Markov Processes, Semigroups and Generators (Hardcover)

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, Levy 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, DE 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

General

Imprint:	De Gruyter
Country of origin:	Germany
Series:	De Gruyter Studies in Mathematics
Release date:	March 2011
First published:	2011
Authors:	Vassili N. Kolokoltsov
Dimensions:	240 x 170 x 33mm (L x W x T)
Format:	Hardcover - Paper over boards
Pages:	448
ISBN-13:	978-3-11-025010-7
Categories:	Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
LSN:	3-11-025010-1
Barcode:	9783110250107

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