Continuous time Markov processes : an introduction / Thomas M. Liggett.

Author/creator Liggett, Thomas M.
Format Book
Publication InfoProvidence, R.I. : American Mathematical Society, ©2010.
Descriptionxii, 271 pages ; 27 cm.
Subjects
Markov processes.
Stochastic integrals.

SeriesGraduate studies in mathematics ; v. 113
Graduate studies in mathematics v. 113. ^A347883
Contents One-dimensional Brownian motion -- Continuous time Markov chains -- Feller processes -- Interacting particle systems -- Stochastic integration -- Multi-dimensional Brownian motion and the Dirichlet problem.
Abstract "Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes and applies this theory to various special examples. The initial chapter is devoted to the most important classical example--one-dimensional Brownian motion. This, together with a chapter on continuous time Markov chains, provides the motivation for the general setup based on semigroups and generators. Chapters on stochastic calculus and probabilistic potential theory give an introduction to some of the key areas of application of Brownian motion and its relatives. A chapter on interacting particle systems treats a more recently developed class of Markov processes that have as their origin problems in physics and biology."--Publisher's description.
Bibliography noteIncludes bibliographical references and index.
LCCN 2009045839
ISBN9780821849491 (alk. paper)
ISBN0821849492 (alk. paper)

Availability

Library Location Call Number Status Item Actions
Joyner General Stacks QA274.7 .L54 2010 ✔ Available Place Hold
Joyner General Stacks QA274.7 .L54 2010 ✔ Available Place Hold