Markov processes, semigroups, and generators /

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 co...

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Bibliographic Details
Author / Creator:Kolokolʹt︠s︡ov, V. N. (Vasiliĭ Nikitich)
Imprint:Berlin ; New York : De Gruyter, ©2011.
Description:1 online resource (xviii, 430 pages) : illustrations
Language:English
Series:De Gruyter studies in mathematics, 0179-0986 ; 38
De Gruyter studies in mathematics ; 38.
Subject:Markov processes.
Semigroups.
Group theory -- Generators.
Markov Processes, Semigroups, random processes.
MATHEMATICS -- Probability & Statistics -- Stochastic Processes.
Group theory -- Generators.
Markov processes.
Semigroups.
Markov-Prozess
Electronic books.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11277653
Hidden Bibliographic Details
ISBN:9783110250114
311025011X
3110250101
9783110250107
9783110250107
Notes:Includes bibliographical references and index.
In English.
Print version record.
Summary: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.
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.
Other form:Print version: Kolokolʹt︠s︡ov, V.N. (Vasiliĭ Nikitich). Markov processes, semigroups, and generators. Berlin ; New York : De Gruyter, ©2011
Standard no.:10.1515/9783110250114