Markov Processes, Semigroups and Generators Hardback
by Vassili N. Kolokoltsov
Part of the De Gruyter Studies in Mathematics series
Hardback
Description
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, Levy 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, DE 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
Information
-
Out of stock
- Format:Hardback
- Pages:448 pages
- Publisher:De Gruyter
- Publication Date:17/03/2011
- Category:
- ISBN:9783110250107
Other Formats
- PDF from £120.00
Information
-
Out of stock
- Format:Hardback
- Pages:448 pages
- Publisher:De Gruyter
- Publication Date:17/03/2011
- Category:
- ISBN:9783110250107
