Diffusion processes, jump processes, and stochastic differential equations

Author(s)

• Woyczyński, W. A. (Wojbor Andrzej)

Bibliographic Information

Diffusion processes, jump processes, and stochastic differential equations

Wojbor A. Woyczynski

Chapman & Hall/CRC Press, c2022

First edition

• :hbk.

Note

Includes bibliographical references and index

Description and Table of Contents

Description

Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.

Table of Contents

• 1. Random variables, vectors, processes and fields. 1.1. Random variables, vectors, and their distributions - a glossary. 1.2. Law of Large Numbers and the Central Limit Theorem. 1.3. Stochastic processes and their finite-dimensional distributions. 1.4. Problems and Exercises. 2. From Random Walk to Brownian Motion. 2.1. Symmetric random walk
• parabolic rescaling and related Fokker-Planck equations. 2.2 Almost sure continuity of sample paths. 2.3 Nowhere differentiability of Brownian motion. 2.4 Hitting times, and other subtle properties of Brownian motion. 2.5. Problems and Exercises. 3. Poisson processes and their mixtures. 3.1. Why Poisson process? 3.2. Covariance structure and finite dimensional distributions. 3.3. Waiting times and inter-jump times. 3.4. Extensions and generalizations. 3.5. Fractional Poisson processes (fPp). 3.6. Problems and Exercises. 4. Levy processes and the Levy-Khinchine formula: basic facts. 4.1. Processes with stationary and independent increments. 4.2. From Poisson processes to Levy processes. 4.3. Infinitesimal generators of Levy processes. 4.4. Selfsimilar Levy processes. 4.5. Properties of -stable motions. 4.6. Infinitesimal generators of -stable motions. 4.7. Problems and Exercises. 5. General processes with independent increments. 5.1. Nonstationary processes with independent increments. 5.2. Stochastic continuity and jump processes. 5.3. Analysis of jump structure. 5.4. Random measures and random integrals associated with jump processes. 5.5. Structure of general I.I. processes. 5.6. Problems and Exercises. 6. Stochastic integrals for Brownian motion and general Levy Processes. 6.1. Wiener random integral. 6.2. Ito's stochastic integral for Brownian motion. 6.3. An instructive example. 6.4. Ito's formula. 6.5. Martingale property of Ito integrals. 6.6. Wiener and Ito-type stochastic integrals for -stable motion and general Levy processes. 6.7. Problems and Exercises. 7. Ito stochastic differential equations. 7.1. Differential equations with random noise. 7.2. Stochastic differential equations: Basic theory. 7.3. SDEs with coefficients depending only on time. 7.4. Population growth model and other examples. 7.5. Ornstein-Uhlenbeck process. 7.6. Systems of SDEs and vector-valued Ito's formula. 7.7. Kalman-Bucy filter. 7.8. Numerical solution of stochastic differential equations. 7.9. Problems and Exercises. 8. Asymmetric exclusion processes and their scaling limits. 8.1. Asymmetric exclusion principles. 8.2. Scaling limit. 8.3. Other queuing regimes related to non-nearest neighbor systems. 8.4. Networks with multiserver nodes and particle systems with state-dependent rates. 8.5. Shock and rarefaction wave solutions for the Riemann problem for conservation laws. 8.6. Problems and Exercises. 9. Nonlinear diffusion equations. 9.1. Hyperbolic equations. 9.2. Nonlinear diffusion approximations. 9.3. Problems and Exercises

by "Nielsen BookData"

• NCID: BC09382425
• ISBN:
  • 9781032100678
• LCCN: 2021032255
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Boca Raton
• Pages/Volumes: xi, 126 p.
• Size: 26 cm
• Classification:
  • LCC : QA274.75
  • DC23 : 519.2/33
• Subject Headings:
  • LCSH : Diffusion processes
  • LCSH : Jump processes
  • LCSH : Stochastic differential equations