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Markov Processes, Gaussian Processes, and Local Times

  • Couverture cartonnée
  • 632 Nombre de pages
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Texte du rabat A readable synthesis of three main areas in the modern theory of stochastic processes. Two foremost researchers pre... Lire la suite
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Texte du rabat

A readable synthesis of three main areas in the modern theory of stochastic processes.



Résumé
Two foremost researchers present important advances in stochastic process theory by linking well-understood (Gaussian) and less well-understood (Markov) classes of processes. It builds to this material through 'mini-courses' on the relevant ingredients, which assume only measure-theoretic probability. This original, readable 2006 book is for researchers and advanced graduate students.

Contenu

1. Introduction; 2. Brownian motion and Ray-Knight theorems; 3. Markov processes and local times; 4. Constructing Markov processes; 5. Basic properties of Gaussian processes; 6. Continuity and boundedness; 7. Moduli of continuity; 8. Isomorphism theorems; 9. Sample path properties of local times; 10. p-Variation; 11. Most visited site; 12. Local times of diffusions; 13. Associated Gaussian processes; Appendices: A. Kolmogorov's theorem for path continuity; B. Bessel processes; C. Analytic sets and the projection theorem; D. Hille-Yosida theorem; E. Stone-Weierstrass theorems; F. Independent random variables; G. Regularly varying functions; H. Some useful inequalities; I. Some linear algebra; References; Index.

Informations sur le produit

Titre: Markov Processes, Gaussian Processes, and Local Times
Auteur:
Code EAN: 9781107403758
ISBN: 978-1-107-40375-8
Format: Couverture cartonnée
Editeur: Cambridge Univ Pr
Genre: Mathématique
nombre de pages: 632
Poids: 912g
Taille: H229mm x B152mm x T36mm
Année: 2011

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