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Generalized Diffusion Processes

Generalized Diffusion Processes PDF Author: Nikola_ Ivanovich Portenko
Publisher: American Mathematical Soc.
ISBN: 9780821898260
Category : Mathematics
Languages : en
Pages : 200

Book Description
Diffusion processes serve as a mathematical model for the physical phenomenon of diffusion. One of the most important problems in the theory of diffusion processes is the development of methods for constructing these processes from a given diffusion matrix and a given drift vector. Focusing on the investigation of this problem, this book is intended for specialists in the theory of random processes and its applications. A generalized diffusion process (that is, a continuous Markov process for which the Kolmogorov local characteristics exist in the generalized sense) can serve as a model for diffusion in a medium moving in a nonregular way. The author constructs generalized diffusion processes under two assumptions: first, that the diffusion matrix is sufficiently regular; and second, that the drift vector is a function integrable to some power, or is a generalized function of the type of the derivative of a measure.

Generalized Diffusion Processes

Generalized Diffusion Processes PDF Author: Nikola_ Ivanovich Portenko
Publisher: American Mathematical Soc.
ISBN: 9780821898260
Category : Mathematics
Languages : en
Pages : 200

Book Description
Diffusion processes serve as a mathematical model for the physical phenomenon of diffusion. One of the most important problems in the theory of diffusion processes is the development of methods for constructing these processes from a given diffusion matrix and a given drift vector. Focusing on the investigation of this problem, this book is intended for specialists in the theory of random processes and its applications. A generalized diffusion process (that is, a continuous Markov process for which the Kolmogorov local characteristics exist in the generalized sense) can serve as a model for diffusion in a medium moving in a nonregular way. The author constructs generalized diffusion processes under two assumptions: first, that the diffusion matrix is sufficiently regular; and second, that the drift vector is a function integrable to some power, or is a generalized function of the type of the derivative of a measure.

Stochastic Processes and Applications

Stochastic Processes and Applications PDF Author: Grigorios A. Pavliotis
Publisher: Springer
ISBN: 1493913239
Category : Mathematics
Languages : en
Pages : 345

Book Description
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

The Mathematics of Diffusion

The Mathematics of Diffusion PDF Author: John Crank
Publisher: Oxford University Press
ISBN: 9780198534112
Category : Mathematics
Languages : en
Pages : 428

Book Description
Though it incorporates much new material, this new edition preserves the general character of the book in providing a collection of solutions of the equations of diffusion and describing how these solutions may be obtained.

Generalized Diffusion Processes

Generalized Diffusion Processes PDF Author: Nikolaĭ Ivanovich Portenko
Publisher:
ISBN: 9781470444969
Category : Diffusion processes
Languages : en
Pages :

Book Description
Diffusion processes serve as a mathematical model for the physical phenomenon of diffusion. One of the most important problems in the theory of diffusion processes is the development of methods for constructing these processes from a given diffusion matrix and a given drift vector. Focusing on the investigation of this problem, this book is intended for specialists in the theory of random processes and its applications. A generalized diffusion process (that is, a continuous Markov process for which the Kolmogorov local characteristics exist in the generalized sense) can serve as a model for di.

Analysis For Diffusion Processes On Riemannian Manifolds

Analysis For Diffusion Processes On Riemannian Manifolds PDF Author: Feng-yu Wang
Publisher: World Scientific
ISBN: 9814452661
Category : Mathematics
Languages : en
Pages : 392

Book Description
Stochastic analysis on Riemannian manifolds without boundary has been well established. However, the analysis for reflecting diffusion processes and sub-elliptic diffusion processes is far from complete. This book contains recent advances in this direction along with new ideas and efficient arguments, which are crucial for further developments. Many results contained here (for example, the formula of the curvature using derivatives of the semigroup) are new among existing monographs even in the case without boundary.

Schrödinger Equations and Diffusion Theory

Schrödinger Equations and Diffusion Theory PDF Author: M. Nagasawa
Publisher: Birkhäuser
ISBN: 3034885687
Category : Mathematics
Languages : en
Pages : 335

Book Description
Schrödinger Equations and Diffusion Theory addresses the question "What is the Schrödinger equation?" in terms of diffusion processes, and shows that the Schrödinger equation and diffusion equations in duality are equivalent. In turn, Schrödinger's conjecture of 1931 is solved. The theory of diffusion processes for the Schrödinger equation tell us that we must go further into the theory of systems of (infinitely) many interacting quantum (diffusion) particles. The method of relative entropy and the theory of transformations enable us to construct severely singular diffusion processes which appear to be equivalent to Schrödinger equations. The theory of large deviations and the propagation of chaos of interacting diffusion particles reveal the statistical mechanical nature of the Schrödinger equation, namely, quantum mechanics. The text is practically self-contained and requires only an elementary knowledge of probability theory at the graduate level.

Controlled Diffusion Processes

Controlled Diffusion Processes PDF Author: N. V. Krylov
Publisher: Springer Science & Business Media
ISBN: 3540709142
Category : Science
Languages : en
Pages : 314

Book Description
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.

Elements of Random Walk and Diffusion Processes

Elements of Random Walk and Diffusion Processes PDF Author: Oliver C. Ibe
Publisher: John Wiley & Sons
ISBN: 1118617932
Category : Mathematics
Languages : en
Pages : 280

Book Description
Presents an important and unique introduction to random walk theory Random walk is a stochastic process that has proven to be a useful model in understanding discrete-state discrete-time processes across a wide spectrum of scientific disciplines. Elements of Random Walk and Diffusion Processes provides an interdisciplinary approach by including numerous practical examples and exercises with real-world applications in operations research, economics, engineering, and physics. Featuring an introduction to powerful and general techniques that are used in the application of physical and dynamic processes, the book presents the connections between diffusion equations and random motion. Standard methods and applications of Brownian motion are addressed in addition to Levy motion, which has become popular in random searches in a variety of fields. The book also covers fractional calculus and introduces percolation theory and its relationship to diffusion processes. With a strong emphasis on the relationship between random walk theory and diffusion processes, Elements of Random Walk and Diffusion Processes features: Basic concepts in probability, an overview of stochastic and fractional processes, and elements of graph theory Numerous practical applications of random walk across various disciplines, including how to model stock prices and gambling, describe the statistical properties of genetic drift, and simplify the random movement of molecules in liquids and gases Examples of the real-world applicability of random walk such as node movement and node failure in wireless networking, the size of the Web in computer science, and polymers in physics Plentiful examples and exercises throughout that illustrate the solution of many practical problems Elements of Random Walk and Diffusion Processes is an ideal reference for researchers and professionals involved in operations research, economics, engineering, mathematics, and physics. The book is also an excellent textbook for upper-undergraduate and graduate level courses in probability and stochastic processes, stochastic models, random motion and Brownian theory, random walk theory, and diffusion process techniques.

Processes with Long-Range Correlations

Processes with Long-Range Correlations PDF Author: Govindan Rangarajan
Publisher: Springer
ISBN: 3540448322
Category : Medical
Languages : en
Pages : 406

Book Description
Processes with long range correlations occur in a wide variety of fields ranging from physics and biology to economics and finance. This book, suitable for both graduate students and specialists, brings the reader up to date on this rapidly developing field. A distinguished group of experts have been brought together to provide a comprehensive and well-balanced account of basic notions and recent developments. The book is divided into two parts. The first part deals with theoretical developments in the area. The second part comprises chapters dealing primarily with three major areas of application: anomalous diffusion, economics and finance, and biology (especially neuroscience).

Elements of Random Walk and Diffusion Processes

Elements of Random Walk and Diffusion Processes PDF Author: Oliver C. Ibe
Publisher: John Wiley & Sons
ISBN: 1118618092
Category : Mathematics
Languages : en
Pages : 280

Book Description
Presents an important and unique introduction to random walk theory Random walk is a stochastic process that has proven to be a useful model in understanding discrete-state discrete-time processes across a wide spectrum of scientific disciplines. Elements of Random Walk and Diffusion Processes provides an interdisciplinary approach by including numerous practical examples and exercises with real-world applications in operations research, economics, engineering, and physics. Featuring an introduction to powerful and general techniques that are used in the application of physical and dynamic processes, the book presents the connections between diffusion equations and random motion. Standard methods and applications of Brownian motion are addressed in addition to Levy motion, which has become popular in random searches in a variety of fields. The book also covers fractional calculus and introduces percolation theory and its relationship to diffusion processes. With a strong emphasis on the relationship between random walk theory and diffusion processes, Elements of Random Walk and Diffusion Processes features: Basic concepts in probability, an overview of stochastic and fractional processes, and elements of graph theory Numerous practical applications of random walk across various disciplines, including how to model stock prices and gambling, describe the statistical properties of genetic drift, and simplify the random movement of molecules in liquids and gases Examples of the real-world applicability of random walk such as node movement and node failure in wireless networking, the size of the Web in computer science, and polymers in physics Plentiful examples and exercises throughout that illustrate the solution of many practical problems Elements of Random Walk and Diffusion Processes is an ideal reference for researchers and professionals involved in operations research, economics, engineering, mathematics, and physics. The book is also an excellent textbook for upper-undergraduate and graduate level courses in probability and stochastic processes, stochastic models, random motion and Brownian theory, random walk theory, and diffusion process techniques.