Introduction To Ergodic Rates For Markov Chains And Processes

Author by : Kulik, Alexei
Language : en
Publisher by : Universitätsverlag Potsdam
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Description : The present lecture notes aim for an introduction to the ergodic behaviour of Markov Processes and addresses graduate students, post-graduate students and interested readers. Different tools and methods for the study of upper bounds on uniform and weak ergodic rates of Markov Processes are introduced. These techniques are then applied to study limit theorems for functionals of Markov processes. This lecture course originates in two mini courses held at University of Potsdam, Technical University of Berlin and Humboldt University in spring 2013 and Ritsumameikan University in summer 2013. Alexei Kulik, Doctor of Sciences, is a Leading researcher at the Institute of Mathematics of Ukrainian National Academy of Sciences.


Ergodic Behavior Of Markov Processes

Author by : Alexei Kulik
Language : en
Publisher by : Walter de Gruyter GmbH & Co KG
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Description : The general topic of this book is the ergodic behavior of Markov processes. A detailed introduction to methods for proving ergodicity and upper bounds for ergodic rates is presented in the first part of the book, with the focus put on weak ergodic rates, typical for Markov systems with complicated structure. The second part is devoted to the application of these methods to limit theorems for functionals of Markov processes. The book is aimed at a wide audience with a background in probability and measure theory. Some knowledge of stochastic processes and stochastic differential equations helps in a deeper understanding of specific examples. Contents Part I: Ergodic Rates for Markov Chains and Processes Markov Chains with Discrete State Spaces General Markov Chains: Ergodicity in Total Variation MarkovProcesseswithContinuousTime Weak Ergodic Rates Part II: Limit Theorems The Law of Large Numbers and the Central Limit Theorem Functional Limit Theorems


Modern Problems Of Stochastic Analysis And Statistics

Author by : Vladimir Panov
Language : en
Publisher by : Springer
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File Size : 54,8 Mb
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Description : This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory of Stochastic Analysis and its Applications on the occasion of his 70th birthday. Contributions were prepared by the participants of the international conference of the international conference “Modern problems of stochastic analysis and statistics”, held at the Higher School of Economics in Moscow from May 29 - June 2, 2016. It offers a valuable reference resource for researchers and graduate students interested in modern stochastics.


Stochastic Processes With Applications In The Natural Sciences

Author by : Kulik, Alexei
Language : en
Publisher by : Universitätsverlag Potsdam
Format Available : PDF, ePub, Mobi
Total Read : 71
Total Download : 453
File Size : 41,6 Mb
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Description : The interdisciplinary workshop STOCHASTIC PROCESSES WITH APPLICATIONS IN THE NATURAL SCIENCES was held in Bogotá, at Universidad de los Andes from December 5 to December 9, 2016. It brought together researchers from Colombia, Germany, France, Italy, Ukraine, who communicated recent progress in the mathematical research related to stochastic processes with application in biophysics. The present volume collects three of the four courses held at this meeting by Angelo Valleriani, Sylvie Rœlly and Alexei Kulik. A particular aim of this collection is to inspire young scientists in setting up research goals within the wide scope of fields represented in this volume.


An Introduction To Markov Processes

Author by : Daniel W. Stroock
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
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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.


An Introduction To The Theory Of Point Processes

Author by : D.J. Daley
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 35
Total Download : 103
File Size : 54,5 Mb
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Description : This is the second volume of the reworked second edition of a key work on Point Process Theory. Fully revised and updated by the authors who have reworked their 1988 first edition, it brings together the basic theory of random measures and point processes in a unified setting and continues with the more theoretical topics of the first edition: limit theorems, ergodic theory, Palm theory, and evolutionary behaviour via martingales and conditional intensity. The very substantial new material in this second volume includes expanded discussions of marked point processes, convergence to equilibrium, and the structure of spatial point processes.


Stochastic Processes

Author by : D. N. Shanbhag
Language : en
Publisher by : Gulf Professional Publishing
Format Available : PDF, ePub, Mobi
Total Read : 76
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File Size : 54,8 Mb
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Description : J. Neyman, one of the pioneers in laying the foundations of modern statistical theory, stressed the importance of stochastic processes in a paper written in 1960 in the following terms: Currently in the period of dynamic indeterminism in science, there is hardly a serious piece of research, if treated realistically, does not involve operations on stochastic processes. Arising from the need to solve practical problems, several major advances have taken place in the theory of stochastic processes and their applications. Books by Doob (1953; J. Wiley and Sons), Feller (1957, 1966; J. Wiley and Sons) and Loeve (1960; D. van Nostrand and Col., Inc.) among others, have created growing awareness and interest in the use of stochastic processes in scientific and technological studies.The literature on stochastic processes is very extensive and is distributed in several books and journals.


Eigenvalues Inequalities And Ergodic Theory

Author by : Mu-Fa Chen
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 28
Total Download : 580
File Size : 42,5 Mb
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Description : "Eigenvalues, Inequalities, and Ergodic Theory serves as an introduction to this developing field and provides an overview of the methods used in an accessible and concise manner. The author starts with an overview chapter from which any of the following self contained chapters can be read." "Intended for researchers, graduates, and postgraduates in probability theory, Markov processes, mathematical physics, and spectrum theory, this book will be a welcome introduction to a growing area of research."--BOOK JACKET.


A First Course In Stochastic Models

Author by : H. C. Tijms
Language : en
Publisher by : John Wiley & Sons
Format Available : PDF, ePub, Mobi
Total Read : 91
Total Download : 890
File Size : 44,8 Mb
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Description : The book is intended as a first introduction to stochastic models for students in computer science, engineering, statistics and operations research.