[PDF] Various Limiting Criteria For Multidimensional Diffusion Processes eBook
Various Limiting Criteria For Multidimensional Diffusion Processes Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Various Limiting Criteria For Multidimensional Diffusion Processes book. This book definitely worth reading, it is an incredibly well-written.
In this dissertation we consider several limiting criteria forn-dimensional diffusion processes defined as solutions of stochasticdifferential equations. Our main interest is in criteria for polynomialand exponential rates of convergence to the steady state distributionin the total variation norm. Resulting criteria should place assumptionsonly on the coefficients of the elliptic differentialoperator governing the diffusion. Coupling of Harris chains is one of the main methods employed in thisdissertation.
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.
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
It is difficult to overestimate the importance of mathematical investigation of balance laws. They arise in many areas of physics, mechanics, chemistry, biology, social sciences. In this collective book we concentrate in particular on the equations of continuous medium and related to them. As a rule, they are very complicated in their primitive form. An important feature of such equations is a possible formation of singularities even in initially smooth solution within a finite time. The structure of the singularities can be very complex. A natural step in the approach to this problem is the transition, despite the three-dimensionality of our world, to spatially one-dimensional model. Significant progress has been achieved in this direction. Unfortunately, the methods of the one-dimensional theory, as usual, cannot be adapted to a case of many spatial variables. However, there are many attempts to deal with multidimensional problems. We would like to present some of them. All of the papers are written by outstanding experts, representing various schools in mathematics and mechanics. Each paper is organised as follows: it contains an elementary (as far as it is possible) introduction to a problem, a brief review of previously published results, and then original results of the authors are presented.
This volume presents some of the most influential papers published by Rabi N. Bhattacharya, along with commentaries from international experts, demonstrating his knowledge, insight, and influence in the field of probability and its applications. For more than three decades, Bhattacharya has made significant contributions in areas ranging from theoretical statistics via analytical probability theory, Markov processes, and random dynamics to applied topics in statistics, economics, and geophysics. Selected reprints of Bhattacharya’s papers are divided into three sections: Modes of Approximation, Large Times for Markov Processes, and Stochastic Foundations in Applied Sciences. The accompanying articles by the contributing authors not only help to position his work in the context of other achievements, but also provide a unique assessment of the state of their individual fields, both historically and for the next generation of researchers. Rabi N. Bhattacharya: Selected Papers will be a valuable resource for young researchers entering the diverse areas of study to which Bhattacharya has contributed. Established researchers will also appreciate this work as an account of both past and present developments and challenges for the future.
This book is representative of the work of Chinese probabilists on probability theory and its applications in physics. It presents a unique treatment of general Markov jump processes: uniqueness, various types of ergodicity, Markovian couplings, reversibility, spectral gap, etc. It also deals with a typical class of non-equilibrium particle systems, including the typical Schlögl model taken from statistical physics. The constructions, ergodicity and phase transitions for this class of Markov interacting particle systems, namely, reaction-diffusion processes, are presented. In this new edition, a large part of the text has been updated and two-and-a-half chapters have been rewritten. The book is self-contained and can be used in a course on stochastic processes for graduate students.