Markov processes, semigroups, and generators / / Vassili N. Kolokoltsov

• Autore: Kolokolʹt͡sov V. N (Vasiliĭ Nikitich)
• Pubblicazione: Berlin ; ; New York, : De Gruyter, c2011
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (448 p.)
• Disciplina: 519.2/33
• Soggetto topico: Markov processes; Semigroups; Group theory - Generators
• Soggetto non controllato: Generators; Markov Processes; Semigroups
• Classificazione: SK 820
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: pt. 1. Introduction to stochastic analysis -- pt. 2. Markov processes and beyond.
• Sommario/riassunto: 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, Lévy 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, ψDE 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
• Titolo autorizzato: Markov processes, semigroups and generators
• ISBN: 1-283-16633-X; 9786613166333; 3-11-025011-X
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910828220403321
• Lo trovi qui: Univ. Federico II
• Serie: De Gruyter studies in mathematics ; ; 38.