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

Marcus, Michael B.

ISBN 10: 1107403758 / ISBN 13: 9781107403758

Published by Cambridge University Press, 2011

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Bibliographic Details

• Title: Markov Processes, Gaussian Processes, and Local Times (Cambridge Studies in Advanced Mathematics, Series Number 100)
• Publisher: Cambridge University Press
• Publication Date: 2011
• Language: English
• ISBN 10: 1107403758
• ISBN 13: 9781107403758
• Binding: Paperback
• Condition: Like New
• Book Type: book

About this title

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.

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.