Anales

Anales
Author: Universidad Nacional Autónoma de México. Instituto de Matemáticas
Publisher:
Total Pages: 58
Release: 1993
Genre: Mathematics
ISBN:

Orthogonal Polynomials in the Spectral Analysis of Markov Processes

Orthogonal Polynomials in the Spectral Analysis of Markov Processes
Author: Manuel Domínguez de la Iglesia
Publisher: Cambridge University Press
Total Pages: 348
Release: 2021-10-21
Genre: Mathematics
ISBN: 1009035207

In pioneering work in the 1950s, S. Karlin and J. McGregor showed that probabilistic aspects of certain Markov processes can be studied by analyzing orthogonal eigenfunctions of associated operators. In the decades since, many authors have extended and deepened this surprising connection between orthogonal polynomials and stochastic processes. This book gives a comprehensive analysis of the spectral representation of the most important one-dimensional Markov processes, namely discrete-time birth-death chains, birth-death processes and diffusion processes. It brings together the main results from the extensive literature on the topic with detailed examples and applications. Also featuring an introduction to the basic theory of orthogonal polynomials and a selection of exercises at the end of each chapter, it is suitable for graduate students with a solid background in stochastic processes as well as researchers in orthogonal polynomials and special functions who want to learn about applications of their work to probability.

New Serial Titles

New Serial Titles
Author:
Publisher:
Total Pages: 1856
Release: 1981
Genre: Periodicals
ISBN:

A union list of serials commencing publication after Dec. 31, 1949.