Bhattacharya / Waymire

Continuous Parameter Markov Processes and Stochastic Differential Equations

Springer

ISBN 978-3-031-33294-4

Standardpreis


96,29 €

lieferbar ca. 10 Tage als Sonderdruck ohne Rückgaberecht

Preisangaben inkl. MwSt. Abhängig von der Lieferadresse kann die MwSt. an der Kasse variieren. Weitere Informationen

auch verfügbar als eBook (PDF) für 69,54 €

Bibliografische Daten

Fachbuch

Buch. Hardcover

2023

4 s/w-Abbildungen.

In englischer Sprache

Umfang: xv, 506 S.

Format (B x L): 15,5 x 23,5 cm

Gewicht: 1041

Verlag: Springer

ISBN: 978-3-031-33294-4

Weiterführende bibliografische Daten

Das Werk ist Teil der Reihe: Graduate Texts in Mathematics

auch verfügbar als eBook (PDF) für 69,54 €

Produktbeschreibung

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.

Autorinnen und Autoren

Kundeninformationen

Builds from simple examples to formal proofs, illuminating key ideas and computations Markov processes has an elegant and profound mathematical theory and a great diversity of applications Set of course suggestions and a chapter dependency diagram, provide clear pathways to navigating the material

Produktsicherheit

Hersteller

Springer Nature Customer Service Center GmbH

ProductSafety@springernature.com

Topseller & Empfehlungen für Sie

Ihre zuletzt angesehenen Produkte

Rezensionen

Dieses Set enthält folgende Produkte:
    Auch in folgendem Set erhältlich:

    • nach oben

      Ihre Daten werden geladen ...