Author :
Publisher : Academic Press
Page : 325 pages
File Size : 47,96 MB
Release : 2011-08-29
Category : Mathematics
ISBN : 0080873413
Markov Processes and Potential Theory
Author : J. L. Doob
Publisher : Springer Science & Business Media
Page : 865 pages
File Size : 42,91 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 1461252083
Potential theory and certain aspects of probability theory are intimately related, perhaps most obviously in that the transition function determining a Markov process can be used to define the Green function of a potential theory. Thus it is possible to define and develop many potential theoretic concepts probabilistically, a procedure potential theorists observe withjaun diced eyes in view of the fact that now as in the past their subject provides the motivation for much of Markov process theory. However that may be it is clear that certain concepts in potential theory correspond closely to concepts in probability theory, specifically to concepts in martingale theory. For example, superharmonic functions correspond to supermartingales. More specifically: the Fatou type boundary limit theorems in potential theory correspond to supermartingale convergence theorems; the limit properties of monotone sequences of superharmonic functions correspond surprisingly closely to limit properties of monotone sequences of super martingales; certain positive superharmonic functions [supermartingales] are called "potentials," have associated measures in their respective theories and are subject to domination principles (inequalities) involving the supports of those measures; in each theory there is a reduction operation whose properties are the same in the two theories and these reductions induce sweeping (balayage) of the measures associated with potentials, and so on.
Author : Lester L. Helms
Publisher : Springer Science & Business Media
Page : 494 pages
File Size : 47,11 MB
Release : 2014-04-10
Category : Mathematics
ISBN : 1447164229
Potential Theory presents a clear path from calculus to classical potential theory and beyond, with the aim of moving the reader into the area of mathematical research as quickly as possible. The subject matter is developed from first principles using only calculus. Commencing with the inverse square law for gravitational and electromagnetic forces and the divergence theorem, the author develops methods for constructing solutions of Laplace's equation on a region with prescribed values on the boundary of the region. The latter half of the book addresses more advanced material aimed at those with the background of a senior undergraduate or beginning graduate course in real analysis. Starting with solutions of the Dirichlet problem subject to mixed boundary conditions on the simplest of regions, methods of morphing such solutions onto solutions of Poisson's equation on more general regions are developed using diffeomorphisms and the Perron-Wiener-Brelot method, culminating in application to Brownian motion. In this new edition, many exercises have been added to reconnect the subject matter to the physical sciences. This book will undoubtedly be useful to graduate students and researchers in mathematics, physics and engineering.
Author : Evgeniĭ Borisovich Dynkin
Publisher : Courier Corporation
Page : 226 pages
File Size : 38,43 MB
Release : 2006-01-01
Category : Mathematics
ISBN : 0486453057
An investigation of the logical foundations of the theory behind Markov random processes, this text explores subprocesses, transition functions, and conditions for boundedness and continuity. Rather than focusing on probability measures individually, the work explores connections between functions. An elementary grasp of the theory of Markov processes is assumed. Starting with a brief survey of relevant concepts and theorems from measure theory, the text investigates operations that permit an inspection of the class of Markov processes corresponding to a given transition function. It advances to the more complicated operations of generating a subprocess, followed by examinations of the construction of Markov processes with given transition functions, the concept of a strictly "Markov process," and the conditions required for boundedness and continuity of a Markov process. Addenda, notes, references, and indexes supplement the text.
Author : Robert M. Blumenthal
Publisher : Springer Science & Business Media
Page : 287 pages
File Size : 24,97 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 1468494120
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 : Thomas Milton Liggett
Publisher : American Mathematical Soc.
Page : 290 pages
File Size : 31,28 MB
Release : 2010
Category : Mathematics
ISBN : 0821849492
Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes, and applies this theory to various special examples.
Author : Zhenqing Chen
Publisher : Princeton University Press
Page : 496 pages
File Size : 25,40 MB
Release : 2011-10-31
Category : Mathematics
ISBN : 1400840562
This book gives a comprehensive and self-contained introduction to the theory of symmetric Markov processes and symmetric quasi-regular Dirichlet forms. In a detailed and accessible manner, Zhen-Qing Chen and Masatoshi Fukushima cover the essential elements and applications of the theory of symmetric Markov processes, including recurrence/transience criteria, probabilistic potential theory, additive functional theory, and time change theory. The authors develop the theory in a general framework of symmetric quasi-regular Dirichlet forms in a unified manner with that of regular Dirichlet forms, emphasizing the role of extended Dirichlet spaces and the rich interplay between the probabilistic and analytic aspects of the theory. Chen and Fukushima then address the latest advances in the theory, presented here for the first time in any book. Topics include the characterization of time-changed Markov processes in terms of Douglas integrals and a systematic account of reflected Dirichlet spaces, and the important roles such advances play in the boundary theory of symmetric Markov processes. This volume is an ideal resource for researchers and practitioners, and can also serve as a textbook for advanced graduate students. It includes examples, appendixes, and exercises with solutions.
Author : Evgenij Borisovic Dynkin
Publisher : Springer
Page : 366 pages
File Size : 43,55 MB
Release : 2012-08-01
Category : Mathematics
ISBN : 9783662000335
The modem theory of Markov processes has its origins in the studies of A. A. MARKOV (1906-1907) on sequences of experiments "connected in a chain" and in the attempts to describe mathematically the physical phenomenon known as Brownian motion (L. BACHELlER 1900, A. EIN STEIN 1905). The first correct mathematical construction of a Markov process with continuous trajectories was given by N. WIENER in 1923. (This process is often called the Wiener process.) The general theory of Markov processes was developed in the 1930's and 1940's by A. N. KOL MOGOROV, W. FELLER, W. DOEBLlN, P. LEVY, J. L. DOOB, and others. During the past ten years the theory of Markov processes has entered a new period of intensive development. The methods of the theory of semigroups of linear operators made possible further progress in the classification of Markov processes by their infinitesimal characteristics. The broad classes of Markov processes with continuous trajectories be came the main object of study. The connections between Markov pro cesses and classical analysis were further developed. It has become possible not only to apply the results and methods of analysis to the problems of probability theory, but also to investigate analytic problems using probabilistic methods. Remarkable new connections between Markov processes and potential theory were revealed. The foundations of the theory were reviewed critically: the new concept of strong Markov process acquired for the whole theory of Markov processes great importance.
Author : Michael B. Marcus
Publisher : Cambridge University Press
Page : 4 pages
File Size : 20,41 MB
Release : 2006-07-24
Category : Mathematics
ISBN : 1139458833
This book was first published in 2006. Written by two of the foremost researchers in the field, this book studies the local times of Markov processes by employing isomorphism theorems that relate them to certain associated Gaussian processes. It builds to this material through self-contained but harmonized 'mini-courses' on the relevant ingredients, which assume only knowledge of measure-theoretic probability. The streamlined selection of topics creates an easy entrance for students and experts in related fields. The book starts by developing the fundamentals of Markov process theory and then of Gaussian process theory, including sample path properties. It then proceeds to more advanced results, bringing the reader to the heart of contemporary research. It presents the remarkable isomorphism theorems of Dynkin and Eisenbaum and then shows how they can be applied to obtain new properties of Markov processes by using well-established techniques in Gaussian process theory. This original, readable book will appeal to both researchers and advanced graduate students.
Author : Corneliu Constantinescu
Publisher : Springer
Page : 0 pages
File Size : 28,23 MB
Release : 2012-01-16
Category : Mathematics
ISBN : 9783642654343
There has been a considerable revival of interest in potential theory during the last 20 years. This is made evident by the appearance of new mathematical disciplines in that period which now-a-days are considered as parts of potential theory. Examples of such disciplines are: the theory of Choquet capacities, of Dirichlet spaces, of martingales and Markov processes, of integral representation in convex compact sets as well as the theory of harmonic spaces. All these theories have roots in classical potential theory. The theory of harmonic spaces, sometimes also called axiomatic theory of harmonic functions, plays a particular role among the above mentioned theories. On the one hand, this theory has particularly close connections with classical potential theory. Its main notion is that of a harmonic function and its main aim is the generalization and unification of classical results and methods for application to an extended class of elliptic and parabolic second order partial differential equations. On the other hand, the theory of harmonic spaces is closely related to the theory of Markov processes. In fact, all important notions and results of the theory have a probabilistic interpretation.
