Excursions Of Markov Processes

Author : Robert M. Blumenthal
Publisher : Springer Science & Business Media
ISBN 13 : 1468494120
Total Pages : 287 pages
Book Rating : 4.29/5 ( download)

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Download or read book Excursions of Markov Processes written by Robert M. Blumenthal and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: Let {Xti t ~ O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "excursions away from 0," that is pieces of path X. : T ::5 s ::5 t, with Xr- = X = 0, but X. 1= 0 for T

Author : Robert McCallum Blumenthal
Publisher :
ISBN 13 : 9783764335755
Total Pages : 275 pages
Book Rating : 4.50/5 ( download)

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Download or read book Excursions of Markov Processes written by Robert McCallum Blumenthal and published by . This book was released on 1992 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : J. A. M. van der Weide
Publisher :
ISBN 13 :
Total Pages : 124 pages
Book Rating : 4.82/5 ( download)

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Download or read book Stochastic Processes and Point Processes of Excursions written by J. A. M. van der Weide and published by . This book was released on 1994 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Juha Vuolle-Apiala
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.60/5 ( download)

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Download or read book Excursion Theory for Rotation Invariant Markov Processes written by Juha Vuolle-Apiala and published by . This book was released on 1991 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Kiyosi Itô
Publisher : Springer
ISBN 13 : 981100272X
Total Pages : 54 pages
Book Rating : 4.24/5 ( download)

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Download or read book Poisson Point Processes and Their Application to Markov Processes written by Kiyosi Itô and published by Springer. This book was released on 2015-12-24 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. Feller, K. Itô, and H. P. McKean, among others. In this book, Itô discussed a case of a general Markov process with state space S and a specified point a ∈ S called a boundary. The problem is to obtain all possible recurrent extensions of a given minimal process (i.e., the process on S \ {a} which is absorbed on reaching the boundary a). The study in this lecture is restricted to a simpler case of the boundary a being a discontinuous entrance point, leaving a more general case of a continuous entrance point to future works. He established a one-to-one correspondence between a recurrent extension and a pair of a positive measure k(db) on S \ {a} (called the jumping-in measure and a non-negative number m

Author : Ju-Yi Yen
Publisher : Springer
ISBN 13 : 3319012703
Total Pages : 140 pages
Book Rating : 4.04/5 ( download)

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Download or read book Local Times and Excursion Theory for Brownian Motion written by Ju-Yi Yen and published by Springer. This book was released on 2013-10-01 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.

Author : Loïc Chaumont
Publisher : Springer Nature
ISBN 13 : 3030833097
Total Pages : 354 pages
Book Rating : 4.91/5 ( download)

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Download or read book A Lifetime of Excursions Through Random Walks and Lévy Processes written by Loïc Chaumont and published by Springer Nature. This book was released on 2022-01-01 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.

Author : Thomas Stephenson Salisbury
Publisher :
ISBN 13 :
Total Pages : 466 pages
Book Rating : 4.41/5 ( download)

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Download or read book Construction of Strong Markov Processes Through Excursions, and a Related Martin Boundary written by Thomas Stephenson Salisbury and published by . This book was released on 1983 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Nobuyuki Ikeda
Publisher : Springer Science & Business Media
ISBN 13 : 4431685324
Total Pages : 425 pages
Book Rating : 4.26/5 ( download)

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Download or read book Itô’s Stochastic Calculus and Probability Theory written by Nobuyuki Ikeda and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professor Kiyosi Ito is well known as the creator of the modern theory of stochastic analysis. Although Ito first proposed his theory, now known as Ito's stochastic analysis or Ito's stochastic calculus, about fifty years ago, its value in both pure and applied mathematics is becoming greater and greater. For almost all modern theories at the forefront of probability and related fields, Ito's analysis is indispensable as an essential instrument, and it will remain so in the future. For example, a basic formula, called the Ito formula, is well known and widely used in fields as diverse as physics and economics. This volume contains 27 papers written by world-renowned probability theorists. Their subjects vary widely and they present new results and ideas in the fields where stochastic analysis plays an important role. Also included are several expository articles by well-known experts surveying recent developments. Not only mathematicians but also physicists, biologists, economists and researchers in other fields who are interested in the effectiveness of stochastic theory will find valuable suggestions for their research. In addition, students who are beginning their study and research in stochastic analysis and related fields will find instructive and useful guidance here. This volume is dedicated to Professor Ito on the occasion of his eightieth birthday as a token of deep appreciation for his great achievements and contributions. An introduction to and commentary on the scientific works of Professor Ito are also included.

Author : L. C. G. Rogers
Publisher : Cambridge University Press
ISBN 13 : 9780521775939
Total Pages : 498 pages
Book Rating : 4.30/5 ( download)

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Download or read book Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 2000-09-07 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.