Overview
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
Full Product Details
Author: Vassili N. Kolokoltsov ,
Vassili N Kolokoltsov
Publisher: De Gruyter
Imprint: De Gruyter
Volume: 38
Dimensions:
Width: 17.00cm
, Height: 2.80cm
, Length: 24.00cm
Weight: 0.886kg
ISBN: 9783110250107
ISBN 10: 3110250101
Pages: 448
Publication Date: 17 March 2011
Recommended Age: College Graduate Student
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Hardback
Publisher's Status: Active
Availability: In Print
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Reviews
[...] As a whole, the book is a valuable source of information both for specialists in the field and those who study the theory of stochastic processes. Anatoly N. Kochubei, Zentralblatt fur Mathematik
[...] As a whole, the book is a valuable source of information both for specialists in the field and those who study the theory of stochastic processes. Anatoly N. Kochubei, Zentralblatt fr Mathematik
[...] As a whole, the book is a valuable source of information both for specialists in the field and those who study the theory of stochastic processes. Anatoly N. Kochubei, Zentralblatt fur Mathematik
[...] As a whole, the book is a valuable source of information both for specialists in the field and those who study the theory of stochastic processes. Anatoly N. Kochubei, Zentralblatt f�r Mathematik
Author Information
Vassili N. Kolokoltsov, University of Warwick, UK.
