Semiclassical Analysis For Diffusions And Stochastic Processes

Author : Vassili N. Kolokoltsov
Publisher : Springer
ISBN 13 : 3540465871
Total Pages : 360 pages
Book Rating : 4.74/5 ( download)

DOWNLOAD NOW!

Download or read book Semiclassical Analysis for Diffusions and Stochastic Processes written by Vassili N. Kolokoltsov and published by Springer. This book was released on 2007-12-03 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The monograph is devoted mainly to the analytical study of the differential, pseudo-differential and stochastic evolution equations describing the transition probabilities of various Markov processes. These include (i) diffusions (in particular,degenerate diffusions), (ii) more general jump-diffusions, especially stable jump-diffusions driven by stable Lévy processes, (iii) complex stochastic Schrödinger equations which correspond to models of quantum open systems. The main results of the book concern the existence, two-sided estimates, path integral representation, and small time and semiclassical asymptotics for the Green functions (or fundamental solutions) of these equations, which represent the transition probability densities of the corresponding random process. The boundary value problem for Hamiltonian systems and some spectral asymptotics ar also discussed. Readers should have an elementary knowledge of probability, complex and functional analysis, and calculus.

Author : Vasiliĭ Nikitich Kolokolʹt︠s︡ov
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.45/5 ( download)

DOWNLOAD NOW!

Download or read book Semiclassical Analysis for Diffusions and Stochastic Processes written by Vasiliĭ Nikitich Kolokolʹt︠s︡ov and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Vasily Kolokoltsov
Publisher :
ISBN 13 : 9783662169087
Total Pages : 366 pages
Book Rating : 4.88/5 ( download)

DOWNLOAD NOW!

Download or read book Semiclassical Analysis for Diffusions and Stochastic Processes written by Vasily Kolokoltsov and published by . This book was released on 2014-01-15 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Gopinath Kallianpur
Publisher : OUP Oxford
ISBN 13 : 0191004529
Total Pages : 368 pages
Book Rating : 4.20/5 ( download)

DOWNLOAD NOW!

Download or read book Stochastic Analysis and Diffusion Processes written by Gopinath Kallianpur and published by OUP Oxford. This book was released on 2014-01-09 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic theory and offers a careful account of important research directions in Stochastic Analysis. The breadth and power of Stochastic Analysis, and probabilistic behavior of diffusion processes are told without compromising on the mathematical details. Starting with the construction of stochastic processes, the book introduces Brownian motion and martingales. The book proceeds to construct stochastic integrals, establish the Itô formula, and discuss its applications. Next, attention is focused on stochastic differential equations (SDEs) which arise in modeling physical phenomena, perturbed by random forces. Diffusion processes are solutions of SDEs and form the main theme of this book. The Stroock-Varadhan martingale problem, the connection between diffusion processes and partial differential equations, Gaussian solutions of SDEs, and Markov processes with jumps are presented in successive chapters. The book culminates with a careful treatment of important research topics such as invariant measures, ergodic behavior, and large deviation principle for diffusions. Examples are given throughout the book to illustrate concepts and results. In addition, exercises are given at the end of each chapter that will help the reader to understand the concepts better. The book is written for graduate students, young researchers and applied scientists who are interested in stochastic processes and their applications. The reader is assumed to be familiar with probability theory at graduate level. The book can be used as a text for a graduate course on Stochastic Analysis.

Author : Daniel W. Stroock
Publisher : CUP Archive
ISBN 13 : 9780521336451
Total Pages : 148 pages
Book Rating : 4.57/5 ( download)

DOWNLOAD NOW!

Download or read book Lectures on Stochastic Analysis: Diffusion Theory written by Daniel W. Stroock and published by CUP Archive. This book was released on 1987-02-19 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.

Author : V. Wihstutz
Publisher : Springer Science & Business Media
ISBN 13 : 1461203899
Total Pages : 344 pages
Book Rating : 4.96/5 ( download)

DOWNLOAD NOW!

Download or read book Diffusion Processes and Related Problems in Analysis, Volume II written by V. Wihstutz and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the weekend of March 16-18, 1990 the University of North Carolina at Charlotte hosted a conference on the subject of stochastic flows, as part of a Special Activity Month in the Department of Mathematics. This conference was supported jointly by a National Science Foundation grant and by the University of North Carolina at Charlotte. Originally conceived as a regional conference for researchers in the Southeastern United States, the conference eventually drew participation from both coasts of the U. S. and from abroad. This broad-based par ticipation reflects a growing interest in the viewpoint of stochastic flows, particularly in probability theory and more generally in mathematics as a whole. While the theory of deterministic flows can be considered classical, the stochastic counterpart has only been developed in the past decade, through the efforts of Harris, Kunita, Elworthy, Baxendale and others. Much of this work was done in close connection with the theory of diffusion processes, where dynamical systems implicitly enter probability theory by means of stochastic differential equations. In this regard, the Charlotte conference served as a natural outgrowth of the Conference on Diffusion Processes, held at Northwestern University, Evanston Illinois in October 1989, the proceedings of which has now been published as Volume I of the current series. Due to this natural flow of ideas, and with the assistance and support of the Editorial Board, it was decided to organize the present two-volume effort.

Author : Jim Pitman
Publisher : Springer
ISBN 13 : 3540342664
Total Pages : 257 pages
Book Rating : 4.63/5 ( download)

DOWNLOAD NOW!

Download or read book Combinatorial Stochastic Processes written by Jim Pitman and published by Springer. This book was released on 2006-07-21 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this text is to bring graduate students specializing in probability theory to current research topics at the interface of combinatorics and stochastic processes. There is particular focus on the theory of random combinatorial structures such as partitions, permutations, trees, forests, and mappings, and connections between the asymptotic theory of enumeration of such structures and the theory of stochastic processes like Brownian motion and Poisson processes.

Author : Feng-Yu Wang
Publisher : World Scientific
ISBN 13 : 9814452653
Total Pages : 392 pages
Book Rating : 4.56/5 ( download)

DOWNLOAD NOW!

Download or read book Analysis for Diffusion Processes on Riemannian Manifolds written by Feng-Yu Wang and published by World Scientific. This book was released on 2014 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic analysis on Riemannian manifolds without boundary has been well established. However, the analysis for reflecting diffusion processes and sub-elliptic diffusion processes is far from complete. This book contains recent advances in this direction along with new ideas and efficient arguments, which are crucial for further developments. Many results contained here (for example, the formula of the curvature using derivatives of the semigroup) are new among existing monographs even in the case without boundary.

Author : Christopher C. Bernido
Publisher : Birkhäuser
ISBN 13 : 3319072455
Total Pages : 300 pages
Book Rating : 4.56/5 ( download)

DOWNLOAD NOW!

Download or read book Stochastic and Infinite Dimensional Analysis written by Christopher C. Bernido and published by Birkhäuser. This book was released on 2016-08-10 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of papers covering applications from a wide range of systems with infinitely many degrees of freedom studied using techniques from stochastic and infinite dimensional analysis, e.g. Feynman path integrals, the statistical mechanics of polymer chains, complex networks, and quantum field theory. Systems of infinitely many degrees of freedom create their particular mathematical challenges which have been addressed by different mathematical theories, namely in the theories of stochastic processes, Malliavin calculus, and especially white noise analysis. These proceedings are inspired by a conference held on the occasion of Prof. Ludwig Streit’s 75th birthday and celebrate his pioneering and ongoing work in these fields.

Author : Heinz Hanßmann
Publisher : Springer
ISBN 13 : 3540388966
Total Pages : 248 pages
Book Rating : 4.68/5 ( download)

DOWNLOAD NOW!

Download or read book Local and Semi-Local Bifurcations in Hamiltonian Dynamical Systems written by Heinz Hanßmann and published by Springer. This book was released on 2006-10-18 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates that while elliptic and hyperbolic tori determine the distribution of maximal invariant tori, they themselves form n-parameter families. Therefore, torus bifurcations of high co-dimension may be found in a single given Hamiltonian system, absent untypical conditions or external parameters. The text moves logically from the integrable case, in which symmetries allow for reduction to bifurcating equilibria, to non-integrability, where smooth parametrisations must be replaced by Cantor sets.