Analysis of Random Walks Using Orthogonal Polynomials
Title | Analysis of Random Walks Using Orthogonal Polynomials PDF eBook |
Author | Erik A. van Doorn |
Publisher | |
Pages | 15 |
Release | 1998 |
Genre | |
ISBN |
Orthogonal Polynomials in the Spectral Analysis of Markov Processes
Title | Orthogonal Polynomials in the Spectral Analysis of Markov Processes PDF eBook |
Author | Manuel Domínguez de la Iglesia |
Publisher | Cambridge University Press |
Pages | 348 |
Release | 2021-10-21 |
Genre | Mathematics |
ISBN | 1009035207 |
In pioneering work in the 1950s, S. Karlin and J. McGregor showed that probabilistic aspects of certain Markov processes can be studied by analyzing orthogonal eigenfunctions of associated operators. In the decades since, many authors have extended and deepened this surprising connection between orthogonal polynomials and stochastic processes. This book gives a comprehensive analysis of the spectral representation of the most important one-dimensional Markov processes, namely discrete-time birth-death chains, birth-death processes and diffusion processes. It brings together the main results from the extensive literature on the topic with detailed examples and applications. Also featuring an introduction to the basic theory of orthogonal polynomials and a selection of exercises at the end of each chapter, it is suitable for graduate students with a solid background in stochastic processes as well as researchers in orthogonal polynomials and special functions who want to learn about applications of their work to probability.
Non-homogeneous Random Walks
Title | Non-homogeneous Random Walks PDF eBook |
Author | Mikhail Menshikov |
Publisher | Cambridge University Press |
Pages | 385 |
Release | 2016-12-22 |
Genre | Mathematics |
ISBN | 1316867366 |
Stochastic systems provide powerful abstract models for a variety of important real-life applications: for example, power supply, traffic flow, data transmission. They (and the real systems they model) are often subject to phase transitions, behaving in one way when a parameter is below a certain critical value, then switching behaviour as soon as that critical value is reached. In a real system, we do not necessarily have control over all the parameter values, so it is important to know how to find critical points and to understand system behaviour near these points. This book is a modern presentation of the 'semimartingale' or 'Lyapunov function' method applied to near-critical stochastic systems, exemplified by non-homogeneous random walks. Applications treat near-critical stochastic systems and range across modern probability theory from stochastic billiards models to interacting particle systems. Spatially non-homogeneous random walks are explored in depth, as they provide prototypical near-critical systems.
On Random Walks and Orthogonal Polynomials
Title | On Random Walks and Orthogonal Polynomials PDF eBook |
Author | Thomas Alva Whitehurst |
Publisher | |
Pages | 192 |
Release | 1978 |
Genre | Markov processes |
ISBN |
Inzell Lectures on Orthogonal Polynomials
Title | Inzell Lectures on Orthogonal Polynomials PDF eBook |
Author | Wolfgang zu Castell |
Publisher | Nova Publishers |
Pages | 416 |
Release | 2005 |
Genre | Mathematics |
ISBN | 9781594541087 |
Based on the success of Fourier analysis and Hilbert space theory, orthogonal expansions undoubtedly count as fundamental concepts of mathematical analysis. Along with the need for highly involved functions systems having special properties and analysis on more complicated domains, harmonic analysis has steadily increased its importance in modern mathematical analysis. Deep connections between harmonic analysis and the theory of special functions have been discovered comparatively late, but since then have been exploited in many directions. The Inzell Lectures focus on the interrelation between orthogonal polynomials and harmonic analysis.
Stochastic Processes and Orthogonal Polynomials
Title | Stochastic Processes and Orthogonal Polynomials PDF eBook |
Author | Wim Schoutens |
Publisher | Springer Science & Business Media |
Pages | 170 |
Release | 2012-12-06 |
Genre | Mathematics |
ISBN | 1461211700 |
The book offers an accessible reference for researchers in the probability, statistics and special functions communities. It gives a variety of interdisciplinary relations between the two main ingredients of stochastic processes and orthogonal polynomials. It covers topics like time dependent and asymptotic analysis for birth-death processes and diffusions, martingale relations for Lévy processes, stochastic integrals and Stein's approximation method. Almost all well-known orthogonal polynomials, which are brought together in the so-called Askey Scheme, come into play. This volume clearly illustrates the powerful mathematical role of orthogonal polynomials in the analysis of stochastic processes and is made accessible for all mathematicians with a basic background in probability theory and mathematical analysis. Wim Schoutens is a Postdoctoral Researcher of the Fund for Scientific Research-Flanders (Belgium). He received his PhD in Science from the Catholic University of Leuven, Belgium.
Modern Analysis and Applications
Title | Modern Analysis and Applications PDF eBook |
Author | Vadim Adamyan |
Publisher | Springer Science & Business Media |
Pages | 497 |
Release | 2009-08-29 |
Genre | Mathematics |
ISBN | 3764399198 |
This is the first of two volumes containing peer-reviewed research and survey papers based on talks at the International Conference on Modern Analysis and Applications. The papers describe the contemporary development of subjects influenced by Mark Krein.