The study of the cone of excessive measures associated with a Markov process goes back to Hunt's fundamental mem oir H57]. However until quite recently it received much less attention than the cone of excessive functions. The fact that an excessive function can be composed with the underlying Markov process to give a supermartingale, subject to secondary finiteness hypotheses, is crucial in the study of excessive func tions. The lack of an analogous construct for excessive mea sures seemed to make them much less tractable to a proba bilistic analysis. This point of view changed radically...
The study of the cone of excessive measures associated with a Markov process goes back to Hunt's fundamental mem oir H57]. However until quite recent...
This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section 9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (6.4) and the material on re- flected Brownian motions (8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A...
This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section...
Since the seminal work of P. Anderson in 1958, localization in disordered systems has been the object of intense investigations. Mathematically speaking, the phenomenon can be described as follows: the self-adjoint operators which are used as Hamiltonians for these systems have a ten- dency to have pure point spectrum, especially in low dimension or for large disorder. A lot of effort has been devoted to the mathematical study of the random self-adjoint operators relevant to the theory of localization for disordered systems. It is fair to say that progress has been made and that the un-...
Since the seminal work of P. Anderson in 1958, localization in disordered systems has been the object of intense investigations. Mathematically speaki...
Let {Xti t O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "excursions away from 0," that is pieces of path X.: T::5 s::5 t, with Xr- = X = 0, but X. 1= 0 for T
Let {Xti t O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "e...
Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.
Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae...
In this book, a beautiful interplay between probability theory (Markov processes, martingale theory) on the one hand and operator and spectral theory on the other yields a uniform treatment of several kinds of Hamiltonians such as the Laplace operator, relativistic Hamiltonian, Laplace-Beltrami operator, and generators of Ornstein-Uhlenbeck processes. The unified approach provides a new viewpoint of and a deeper insight into the subject.
In this book, a beautiful interplay between probability theory (Markov processes, martingale theory) on the one hand and operator and spectral theo...
A hundred years ago it became known that deterministic systems can exhibit very complex behavior. By proving that ordinary differential equations can exhibit strange behavior, Poincare undermined the founda- tions of Newtonian physics and opened a window to the modern theory of nonlinear dynamics and chaos. Although in the 1930s and 1940s strange behavior was observed in many physical systems, the notion that this phenomenon was inherent in deterministic systems was never suggested. Even with the powerful results of S. Smale in the 1960s, complicated be- havior of deterministic systems...
A hundred years ago it became known that deterministic systems can exhibit very complex behavior. By proving that ordinary differential equations can ...
This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera- tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy." We soon realized that the theory of SPDEs at...
This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initia...
Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereology, to name but a few areas. The authors have made a major reshaping of their work in their first edition of 1988 and now present their Introduction to the Theory of Point Processes in two volumes with sub-titles Elementary Theory and Models and General Theory and Structure. Volume One contains the introductory chapters from the first edition, together with an informal treatment of some of the later material intended to make it more...
Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereol...
