Fractional calculus is a rapidly growing field of research, at the interface between probability, differential equations, and mathematical physics. It is used to model anomalous diffusion, in which a cloud of particles spreads in a different manner than traditional diffusion. This monograph develops the basic theory of fractional calculus and anomalous diffusion, from the point of view of probability. In this book, we will see how fractional calculus and anomalous diffusion can be understood at a deep and intuitive level, using ideas from probability. It covers basic limit theorems for random variables and random vectors with heavy tails. This includes regular variation, triangular arrays, infinitely divisible laws, random walks, and stochastic process convergence in the Skorokhod topology. The basic ideas of fractional calculus and anomalous diffusion are closely connected with heavy tail limit theorems. Heavy tails are applied in finance, insurance, physics, geophysics, cell biology, ecology, medicine, and computer engineering. The goal of this book is to prepare graduate students in probability for research in the area of fractional calculus, anomalous diffusion, and heavy tails. Many interesting problems in this area remain open. This book will guide the motivated reader to understand the essential background needed to read and unerstand current research papers, and to gain the insights and techniques needed to begin making their own contributions to this rapidly growing field.

One of the most important methods in dealing with the optimization of large, complex systems is that of hierarchical decomposition. The idea is to reduce the overall complex problem into manageable approximate problems or subproblems, to solve these problems, and to construct a solution of the original problem from the solutions of these simpler prob lems. Development of such approaches for large complex systems has been identified as a particularly fruitful area by the Committee on the Next Decade in Operations Research (1988) [42] as well as by the Panel on Future Directions in Control Theory (1988) [65]. Most manufacturing firms are complex systems characterized by sev eral decision subsystems, such as finance, personnel, marketing, and op erations. They may have several plants and warehouses and a wide variety of machines and equipment devoted to producing a large number of different products. Moreover, they are subject to deterministic as well as stochastic discrete events, such as purchasing new equipment, hiring and layoff of personnel, and machine setups, failures, and repairs.

The subject of this book is a new mathematical technique, the stochastic limit, developed for solving nonlinear problems in quantum theory involving systems with infinitely many degrees of freedom (typically quantum fields or gases in the thermodynamic limit). This technique is condensed into some easily applied rules (called "stochastic golden rules"), which allow us to single out the dominating contributions to the dynamical evolution of systems in regimes involving long times and small effects. In the stochastic limit the original Hamiltonian theory is approximated using a new Hamiltonian theory which is singular. These singular Hamiltonians still define a unitary evolution, and the new equations give much more insight into the relevant physical phenomena than the original Hamiltonian equations. Especially, one can explicitly compute multi-time correlations (e.g. photon statistics) or coherent vectors, which are beyond the reach of typical asymptotic techniques.

This book deals with the almost sure asymptotic behaviour of linearly transformed sequences of independent random variables, vectors and elements of topological vector spaces. The main subjects dealing with series of independent random elements on topological vector spaces, and in particular, in sequence spaces, as well as with generalized summability methods which are treated here are strong limit theorems for operator-normed (matrix normed) sums of independent finite-dimensional random vectors and their applications; almost sure asymptotic behaviour of realizations of one-dimensional and multi-dimensional Gaussian Markov sequences; various conditions providing almost sure continuity of sample paths of Gaussian Markov processes; and almost sure asymptotic behaviour of solutions of one-dimensional and multi-dimensional stochastic recurrence equations of special interest. Many topics, especially those related to strong limit theorems for operator-normed sums of independent random vectors, appear in monographic literature for the first time. Audience: The book is aimed at experts in probability theory, theory of random processes and mathematical statistics who are interested in the almost sure asymptotic behaviour in summability schemes, like operator normed sums and weighted sums, etc. Numerous sections will be of use to those who work in Gaussian processes, stochastic recurrence equations, and probability theory in topological vector spaces. As the exposition of the material is consistent and self-contained it can also be recommended as a textbook for university courses.

Stochastic elasticity is a fast developing field that combines nonlinear elasticity and stochastic theories in order to significantly improve model predictions by accounting for uncertainties in the mechanical responses of materials. However, in contrast to the tremendous development of computational methods for large-scale problems, which have been proposed and implemented extensively in recent years, at the fundamental level, there is very little understanding of the uncertainties in the behaviour of elastic materials under large strains. Based on the idea that every large-scale problem starts as a small-scale data problem, this book combines fundamental aspects of finite (large-strain) elasticity and probability theories, which are prerequisites for the quantification of uncertainties in the elastic responses of soft materials. The problems treated in this book are drawn from the analytical continuum mechanics literature and incorporate random variables as basic concepts along with mechanical stresses and strains. Such problems are interesting in their own right but they are also meant to inspire further thinking about how stochastic extensions can be formulated before they can be applied to more complex physical systems.

The present book is based on a course developed as partofthe large NSF-funded GatewayCoalitionInitiativeinEngineeringEducationwhichincludedCaseWest ern Reserve University, Columbia University, Cooper Union, Drexel University, Florida International University, New Jersey Institute ofTechnology, Ohio State University, University ofPennsylvania, Polytechnic University, and Universityof South Carolina. The Coalition aimed to restructure the engineering curriculum by incorporating the latest technological innovations and tried to attract more and betterstudents to engineering and science. Draftsofthis textbookhave been used since 1992instatisticscoursestaughtatCWRU, IndianaUniversity, Bloomington, and at the universities in Gottingen, Germany, and Grenoble, France. Another purpose of this project was to develop a courseware that would take advantage ofthe Electronic Learning Environment created by CWRUnet-the all fiber-optic Case Western Reserve University computer network, and its ability to let students run Mathematica experiments and projects in their dormitory rooms, and interactpaperlessly with the instructor. Theoretically, onecould try togothroughthisbook withoutdoing Mathematica experimentsonthecomputer, butitwouldbelikeplayingChopin's Piano Concerto in E-minor, or Pink Floyd's The Wall, on an accordion. One would get an idea ofwhatthe tune was without everexperiencing the full richness andpowerofthe entire composition, and the whole ambience would be miscued."

'Et moi, "'J si j'avait su comment en revcnir, One seMcc mathematics has rendered the je n'y semis point aile.' human race. It has put common sense back Jules Verne where it belongs, on the topmost shclf next to the dusty canister labelled 'discarded non sense'. The series is divergent; therefore we may be able to do something with it. Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. .'; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series."

Presents a number of new and potentially useful self-learning (adaptive) control algorithms and theoretical as well as practical results for both unconstrained and constrained finite Markov chains-efficiently processing new information by adjusting the control strategies directly or indirectly.

Advances in H Control Theory is concerned with state-of-the-art developments in three areas: the extended treatment of mostly deterministic switched systems with dwell-time; the control of retarded stochastic state-multiplicative noisy systems; and a new approach to the control of biochemical systems, exemplified by the threonine synthesis and glycolytic pathways. Following an introduction and extensive literature survey, each of these major topics is the subject of an individual part of the book. The first two parts of the book contain several practical examples taken from various fields of control engineering including aircraft control, robot manipulation and process control. These examples are taken from the fields of deterministic switched systems and state-multiplicative noisy systems. The text is rounded out with short appendices covering mathematical fundamentals: -algebra and the input-output method for retarded systems. Advances in H Control Theory is written for engineers engaged in control systems research and development, for applied mathematicians interested in systems and control and for graduate students specializing in stochastic control.

The Probability Theory of Patterns and Runs has had a long and distinguished history, starting with the work of de Moivre in the 18th century and that of von Mises in the early 1920's, and continuing with the renewal-theoretic results in Feller's classic text An Introduction to Probability Theory and its Applications, Volume 1. It is worthwhile to note, in particular, that de Moivre, in the third edition of The Doctrine of Chances (1756, reprinted by Chelsea in 1967, pp. 254-259), provides the generating function for the waiting time for the appearance of k consecutive successes. During the 1940's, statisticians such as Mood, Wolfowitz, David and Mosteller studied the distribution theory, both exact and asymptotic, of run-related statistics, thereby laying the foundation for several exact run tests. In the last two decades or so, the theory has seen an impressive re-emergence, primarily due to important developments in Molecular Biology, but also due to related research thrusts in Reliability Theory, Distribution Theory, Combinatorics, and Statistics.

The book deals with several closely related topics concerning approxima tions and perturbations of random processes and their applications to some important and fascinating classes of problems in the analysis and design of stochastic control systems and nonlinear filters. The basic mathematical methods which are used and developed are those of the theory of weak con vergence. The techniques are quite powerful for getting weak convergence or functional limit theorems for broad classes of problems and many of the techniques are new. The original need for some of the techniques which are developed here arose in connection with our study of the particular applica tions in this book, and related problems of approximation in control theory, but it will be clear that they have numerous applications elsewhere in weak convergence and process approximation theory. The book is a continuation of the author's long term interest in problems of the approximation of stochastic processes and its applications to problems arising in control and communication theory and related areas. In fact, the techniques used here can be fruitfully applied to many other areas. The basic random processes of interest can be described by solutions to either (multiple time scale) Ito differential equations driven by wide band or state dependent wide band noise or which are singularly perturbed. They might be controlled or not, and their state values might be fully observable or not (e. g., as in the nonlinear filtering problem)."

The expected time of impact, also known as the mean first passage time (MFPT) to reach failure, is a critical metric in the management of natural disasters. The complexity of the dynamics governing natural disasters lead to stochastic behaviour. This book shows that state transitions of many such systems translate into random walks on their respective state spaces, biased and shaped by environmental inhomogeneity. Thus the probabilistic treatment of those random walks gives valuable insights of expected behaviour. A comprehensive case study of predicting cyclone induced flood is followed by a discussion of generic methods that predict MFPT addressing directional bias. This is followed by discussing MFPT prediction methods in systems showing network inhomogeneity. All presented methods are illustrated using real datasets of natural disasters. The book ends with a short discussion of possible future research areas introducing the problem of predicting MFPT for bush-fire propagation.

This book provides a rigorous yet accessible introduction to the theory of stochastic processes. A significant part of the book is devoted to the classic theory of stochastic processes. In turn, it also presents proofs of well-known results, sometimes together with new approaches. Moreover, the book explores topics not previously covered elsewhere, such as distributions of functionals of diffusions stopped at different random times, the Brownian local time, diffusions with jumps, and an invariance principle for random walks and local times. Supported by carefully selected material, the book showcases a wealth of examples that demonstrate how to solve concrete problems by applying theoretical results. It addresses a broad range of applications, focusing on concrete computational techniques rather than on abstract theory. The content presented here is largely self-contained, making it suitable for researchers and graduate students alike.

The theory of two-person, zero-sum differential games started at the be- ginning of the 1960s with the works of R. Isaacs in the United States and L. S. Pontryagin and his school in the former Soviet Union. Isaacs based his work on the Dynamic Programming method. He analyzed many special cases of the partial differential equation now called Hamilton- Jacobi-Isaacs-briefiy HJI-trying to solve them explicitly and synthe- sizing optimal feedbacks from the solution. He began a study of singular surfaces that was continued mainly by J. Breakwell and P. Bernhard and led to the explicit solution of some low-dimensional but highly nontriv- ial games; a recent survey of this theory can be found in the book by J. Lewin entitled Differential Games (Springer, 1994). Since the early stages of the theory, several authors worked on making the notion of value of a differential game precise and providing a rigorous derivation of the HJI equation, which does not have a classical solution in most cases; we mention here the works of W. Fleming, A. Friedman (see his book, Differential Games, Wiley, 1971), P. P. Varaiya, E. Roxin, R. J. Elliott and N. J. Kalton, N. N. Krasovskii, and A. I. Subbotin (see their book Po- sitional Differential Games, Nauka, 1974, and Springer, 1988), and L. D. Berkovitz. A major breakthrough was the introduction in the 1980s of two new notions of generalized solution for Hamilton-Jacobi equations, namely, viscosity solutions, by M. G. Crandall and P. -L.

During the of Fall 1991, The Centre de Recerca Matematica, a research institute sponsored by the Institut d'Estudis Catalans, devoted a quarter to the study of stochastic analysis. Prominent workers in this field visited the Center from all over the world for periods ranging from a few days to several weeks. To take advantage of the presence in Barcelona of so many special ists in stochastic analysis, we organized a workshop on the subject in Sant Feliu de Guixols (Girona) that provided an opportunity for them to ex change information and ideas about their current work. Topics discussed included: Analysis on the Wiener space, Anticipating Stochastic Calculus and its Applications, Correlation Inequalities, Stochastic Flows, Reflected Semimartingales, and others. This volume contains a refereed selection of contributions from some of the participants in this workshop. We are deeply indebted to the authors of the articles for these exposi tions of their valuable research contributions. We also would like to thank all the referees for their helpful advice in making the volume a reflection of the dynamic interchange that characterized the workshop. The success of the Seminar was due essentially to the enthusiasm and stimulating discus sions of all the participants in an informal and pleasant atmosphere. To all of them our warm gratitude."

This book explains mathematical theories of a collection of stochastic partial differential equations and their dynamical behaviors. Based on probability and stochastic process, the authors discuss stochastic integrals, Ito formula and Ornstein-Uhlenbeck processes, and introduce theoretical framework for random attractors. With rigorous mathematical deduction, the book is an essential reference to mathematicians and physicists in nonlinear science. Contents: Preliminaries The stochastic integral and Ito formula OU processes and SDEs Random attractors Applications Bibliography Index

Recent years have seen an explosion of new mathematical results on learning and processing in neural networks. This body of results rests on a breadth of mathematical background which even few specialists possess. In a format intermediate between a textbook and a collection of research articles, this book has been assembled to present a sample of these results, and to fill in the necessary background, in such areas as computability theory, computational complexity theory, the theory of analog computation, stochastic processes, dynamical systems, control theory, time-series analysis, Bayesian analysis, regularization theory, information theory, computational learning theory, and mathematical statistics.
Mathematical models of neural networks display an amazing richness and diversity. Neural networks can be formally modeled as computational systems, as physical or dynamical systems, and as statistical analyzers. Within each of these three broad perspectives, there are a number of particular approaches. For each of 16 particular mathematical perspectives on neural networks, the contributing authors provide introductions to the background mathematics, and address questions such as:
* Exactly what mathematical systems are used to model neural networks from the given perspective?
* What formal questions about neural networks can then be addressed?
* What are typical results that can be obtained? and
* What are the outstanding open problems?
A distinctive feature of this volume is that for each perspective presented in one of the contributed chapters, the first editor has provided a moderately detailed summary of the formal results and the requisite mathematical concepts. These summaries are presented in four chapters that tie together the 16 contributed chapters: three develop a coherent view of the three general perspectives -- computational, dynamical, and statistical; the other assembles these three perspectives into a unified overview of the neural networks field.

'Et mm. ..., si j'avait su comment en revenir, One service mathematics has rendered the je n'y serais point all' '' human race. It has put common sense back Jules Verne where it belongs, on the topmost shelf IIClI.t to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'. able to do something with it. Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. .'; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series."

In a family study of breast cancer, epidemiologists in Southern California increase the power for detecting a gene-environment interaction. In Gambia, a study helps a vaccination program reduce the incidence of Hepatitis B carriage. Archaeologists in Austria place a Bronze Age site in its true temporal location on the calendar scale. And in France, researchers map a rare disease with relatively little variation.
Each of these studies applied Markov chain Monte Carlo methods to produce more accurate and inclusive results. General state-space Markov chain theory has seen several developments that have made it both more accessible and more powerful to the general statistician. Markov Chain Monte Carlo in Practice introduces MCMC methods and their applications, providing some theoretical background as well. The authors are researchers who have made key contributions in the recent development of MCMC methodology and its application.
Considering the broad audience, the editors emphasize practice rather than theory, keeping the technical content to a minimum. The examples range from the simplest application, Gibbs sampling, to more complex applications. The first chapter contains enough information to allow the reader to start applying MCMC in a basic way. The following chapters cover main issues, important concepts and results, techniques for implementing MCMC, improving its performance, assessing model adequacy, choosing between models, and applications and their domains.
Markov Chain Monte Carlo in Practice is a thorough, clear introduction to the methodology and applications of this simple idea with enormous potential. It shows the importance of MCMC in real applications, such as archaeology, astronomy, biostatistics, genetics, epidemiology, and image analysis, and provides an excellent base for MCMC to be applied to other fields as well.

This book accounts in 5 independent parts, recent main developments of Stochastic Analysis: Gross-Stroock Sobolev space over a Gaussian probability space; quasi-sure analysis; anticipate stochastic integrals as divergence operators; principle of transfer from ordinary differential equations to stochastic differential equations; Malliavin calculus and elliptic estimates; stochastic Analysis in infinite dimension.

This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy." We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in reservoir theory and related areas. 3) The theory should be strong and efficient enough to allow us to solve th, se SPDEs explicitly, or at least provide algorithms or approximations for the solutions."

'Et moi, ..., si j' avait su comment en revenir, One service mathematics has rendered the human race. It has put common sense back je n'y serais point aIle.' Jules Verne where it belongs, on the topmost shelf next to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'" able 10 do something with it. Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound_ Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. .'; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series."

The theory of probability began in the seventeenth century with attempts to calculate the odds of winning in certain games of chance. However, it was not until the middle of the twentieth century that mathematicians de veloped general techniques for maximizing the chances of beating a casino or winning against an intelligent opponent. These methods of finding op timal strategies for a player are at the heart of the modern theories of stochastic control and stochastic games. There are numerous applications to engineering and the social sciences, but the liveliest intuition still comes from gambling. The now classic work How to Gamble If You Must: Inequalities for Stochastic Processes by Dubins and Savage (1965) uses gambling termi nology and examples to develop an elegant, deep, and quite general theory of discrete-time stochastic control. A gambler "controls" the stochastic pro cess of his or her successive fortunes by choosing which games to play and what bets to make."

The material accumulated and presented in this volume can be ex plained easily. At the start of my graduate studies in the early 1950s, I Grenander's (1950) thesis, and was much attracted to the came across entire subject considered there. I then began preparing for the neces sary mathematics to appreciate and possibly make some contributions to the area. Thus after a decade of learning and some publications on the way, I wanted to write a modest monograph complementing Grenander's fundamental memoir. So I took a sabbatical leave from my teaching position at the Carnegie-Mellon University, encouraged by an Air Force Grant for the purpose, and followed by a couple of years more learning opportunity at the Institute for Advanced Study to complete the project. As I progressed, the plan grew larger needing a substantial background material which was made into an independent initial volume in (1979). In its preface I said: "My intension was to present the following material as the first part of a book treating the In ference Theory of stochastic processes, but the latter account has now receded to a distant future," namely for two more decades Meanwhile, a much enlarged second edition of that early work has appeared (1995), and now I am able to present the main part of the original plan."