Michael B. Marcus, Jay Rosen

Markov Processes, Gaussian Processes, and Local Times

• Broschiertes Buch

Produktbeschreibung

A readable synthesis of three main areas in the modern theory of stochastic processes.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 632
• Erscheinungstermin: 16. Juni 2011
• Englisch
• Abmessung: 229mm x 152mm x 37mm
• Gewicht: 1011g
• ISBN-13: 9781107403758
• ISBN-10: 1107403758
• Artikelnr.: 33876152

Inhaltsangabe

1. Introduction
2. Brownian motion and Ray-Knight theorems
3. Markov processes and local times
4. Constructing Markov processes
5. Basic properties of Gaussian processes
6. Continuity and boundedness
7. Moduli of continuity
8. Isomorphism theorems
9. Sample path properties of local times
10. p-Variation
11. Most visited site
12. Local times of diffusions
13. Associated Gaussian processes
Appendices: A. Kolmogorov's theorem for path continuity
B. Bessel processes
C. Analytic sets and the projection theorem
D. Hille-Yosida theorem
E. Stone-Weierstrass theorems
F. Independent random variables
G. Regularly varying functions
H. Some useful inequalities
I. Some linear algebra
References
Index.