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| Author | : Adam Bobrowski |
| Publisher | : Cambridge University Press |
| Total Pages | : 279 |
| Release | : 2020-11-26 |
| Genre | : Mathematics |
| ISBN | : 1108495796 |
A clear explanation of what an explosive Markov chain does after it passes through all available states in finite time.
| Author | : Vassili N. Kolokoltsov |
| Publisher | : Walter de Gruyter |
| Total Pages | : 449 |
| Release | : 2011 |
| Genre | : Mathematics |
| ISBN | : 3110250101 |
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
| Author | : Vassili N. Kolokoltsov |
| Publisher | : Walter de Gruyter |
| Total Pages | : 449 |
| Release | : 2011-03-29 |
| Genre | : Mathematics |
| ISBN | : 311025011X |
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
| Author | : Houmin Yan |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 397 |
| Release | : 2006-09-10 |
| Genre | : Technology & Engineering |
| ISBN | : 0387338152 |
This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
| Author | : Stewart N. Ethier |
| Publisher | : John Wiley & Sons |
| Total Pages | : 528 |
| Release | : 2009-09-25 |
| Genre | : Mathematics |
| ISBN | : 0470317329 |
The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "[A]nyone who works with Markov processes whose state space is uncountably infinite will need this most impressive book as a guide and reference." -American Scientist "There is no question but that space should immediately be reserved for [this] book on the library shelf. Those who aspire to mastery of the contents should also reserve a large number of long winter evenings." -Zentralblatt für Mathematik und ihre Grenzgebiete/Mathematics Abstracts "Ethier and Kurtz have produced an excellent treatment of the modern theory of Markov processes that [is] useful both as a reference work and as a graduate textbook." -Journal of Statistical Physics Markov Processes presents several different approaches to proving weak approximation theorems for Markov processes, emphasizing the interplay of methods of characterization and approximation. Martingale problems for general Markov processes are systematically developed for the first time in book form. Useful to the professional as a reference and suitable for the graduate student as a text, this volume features a table of the interdependencies among the theorems, an extensive bibliography, and end-of-chapter problems.
| Author | : Thomas Milton Liggett |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 290 |
| Release | : 2010 |
| Genre | : Mathematics |
| ISBN | : 0821849492 |
Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes, and applies this theory to various special examples.
| Author | : Iosif I. Gikhman |
| Publisher | : Springer |
| Total Pages | : 587 |
| Release | : 2015-03-30 |
| Genre | : Mathematics |
| ISBN | : 3642619436 |
From the Reviews: "Gihman and Skorohod have done an excellent job of presenting the theory in its present state of rich imperfection." --D.W. Stroock, Bulletin of the American Mathematical Society, 1980
| Author | : James R. Kirkwood |
| Publisher | : CRC Press |
| Total Pages | : 336 |
| Release | : 2015-02-09 |
| Genre | : Business & Economics |
| ISBN | : 1482240742 |
Clear, rigorous, and intuitive, Markov Processes provides a bridge from an undergraduate probability course to a course in stochastic processes and also as a reference for those that want to see detailed proofs of the theorems of Markov processes. It contains copious computational examples that motivate and illustrate the theorems. The text is desi
| Author | : George G. Yin |
| Publisher | : Springer |
| Total Pages | : 358 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1461206278 |
Using a singular perturbation approach, this is a systematic treatment of those systems that naturally arise in queuing theory, control and optimisation, and manufacturing, gathering a number of ideas which were previously scattered throughout the literature. The book presents results on asymptotic expansions of the corresponding probability distributions, functional occupation measures, exponential upper bounds, and asymptotic normality. To bridge the gap between theory and applications, a large portion of the book is devoted to various applications, thus reducing the dimensionality for problems under Markovian disturbances and providing tools for dealing with large-scale and complex real-world situations. Much of this stems from the authors'recent research, presenting results which have not appeared elsewhere. An important reference for researchers in applied mathematics, probability and stochastic processes, operations research, control theory, and optimisation.
| Author | : Ehrhard Behrends |
| Publisher | : Vieweg+Teubner Verlag |
| Total Pages | : 237 |
| Release | : 2014-07-08 |
| Genre | : Mathematics |
| ISBN | : 3322901572 |
Besides the investigation of general chains the book contains chapters which are concerned with eigenvalue techniques, conductance, stopping times, the strong Markov property, couplings, strong uniform times, Markov chains on arbitrary finite groups (including a crash-course in harmonic analysis), random generation and counting, Markov random fields, Gibbs fields, the Metropolis sampler, and simulated annealing. With 170 exercises.
