Semiclassical Analysis for Diffusions and Stochastic Processes

Semiclassical Analysis for Diffusions and Stochastic Processes PDF

Author: Vassili N. Kolokoltsov

Publisher: Springer

Published: 2007-12-03

Total Pages: 360

ISBN-13: 3540465871

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The monograph is devoted mainly to the analytical study of the differential, pseudo-differential and stochastic evolution equations describing the transition probabilities of various Markov processes. These include (i) diffusions (in particular,degenerate diffusions), (ii) more general jump-diffusions, especially stable jump-diffusions driven by stable Lévy processes, (iii) complex stochastic Schrödinger equations which correspond to models of quantum open systems. The main results of the book concern the existence, two-sided estimates, path integral representation, and small time and semiclassical asymptotics for the Green functions (or fundamental solutions) of these equations, which represent the transition probability densities of the corresponding random process. The boundary value problem for Hamiltonian systems and some spectral asymptotics ar also discussed. Readers should have an elementary knowledge of probability, complex and functional analysis, and calculus.

Stochastic Analysis and Diffusion Processes

Stochastic Analysis and Diffusion Processes PDF

Author: Gopinath Kallianpur

Publisher: Oxford University Press

Published: 2014

Total Pages: 365

ISBN-13: 0199657068

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Beginning with the concept of random processes and Brownian motion and building on the theory and research directions in a self-contained manner, this book provides an introduction to stochastic analysis for graduate students, researchers and applied scientists interested in stochastic processes and their applications.

Lectures on Stochastic Analysis: Diffusion Theory

Lectures on Stochastic Analysis: Diffusion Theory PDF

Author: Daniel W. Stroock

Publisher: CUP Archive

Published: 1987-02-19

Total Pages: 148

ISBN-13: 9780521336451

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This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.

Diffusion Processes and Related Problems in Analysis, Volume II

Diffusion Processes and Related Problems in Analysis, Volume II PDF

Author: V. Wihstutz

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 344

ISBN-13: 1461203899

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During the weekend of March 16-18, 1990 the University of North Carolina at Charlotte hosted a conference on the subject of stochastic flows, as part of a Special Activity Month in the Department of Mathematics. This conference was supported jointly by a National Science Foundation grant and by the University of North Carolina at Charlotte. Originally conceived as a regional conference for researchers in the Southeastern United States, the conference eventually drew participation from both coasts of the U. S. and from abroad. This broad-based par ticipation reflects a growing interest in the viewpoint of stochastic flows, particularly in probability theory and more generally in mathematics as a whole. While the theory of deterministic flows can be considered classical, the stochastic counterpart has only been developed in the past decade, through the efforts of Harris, Kunita, Elworthy, Baxendale and others. Much of this work was done in close connection with the theory of diffusion processes, where dynamical systems implicitly enter probability theory by means of stochastic differential equations. In this regard, the Charlotte conference served as a natural outgrowth of the Conference on Diffusion Processes, held at Northwestern University, Evanston Illinois in October 1989, the proceedings of which has now been published as Volume I of the current series. Due to this natural flow of ideas, and with the assistance and support of the Editorial Board, it was decided to organize the present two-volume effort.

Applied Stochastic Processes and Control for Jump-Diffusions

Applied Stochastic Processes and Control for Jump-Diffusions PDF

Author: Floyd B. Hanson

Publisher: SIAM

Published: 2007-01-01

Total Pages: 472

ISBN-13: 9780898718638

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This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.

Stochastic Differential Equations and Diffusion Processes

Stochastic Differential Equations and Diffusion Processes PDF

Author: Nobuyuki Ikeda

Publisher: North Holland

Published: 1989

Total Pages: 584

ISBN-13:

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Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.

Diffusion Processes and Related Problems in Analysis, Volume I

Diffusion Processes and Related Problems in Analysis, Volume I PDF

Author: Pinsky

Publisher: Birkhäuser

Published: 2012-02-17

Total Pages: 521

ISBN-13: 9781468405668

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During the week of October 23-27,1989, Northwestern University hosted an international conference on the theme "Diffusion Processes and Related Problems in Analysis." This was attended by 105 partici pants representing 14 different countries. The conference, which is part of the "Emphasis Year" program traditionally supported by the Mathematics Department, was additionally supported by grants from the National Science Foundation, the National Security Agency, the Institute for Mathematics and Applications, as well as by supplemen tary sources from Northwestern University. The purpose of this meeting was to bring together workers in vari ous parts of probability theory, mathematical physics, and partial dif ferential equations. Previous efforts in this direction were represented by the 1987 AMS Summer Research Conference "Geometry of Random Motion" co-sponsored with Rick Durrett, the proceedings of which ap peared as volume 73 in the AMS series "Contemporary Mathematics." The present effort is intended to extend beyond the strictly geometric theme and to include problems of large deviations, stochastic flows, and other areas of stochastic analysis in which diffusion processes play a leading role.

Diffusion Processes and Related Problems in Analysis, Volume I

Diffusion Processes and Related Problems in Analysis, Volume I PDF

Author: Pinsky

Publisher: Birkhäuser

Published: 1991-04-01

Total Pages: 544

ISBN-13: 9780817635169

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During the week of October 23-27,1989, Northwestern University hosted an international conference on the theme "Diffusion Processes and Related Problems in Analysis." This was attended by 105 partici pants representing 14 different countries. The conference, which is part of the "Emphasis Year" program traditionally supported by the Mathematics Department, was additionally supported by grants from the National Science Foundation, the National Security Agency, the Institute for Mathematics and Applications, as well as by supplemen tary sources from Northwestern University. The purpose of this meeting was to bring together workers in vari ous parts of probability theory, mathematical physics, and partial dif ferential equations. Previous efforts in this direction were represented by the 1987 AMS Summer Research Conference "Geometry of Random Motion" co-sponsored with Rick Durrett, the proceedings of which ap peared as volume 73 in the AMS series "Contemporary Mathematics." The present effort is intended to extend beyond the strictly geometric theme and to include problems of large deviations, stochastic flows, and other areas of stochastic analysis in which diffusion processes play a leading role.