Vassili N. Kolokoltsov

Markov Processes, Semigroups and Generators (eBook, PDF)

• Format: PDF

Produktbeschreibung

This work offers a highly useful, well developed reference on Markov processes, the universal model for random processes and evolutions. The wide range of applications, in exact sciences as well as in other areas like social studies, require a volume that offers a refresher on fundamentals before conveying the Markov processes and examples for applications. This work does just that, and with the necessary mathematical rigor.

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Produktdetails

• Verlag: Walter de Gruyter
• Seitenzahl: 448
• Erscheinungstermin: 29. März 2011
• Englisch
• ISBN-13: 9783110250114
• Artikelnr.: 44426448

Autorenporträt

Vassili N. Kolokoltsov, University of Warwick, UK.

Inhaltsangabe

Part I Brownian Motion, Markov Processes, Martingales.

1 Preliminaries in Probability and Analysis.

2 Browninan Motion I: Constructions.

3 Martingales and Markov Processes.

4 Browninan Motion II: Elements of Analysis.

Part II Basic Constructions of Markov Semigroups.

1 Analytic Constructions.

2 Probabilistic Constructions.

3 Heat Kernel Estimates.

4 Process in Cones and Bounded Domains.

Part III Extensions, Developments, Applications.

1 CTRW and Fractional Dynamics.

2 Complex Markov Chains and Feynman integral.

3 Controlled Processes.

4 Semiclassical Asymptotic.

5 Miscellany.

6 Bibliographical Comments.

Rezensionen

"[...] 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 für Mathematik