markov chains north holland mathematical library

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Markov Chains

Author : D. Revuz
ISBN : 0080880223
Genre : Mathematics
File Size : 66. 13 MB
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This is the revised and augmented edition of a now classic book which is an introduction to sub-Markovian kernels on general measurable spaces and their associated homogeneous Markov chains. The first part, an expository text on the foundations of the subject, is intended for post-graduate students. A study of potential theory, the basic classification of chains according to their asymptotic behaviour and the celebrated Chacon-Ornstein theorem are examined in detail. The second part of the book is at a more advanced level and includes a treatment of random walks on general locally compact abelian groups. Further chapters develop renewal theory, an introduction to Martin boundary and the study of chains recurrent in the Harris sense. Finally, the last chapter deals with the construction of chains starting from a kernel satisfying some kind of maximum principle.

Markov Processes Feller Semigroups And Evolution Equations

Author : J. A. van Casteren
ISBN : 9789814322188
Genre : Mathematics
File Size : 60. 60 MB
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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.

Probability Theory

Author : Achim Klenke
ISBN : 9781447153610
Genre : Mathematics
File Size : 43. 3 MB
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This second edition of the popular textbook contains a comprehensive course in modern probability theory, covering a wide variety of topics which are not usually found in introductory textbooks, including: • limit theorems for sums of random variables • martingales • percolation • Markov chains and electrical networks • construction of stochastic processes • Poisson point process and infinite divisibility • large deviation principles and statistical physics • Brownian motion • stochastic integral and stochastic differential equations. The theory is developed rigorously and in a self-contained way, with the chapters on measure theory interlaced with the probabilistic chapters in order to display the power of the abstract concepts in probability theory. This second edition has been carefully extended and includes many new features. It contains updated figures (over 50), computer simulations and some difficult proofs have been made more accessible. A wealth of examples and more than 270 exercises as well as biographic details of key mathematicians support and enliven the presentation. It will be of use to students and researchers in mathematics and statistics in physics, computer science, economics and biology.

Martingales And Markov Chains

Author : Paolo Baldi
ISBN : 9781482285918
Genre : Mathematics
File Size : 32. 87 MB
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A thorough grounding in Markov chains and martingales is essential in dealing with many problems in applied probability, and is a gateway to the more complex situations encountered in the study of stochastic processes. Exercises are a fundamental and valuable training tool that deepen students' understanding of theoretical principles and prepare them to tackle real problems. In addition to a quick but thorough exposition of the theory, Martingales and Markov Chains: Solved Exercises and Elements of Theory presents, more than 100 exercises related to martingales and Markov chains with a countable state space, each with a full and detailed solution. The authors begin with a review of the basic notions of conditional expectations and stochastic processes, then set the stage for each set of exercises by recalling the relevant elements of the theory. The exercises range in difficulty from the elementary, requiring use of the basic theory, to the more advanced, which challenge the reader's initiative. Each section also contains a set of problems that open the door to specific applications. Designed for senior undergraduate- and graduate level students, this text goes well beyond merely offering hints for solving the exercises, but it is much more than just a solutions manual. Within its solutions, it provides frequent references to the relevant theory, proposes alternative ways of approaching the problem, and discusses and compares the arguments involved.

Stochastic Processes In Physics And Chemistry

Author : N.G. Van Kampen
ISBN : 0080475361
Genre : Science
File Size : 83. 12 MB
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The third edition of Van Kampen's standard work has been revised and updated. The main difference with the second edition is that the contrived application of the quantum master equation in section 6 of chapter XVII has been replaced with a satisfactory treatment of quantum fluctuations. Apart from that throughout the text corrections have been made and a number of references to later developments have been included. From the recent textbooks the following are the most relevant. C.W.Gardiner, Quantum Optics (Springer, Berlin 1991) D.T. Gillespie, Markov Processes (Academic Press, San Diego 1992) W.T. Coffey, Yu.P.Kalmykov, and J.T.Waldron, The Langevin Equation (2nd edition, World Scientific, 2004) * Comprehensive coverage of fluctuations and stochastic methods for describing them * A must for students and researchers in applied mathematics, physics and physical chemistry

Subject Guide To Books In Print

Author :
ISBN : STANFORD:36105025888533
Genre : American literature
File Size : 49. 41 MB
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Quasi Stationary Phenomena In Nonlinearly Perturbed Stochastic Systems

Author : Mats Gyllenberg
ISBN : UOM:39015082861348
Genre : Mathematics
File Size : 72. 56 MB
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This book is devoted to the mathematical studies of stochastic systems with quasi-stationary phenomena which have applications to population dynamics or epidemic models. In addition to its use for the research and reference purposes, the book can also be used in special courses on the subject and as a complementary reading in general courses on stochastic processes. In this respect, it may be useful for specialists as well as doctoral and advanced undergraduate students.

Passage Times For Markov Chains

Author : R. Syski
ISBN : 905199060X
Genre : Mathematics
File Size : 80. 62 MB
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The main theme of this book is that the appropriate unifying framework for discussion of passage times is provided by the probabilistic potential theory. Results of both theoretical and practical importance are discussed. Concepts of potentials, excessive functions and measures, balayage and duality are used. The crucial role of the Dirichlet problem and the Poisson equation, and various decomposition theorems is stressed. The four chapters cover analytic and measure theory, and applications. Annotation copyright by Book News, Inc., Portland, OR

Hypergraphs

Author : C. Berge
ISBN : 0080880231
Genre : Mathematics
File Size : 85. 30 MB
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Graph Theory has proved to be an extremely useful tool for solving combinatorial problems in such diverse areas as Geometry, Algebra, Number Theory, Topology, Operations Research and Optimization. It is natural to attempt to generalise the concept of a graph, in order to attack additional combinatorial problems. The idea of looking at a family of sets from this standpoint took shape around 1960. In regarding each set as a ``generalised edge'' and in calling the family itself a ``hypergraph'', the initial idea was to try to extend certain classical results of Graph Theory such as the theorems of Turán and König. It was noticed that this generalisation often led to simplification; moreover, one single statement, sometimes remarkably simple, could unify several theorems on graphs. This book presents what seems to be the most significant work on hypergraphs.

Revue Roumaine De Math Matiques Pures Et Appliqu Es

Author :
ISBN : UOM:39015046580919
Genre : Mathematics
File Size : 63. 12 MB
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