Sale!

Continuous Parameter Markov Processes and Stochastic Differential Equations 1st Edition by Rabi Bhattacharya, Edward C Waymire ISBN 3031332946 9783031332944

Name: Continuous Parameter Markov Processes and Stochastic Differential Equations 1st Edition by Rabi Bhattacharya, Edward C Waymire ISBN 3031332946 9783031332944
SKU: EB-54765178
Availability: InStock

Original price was: $50.00.Current price is: $25.00.

Continuous Parameter Markov Processes and Stochastic Differential Equations 1st Edition Rabi Bhattacharya Digital Instant Download

Author(s): Rabi Bhattacharya, Edward C. Waymire

ISBN(s): 9783031332944, 9783031332968, 3031332946, 3031332962

Edition: 1

File Details: PDF, 12.91 MB

Year: 2023

Language: English

SKU: EB-54765178 Category: Mathematics - Differential Equations Tags: Edward C. Waymire, Rabi Bhattacharya

Description

Continuous Parameter Markov Processes and Stochastic Differential Equations 1st Edition by Rabi Bhattacharya, Edward C Waymire – Ebook PDF Instant Download/Delivery: 3031332946 ,9783031332944
Full download Continuous Parameter Markov Processes and Stochastic Differential Equations 1st Edition after payment

Product details:

ISBN 10: 3031332946
ISBN 13: 9783031332944
Author: Rabi Bhattacharya, Edward C Waymire

This graduate text presents the elegant and profound theory of continuous parameter Markov processes and many of its applications. The authors focus on developing context and intuition before formalizing the theory of each topic, illustrated with examples. After a review of some background material, the reader is introduced to semigroup theory, including the Hille–Yosida Theorem, used to construct continuous parameter Markov processes. Illustrated with examples, it is a cornerstone of Feller’s seminal theory of the most general one-dimensional diffusions studied in a later chapter. This is followed by two chapters with probabilistic constructions of jump Markov processes, and processes with independent increments, or Lévy processes. The greater part of the book is devoted to Itô’s fascinating theory of stochastic differential equations, and to the study of asymptotic properties of diffusions in all dimensions, such as explosion, transience, recurrence, existence of steady states, and the speed of convergence to equilibrium. A broadly applicable functional central limit theorem for ergodic Markov processes is presented with important examples. Intimate connections between diffusions and linear second order elliptic and parabolic partial differential equations are laid out in two chapters, and are used for computational purposes. Among Special Topics chapters, two study anomalous diffusions: one on skew Brownian motion, and the other on an intriguing multi-phase homogenization of solute transport in porous media.

Continuous Parameter Markov Processes and Stochastic Differential Equations 1st Edition Table of contents:

1. A Review of Martingales, Stopping Times, and the Markov Property

2. Semigroup Theory and Markov Processes

3. Regularity of Markov Process Sample Paths

4. Continuous Parameter Jump Markov Processes

5. Processes with Independent Increments

6. The Stochastic Integral

7. Construction of Diffusions as Solutions of Stochastic Differential Equations

8. Itô’s Lemma

9. Cameron–Martin–Girsanov Theorem

10. Support of Nonsingular Diffusions

11. Transience and Recurrence of Multidimensional Diffusions

12. Criteria for Explosion

13. Absorption, Reflection, and Other Transformations of Markov Processes

14. The Speed of Convergence to Equilibrium of Discrete Parameter Markov Processes and Diffusions

15. Probabilistic Representation of Solutions to Certain PDEs

16. Probabilistic Solution of the Classical Dirichlet Problem

17. The Functional Central Limit Theorem for Ergodic Markov Processes

18. Asymptotic Stability for Singular Diffusions

19. Stochastic Integrals with -Martingales

20. Local Time for Brownian Motion

21. Construction of One-Dimensional Diffusions by Semigroups

22. Eigenfunction Expansions of Transition Probabilities for One-Dimensional Diffusions

23. Special Topic: The Martingale Problem

24. Special Topic: Multiphase Homogenization for Transport in Periodic Media

25. Special Topic: Skew Random Walk and Skew Brownian Motion

26. Special Topic: Piecewise Deterministic Markov Processes in Population Biology

People also search for Continuous Parameter Markov Processes and Stochastic Differential Equations 1st Edition:

continuous markov process

continuous markov chain example

continuous markov chain example problems

continuous markov decision process

continuous-time markov chain

Tags: Rabi Bhattacharya, Edward C Waymire, Continuous Parameter, Stochastic Differential Equations