ENGLISH

Markov processes, Gaussian processes and local times

By Michael B. Marcus , Jay Rosen

Book information

Publisher
Cambridge University Press
Year
2006
ISBN
9780521863001, 0521863007
Open Library ID
OL22739717M
Language
english
Format
PDF
Filesize
3 MB (2704881 bytes)
Series
Cambridge Studies in Advanced Mathematics 100
Edition
1
Pages
629\629
Library
kolxoz
Time added
2009-07-20 03:45:11

Description

Written by two 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 for 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, 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.

Similar books