discrete-state discrete-time processes across a wide spectrum of scientific disciplines. Elements of Random Walk and Diffusion Processes provides an interdisciplinary approach by including numerous practical examples and exercises with real-world applications in operations research, economics, engineering, and physics. Featuring an introduction to powerful and general techniques that are used in the application of physical and dynamic processes, the book presents the connections between diffusion equations and random motion. Standard methods and applications of Brownian motion are addressed in addition to Levy motion, which has become popular in random searches in a variety of fields. The book also covers fractional calculus and introduces percolation theory and its relationship to diffusion processes. With a strong emphasis on the relationship between random walk theory and diffusion processes, Elements of Random Walk and Diffusion Processes features: Basic concepts in probability, an overview of stochastic and fractional processes, and elements of graph theory Numerous practical applications of random walk across various disciplines, including how to model stock prices and gambling, describe the statistical properties of genetic drift, and simplify the random movement of molecules in liquids and gases Examples of the real-world applicability of random walk such as node movement and node failure in wireless networking, the size of the Web in computer science, and polymers in physics Plentiful examples and exercises throughout that illustrate the solution of many practical problems Elements of Random Walk and Diffusion Processes is an ideal reference for researchers and professionals involved in operations research, economics, engineering, mathematics, and physics. The book is also an excellent textbook for upper-undergraduate and graduate level courses in probability and stochastic processes, stochastic models, random motion and Brownian theory, random walk theory, and diffusion process techniques.

Download or read book The Role of Diffusion Processes in Fertility Change in Developing Countries written by Committee on Population and published by National Academies Press. This book was released on 1999-04-12 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report summarizes presentations and discussions at the Workshop on the Social Processes Underlying Fertility Change in Developing Countries, organized by the Committee on Population of the National Research Council (NRC) in Washington, D.C., January 29-30, 1998. Fourteen papers were presented at the workshop; they represented both theoretical and empirical perspectives and shed new light on the role that diffusion processes may play in fertility transition. These papers served as the basis for the discussion that is summarized in this report.

Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Download or read book Inference for Diffusion Processes written by Christiane Fuchs and published by Springer Science & Business Media. This book was released on 2013-01-18 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.

Download or read book Statistical Inference for Ergodic Diffusion Processes written by Yury A. Kutoyants and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.

Download or read book Diffusion in Solids written by Helmut Mehrer and published by Springer Science & Business Media. This book was released on 2007-07-24 with total page 645 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the central aspects of diffusion in solids, and goes on to provide easy access to important information about diffusion in metals, alloys, semiconductors, ion-conducting materials, glasses and nanomaterials. Coverage includes diffusion-controlled phenomena including ionic conduction, grain-boundary and dislocation pipe diffusion. This book will benefit graduate students in such disciplines as solid-state physics, physical metallurgy, materials science, and geophysics, as well as scientists in academic and industrial research laboratories.

Download or read book Stochastic Modelling of Reaction Diffusion Processes written by Radek Erban and published by Cambridge University Press. This book was released on 2020-01-30 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This practical introduction to stochastic reaction-diffusion modelling is based on courses taught at the University of Oxford. The authors discuss the essence of mathematical methods which appear (under different names) in a number of interdisciplinary scientific fields bridging mathematics and computations with biology and chemistry. The book can be used both for self-study and as a supporting text for advanced undergraduate or beginning graduate-level courses in applied mathematics. New mathematical approaches are explained using simple examples of biological models, which range in size from simulations of small biomolecules to groups of animals. The book starts with stochastic modelling of chemical reactions, introducing stochastic simulation algorithms and mathematical methods for analysis of stochastic models. Different stochastic spatio-temporal models are then studied, including models of diffusion and stochastic reaction-diffusion modelling. The methods covered include molecular dynamics, Brownian dynamics, velocity jump processes and compartment-based (lattice-based) models.

Download or read book Introduction to the Theory of Random Processes written by Nikolaĭ Vladimirovich Krylov and published by American Mathematical Soc.. This book was released on 2002 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book concentrates on some general facts and ideas of the theory of stochastic processes. The topics include the Wiener process, stationary processes, infinitely divisible processes, and Ito stochastic equations. Basics of discrete time martingales are also presented and then used in one way or another throughout the book. Another common feature of the main body of the book is using stochastic integration with respect to random orthogonal measures. In particular, it is used forspectral representation of trajectories of stationary processes and for proving that Gaussian stationary processes with rational spectral densities are components of solutions to stochastic equations. In the case of infinitely divisible processes, stochastic integration allows for obtaining arepresentation of trajectories through jump measures. The Ito stochastic integral is also introduced as a particular case of stochastic integrals with respect to random orthogonal measures. Although it is not possible to cover even a noticeable portion of the topics listed above in a short book, it is hoped that after having followed the material presented here, the reader will have acquired a good understanding of what kind of results are available and what kind of techniques are used toobtain them. With more than 100 problems included, the book can serve as a text for an introductory course on stochastic processes or for independent study. Other works by this author published by the AMS include, Lectures on Elliptic and Parabolic Equations in Holder Spaces and Introduction to the Theoryof Diffusion Processes.

Download or read book Introduction to Diffusion Tensor Imaging written by Susumu Mori and published by Academic Press. This book was released on 2013-08-02 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concepts behind diffusion tensor imaging (DTI) are commonly difficult to grasp, even for magnetic resonance physicists. To make matters worse, a many more complex higher-order methods have been proposed over the last few years to overcome the now well-known deficiencies of DTI. In Introduction to Diffusion Tensor Imaging: And Higher Order Models, these concepts are explained through extensive use of illustrations rather than equations to help readers gain a more intuitive understanding of the inner workings of these techniques. Emphasis is placed on the interpretation of DTI images and tractography results, the design of experiments, and the types of application studies that can be undertaken. Diffusion MRI is a very active field of research, and theories and techniques are constantly evolving. To make sense of this constantly shifting landscape, there is a need for a textbook that explains the concepts behind how these techniques work in a way that is easy and intuitive to understand—Introduction to Diffusion Tensor Imaging fills this gap. Extensive use of illustrations to explain the concepts of diffusion tensor imaging and related methods Easy to understand, even without a background in physics Includes sections on image interpretation, experimental design, and applications Up-to-date information on more recent higher-order models, which are increasingly being used for clinical applications

Download or read book Diffusion Processes and Fertility Transition written by National Research Council and published by National Academies Press. This book was released on 2001-12-15 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is part of an effort to review what is known about the determinants of fertility transition in developing countries and to identify lessons that might lead to policies aimed at lowering fertility. It addresses the roles of diffusion processes, ideational change, social networks, and mass communications in changing behavior and values, especially as related to childbearing. A new body of empirical research is currently emerging from studies of social networks in Asia (Thailand, Taiwan, Korea), Latin America (Costa Rica), and Sub-Saharan Africa (Kenya, Malawi, Ghana). Given the potential significance of social interactions to the design of effective family planning programs in high-fertility settings, efforts to synthesize this emerging body of literature are clearly important.

Download or read book Point Processes and Jump Diffusions written by Tomas Björk and published by Cambridge University Press. This book was released on 2021-06-17 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.