Markov Processes, Gaussian Processes, and Local Times (Cambridge Studies in Advanced Mathematics, Series Number 100) - Hardcover

Marcus, Michael B.; Rosen, Jay

Hardcover

ISBN 10: 0521863007 ISBN 13: 9780521863001

Publisher: Cambridge University Press, 2006

Synopsis

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.

About this title

Book Description:

Two foremost researchers present important advances in stochastic process theory by linking well-understood (Gaussian) and less well-understood (Markov) classes of processes. It builds to this material through 'mini-courses' on the relevant ingredients, which assume only measure-theoretic probability. This original, readable 2006 book is for researchers and advanced graduate students.

About the Author:

Jay Rosen is Professor of Mathematics at The Graduate Center and the College of Staten Island, City University of New York. A leading expert on stochastic processes, he has published over eighty research papers. He is a Fellow of the Institute of Mathematical Statistics.

About this edition

• Publisher: Cambridge University Press
• Publication date: 2006
• ISBN 10: 0521863007
• ISBN 13: 9780521863001
• Binding: Hardcover
• Edition number: 1
• Number of pages: 632