Positive Harmonic Functions And Diffusion
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| Author | : Ross G. Pinsky |
| Publisher | : Cambridge University Press |
| Total Pages | : 492 |
| Release | : 1995-01-12 |
| Genre | : Mathematics |
| ISBN | : 0521470145 |
In this book, Professor Pinsky gives a self-contained account of the theory of positive harmonic functions for second order elliptic operators, using an integrated probabilistic and analytic approach. The book begins with a treatment of the construction and basic properties of diffusion processes. This theory then serves as a vehicle for studying positive harmonic funtions. Starting with a rigorous treatment of the spectral theory of elliptic operators with nice coefficients on smooth, bounded domains, the author then develops the theory of the generalized principal eigenvalue, and the related criticality theory for elliptic operators on arbitrary domains. Martin boundary theory is considered, and the Martin boundary is explicitly calculated for several classes of operators. The book provides an array of criteria for determining whether a diffusion process is transient or recurrent. Also introduced are the theory of bounded harmonic functions, and Brownian motion on manifolds of negative curvature. Many results that form the folklore of the subject are here given a rigorous exposition, making this book a useful reference for the specialist, and an excellent guide for the graduate student.
| Author | : Fima C Klebaner |
| Publisher | : World Scientific Publishing Company |
| Total Pages | : 453 |
| Release | : 2012-03-21 |
| Genre | : Mathematics |
| ISBN | : 1911298674 |
This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it suitable for self study.In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. The book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises./a
| Author | : Elton P. Hsu |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 402 |
| Release | : 1999-01-01 |
| Genre | : Mathematics |
| ISBN | : 9780821886885 |
The volume gives a balanced overview of the current status of probability theory. An extensive bibliography for further study and research is included. This unique collection presents several important areas of current research and a valuable survey reflecting the diversity of the field.
| Author | : Jan Janas |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 180 |
| Release | : 2011-03-29 |
| Genre | : Mathematics |
| ISBN | : 3764399945 |
This volume contains the proceedings of the OTAMP 2008 (Operator Theory, Analysis and Mathematical Physics) conference held at the Mathematical Research and Conference Center in Bedlewo near Poznan. It is composed of original research articles describing important results presented at the conference, some with extended review sections, as well as presentations by young researchers. Special sessions were devoted to random and quasi-periodic differential operators, orthogonal polynomials, Jacobi and CMV matrices, and quantum graphs. This volume also reflects new trends in spectral theory, where much emphasis is given to operators with magnetic fields and non-self-adjoint problems. The book is geared towards scientists from advanced undergraduate students to researchers interested in the recent development on the borderline between operator theory and mathematical physics, especially spectral theory for Schrödinger operators and Jacobi matrices.
| Author | : Rabi Bhattacharya |
| Publisher | : Springer Nature |
| Total Pages | : 502 |
| Release | : 2023-11-16 |
| Genre | : Mathematics |
| ISBN | : 3031332962 |
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.
| Author | : Laurent Decreusefond |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 256 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1461201578 |
One of the most challenging subjects of stochastic analysis in relation to physics is the analysis of heat kernels on infinite dimensional manifolds. The simplest nontrivial case is that of thepath and loop space on a Lie group. In this volume an up-to-date survey of the topic is given by Leonard Gross, a prominent developer of the theory. Another concise but complete survey of Hausdorff measures on Wiener space and its applications to Malliavin Calculus is given by D. Feyel, one of the most active specialists in this area. Other survey articles deal with short-time asymptotics of diffusion pro cesses with values in infinite dimensional manifolds and large deviations of diffusions with discontinuous drifts. A thorough survey is given of stochas tic integration with respect to the fractional Brownian motion, as well as Stokes' formula for the Brownian sheet, and a new version of the log Sobolev inequality on the Wiener space. Professional mathematicians looking for an overview of the state-of-the art in the above subjects will find this book helpful. In addition, graduate students as well as researchers whose domain requires stochastic analysis will find the original results of interest for their own research. The organizers acknowledge gratefully the financial help ofthe University of Oslo, and the invaluable aid of Professor Bernt 0ksendal and l'Ecole Nationale Superieure des Telecommunications.
| Author | : Dirk P. Kroese |
| Publisher | : John Wiley & Sons |
| Total Pages | : 627 |
| Release | : 2013-06-06 |
| Genre | : Mathematics |
| ISBN | : 1118014952 |
A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
| Author | : Fima C Klebaner |
| Publisher | : World Scientific Publishing Company |
| Total Pages | : 431 |
| Release | : 2005-06-20 |
| Genre | : Mathematics |
| ISBN | : 1848168225 |
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author./a
| Author | : József Lörinczi |
| Publisher | : Walter de Gruyter GmbH & Co KG |
| Total Pages | : 593 |
| Release | : 2020-01-20 |
| Genre | : Mathematics |
| ISBN | : 3110389932 |
This is the second updated and extended edition of the successful book on Feynman-Kac theory. It offers a state-of-the-art mathematical account of functional integration methods in the context of self-adjoint operators and semigroups using the concepts and tools of modern stochastic analysis. The first volume concentrates on Feynman-Kac-type formulae and Gibbs measures.
| Author | : Alain-Sol Sznitman |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 366 |
| Release | : 2013-03-09 |
| Genre | : Mathematics |
| ISBN | : 3662112817 |
This book provides an account for the non-specialist of the circle of ideas, results and techniques, which grew out in the study of Brownian motion and random obstacles. It also includes an overview of known results and connections with other areas of random media, taking a highly original and personal approach throughout.
