Markov Processes And Controlled Markov Chains

Author by : Zhenting Hou
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 78
Total Download : 640
File Size : 45,8 Mb
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Description : The general theory of stochastic processes and the more specialized theory of Markov processes evolved enormously in the second half of the last century. In parallel, the theory of controlled Markov chains (or Markov decision processes) was being pioneered by control engineers and operations researchers. Researchers in Markov processes and controlled Markov chains have been, for a long time, aware of the synergies between these two subject areas. However, this may be the first volume dedicated to highlighting these synergies and, almost certainly, it is the first volume that emphasizes the contributions of the vibrant and growing Chinese school of probability. The chapters that appear in this book reflect both the maturity and the vitality of modern day Markov processes and controlled Markov chains. They also will provide an opportunity to trace the connections that have emerged between the work done by members of the Chinese school of probability and the work done by the European, US, Central and South American and Asian scholars.


Markov Processes From K It S Perspective

Author by : Daniel W. Stroock
Language : en
Publisher by : Princeton University Press
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Total Read : 22
Total Download : 831
File Size : 47,6 Mb
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Description : Kiyosi Itô's greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. Starting with the geometric ideas that guided him, this book gives an account of Itô's program. The modern theory of Markov processes was initiated by A. N. Kolmogorov. However, Kolmogorov's approach was too analytic to reveal the probabilistic foundations on which it rests. In particular, it hides the central role played by the simplest Markov processes: those with independent, identically distributed increments. To remedy this defect, Itô interpreted Kolmogorov's famous forward equation as an equation that describes the integral curve of a vector field on the space of probability measures. Thus, in order to show how Itô's thinking leads to his theory of stochastic integral equations, Stroock begins with an account of integral curves on the space of probability measures and then arrives at stochastic integral equations when he moves to a pathspace setting. In the first half of the book, everything is done in the context of general independent increment processes and without explicit use of Itô's stochastic integral calculus. In the second half, the author provides a systematic development of Itô's theory of stochastic integration: first for Brownian motion and then for continuous martingales. The final chapter presents Stratonovich's variation on Itô's theme and ends with an application to the characterization of the paths on which a diffusion is supported. The book should be accessible to readers who have mastered the essentials of modern probability theory and should provide such readers with a reasonably thorough introduction to continuous-time, stochastic processes.


Continuous Semi Markov Processes

Author by : Boris Harlamov
Language : en
Publisher by : John Wiley & Sons
Format Available : PDF, ePub, Mobi
Total Read : 62
Total Download : 527
File Size : 42,7 Mb
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Description : This title considers the special of random processes known as semi-Markov processes. These possess the Markov property with respect to any intrinsic Markov time such as the first exit time from an open set or a finite iteration of these times. The class of semi-Markov processes includes strong Markov processes, Lévy and Smith stepped semi-Markov processes, and some other subclasses. Extensive coverage is devoted to non-Markovian semi-Markov processes with continuous trajectories and, in particular, to semi-Markov diffusion processes. Readers looking to enrich their knowledge on Markov processes will find this book a valuable resource.


Markov Processes

Author by : Daniel T. Gillespie
Language : en
Publisher by : Gulf Professional Publishing
Format Available : PDF, ePub, Mobi
Total Read : 27
Total Download : 660
File Size : 47,6 Mb
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Description : Markov process theory is basically an extension of ordinary calculus to accommodate functions whos time evolutions are not entirely deterministic. It is a subject that is becoming increasingly important for many fields of science. This book develops the single-variable theory of both continuous and jump Markov processes in a way that should appeal especially to physicists and chemists at the senior and graduate level. A self-contained, prgamatic exposition of the needed elements of random variable theory Logically integrated derviations of the Chapman-Kolmogorov equation, the Kramers-Moyal equations, the Fokker-Planck equations, the Langevin equation, the master equations, and the moment equations Detailed exposition of Monte Carlo simulation methods, with plots of many numerical examples Clear treatments of first passages, first exits, and stable state fluctuations and transitions Carefully drawn applications to Brownian motion, molecular diffusion, and chemical kinetics


Markov Processes Gaussian Processes And Local Times

Author by : Michael B. Marcus
Language : en
Publisher by : Cambridge University Press
Format Available : PDF, ePub, Mobi
Total Read : 11
Total Download : 494
File Size : 44,5 Mb
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Description : This book was first published in 2006. Written by two of the foremost researchers in the field, this book studies the local times of Markov processes by employing isomorphism theorems that relate them to certain associated Gaussian processes. It builds to this material through self-contained but harmonized 'mini-courses' on the relevant ingredients, which assume only knowledge of measure-theoretic probability. The streamlined selection of topics creates an easy entrance for students and experts in related fields. The book starts by developing the fundamentals of Markov process theory and then of Gaussian process theory, including sample path properties. It then proceeds to more advanced results, bringing the reader to the heart of contemporary research. It presents the remarkable isomorphism theorems of Dynkin and Eisenbaum and then shows how they can be applied to obtain new properties of Markov processes by using well-established techniques in Gaussian process theory. This original, readable book will appeal to both researchers and advanced graduate students.


An Introduction To Markov Processes

Author by : Daniel W. Stroock
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 18
Total Download : 675
File Size : 47,7 Mb
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Description : This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. It should be accessible to students with a solid undergraduate background in mathematics, including students from engineering, economics, physics, and biology. Topics covered are: Doeblin's theory, general ergodic properties, and continuous time processes. Applications are dispersed throughout the book. In addition, a whole chapter is devoted to reversible processes and the use of their associated Dirichlet forms to estimate the rate of convergence to equilibrium. These results are then applied to the analysis of the Metropolis (a.k.a simulated annealing) algorithm. The corrected and enlarged 2nd edition contains a new chapter in which the author develops computational methods for Markov chains on a finite state space. Most intriguing is the section with a new technique for computing stationary measures, which is applied to derivations of Wilson's algorithm and Kirchoff's formula for spanning trees in a connected graph.


Markov Processes For Stochastic Modeling

Author by : Masaaki Kijima
Language : en
Publisher by : CRC Press
Format Available : PDF, ePub, Mobi
Total Read : 29
Total Download : 607
File Size : 48,8 Mb
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Description : This book presents an algebraic development of the theory of countable state space Markov chains with discrete and continuous time parameters.


Diffusions Markov Processes And Martingales Volume 1 Foundations

Author by : L. C. G. Rogers
Language : en
Publisher by : Cambridge University Press
Format Available : PDF, ePub, Mobi
Total Read : 38
Total Download : 161
File Size : 52,5 Mb
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Description : Now available in paperback for the first time; essential reading for all students of probability theory.


Markov Processes For Stochastic Modeling

Author by : Oliver Ibe
Language : en
Publisher by : Newnes
Format Available : PDF, ePub, Mobi
Total Read : 82
Total Download : 816
File Size : 52,9 Mb
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Description : Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriented book that also includes enough theory to provide a solid ground in the subject for the reader. Presents both the theory and applications of the different aspects of Markov processes Includes numerous solved examples as well as detailed diagrams that make it easier to understand the principle being presented Discusses different applications of hidden Markov models, such as DNA sequence analysis and speech analysis.


General Theory Of Markov Processes

Author by :
Language : en
Publisher by : Academic Press
Format Available : PDF, ePub, Mobi
Total Read : 56
Total Download : 664
File Size : 41,9 Mb
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Description : General Theory of Markov Processes