Poisson Point Processes and Their Application to Markov Processes
Seiten
2016
|
1st ed. 2015
Springer Verlag, Singapore
978-981-10-0271-7 (ISBN)
Springer Verlag, Singapore
978-981-10-0271-7 (ISBN)
An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. For this, Itô used, as a fundamental tool, the notion of Poisson point processes formed of all excursions of the process on S / {a}.
An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. Feller, K. Itô, and H. P. McKean, among others. In this book, Itô discussed a case of a general Markov process with state space S and a specified point a ∈ S called a boundary. The problem is to obtain all possible recurrent extensions of a given minimal process (i.e., the process on S / {a} which is absorbed on reaching the boundary a). The study in this lecture is restricted to a simpler case of the boundary a being a discontinuous entrance point, leaving a more general case of a continuous entrance point to future works. He established a one-to-one correspondence between a recurrent extension and a pair of a positive measure k(db) on S / {a} (called the jumping-in measure and a non-negative number m< (called the stagnancy rate). The necessary and sufficient conditions for a pair k, m was obtained so that the correspondence is precisely described. For this, Itô used, as a fundamental tool, the notion of Poisson point processes formed of all excursions of the process on S / {a}. This theory of Itô's of Poisson point processes of excursions is indeed a breakthrough. It has been expanded and applied to more general extension problems by many succeeding researchers. Thus we may say that this lecture note by Itô is really a memorial work in the extension problems of Markov processes. Especially in Chapter 1 of this note, a general theory of Poisson point processes is given that reminds us of Itô's beautiful and impressive lectures in his day.
An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. Feller, K. Itô, and H. P. McKean, among others. In this book, Itô discussed a case of a general Markov process with state space S and a specified point a ∈ S called a boundary. The problem is to obtain all possible recurrent extensions of a given minimal process (i.e., the process on S / {a} which is absorbed on reaching the boundary a). The study in this lecture is restricted to a simpler case of the boundary a being a discontinuous entrance point, leaving a more general case of a continuous entrance point to future works. He established a one-to-one correspondence between a recurrent extension and a pair of a positive measure k(db) on S / {a} (called the jumping-in measure and a non-negative number m< (called the stagnancy rate). The necessary and sufficient conditions for a pair k, m was obtained so that the correspondence is precisely described. For this, Itô used, as a fundamental tool, the notion of Poisson point processes formed of all excursions of the process on S / {a}. This theory of Itô's of Poisson point processes of excursions is indeed a breakthrough. It has been expanded and applied to more general extension problems by many succeeding researchers. Thus we may say that this lecture note by Itô is really a memorial work in the extension problems of Markov processes. Especially in Chapter 1 of this note, a general theory of Poisson point processes is given that reminds us of Itô's beautiful and impressive lectures in his day.
1. Poisson point processes.- 2. Application to Markov Process.
| Erscheinungsdatum | 25.01.2016 |
|---|---|
| Reihe/Serie | SpringerBriefs in Probability and Mathematical Statistics |
| Vorwort | Shinzo Watanabe, Ichiro Shigekawa |
| Zusatzinfo | 3 Illustrations, black and white; XI, 43 p. 3 illus. |
| Verlagsort | Singapore |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Analysis |
| Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik | |
| Schlagworte | characteristic measure • discontinuous and continuous entrance points • jumping-in measure and stagnancy rate • Poisson Point Process • Poisson point process of excursions |
| ISBN-10 | 981-10-0271-1 / 9811002711 |
| ISBN-13 | 978-981-10-0271-7 / 9789811002717 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
| Haben Sie eine Frage zum Produkt? |
Mehr entdecken
aus dem Bereich
aus dem Bereich
Festigkeits- und Verformungslehre, Baudynamik, Wärmeübertragung, …
Buch | Hardcover (2025)
De Gruyter Oldenbourg (Verlag)
CHF 125,90
