擴散過程及其樣本軌道

內容介紹

《擴散過程及其樣本軌道(英文版)》是Springer《數學經典教材》系列之一，對與擴散現象有關的隨機過程產生持久而深刻的影響。不少數學家受益於《擴散過程及其樣本軌道(英文版)》一維和多維擴散過程的描述和獨到的布朗運動數學見解。傳承這一系列書的風格，行文簡潔流暢。每章節後面都配有問題並有部分解答，很適合作為教材和自學用書。目次：標準布朗運動；布朗局部時間；一般一維擴散；生成元；局部時間和逆時間序列；多維布朗運動；多維擴散簡述。

作品目錄

PrerequisitesChapter 1. The standard BRowNian motion 1.1. The standard random walk 1.2. Passage times for the standard random walk 1.3. HINCIN'S proof of the DE MOIVRE-LAPLACE limit theorem 1.4. The standard BROWNian motion 1.5. P. LEVY's construction 1.6. Strict MAgKOV character 1.7. Passage times for the standard BgowNian motion Note 1: Homogeneous differential processes with increasing paths 1.8. KOLMOGOROV'S test and the law of the iterated logarithm 1.9. P. LEVY'S HOLDER condition 1.10. Approximating the BgowNian motion by a random walkChapter 2. BROWNian local times 2.1. The reflecting BRowNian motion 2.2. P. LEVY'S local time 2.3. Elastic BgowNian motion 2.4. t+ and down-crossings 2.5. t+ as HAUSDORFF-BESICOVITCH 1/2-dimensional measure Note 1: Submartingales Note 2: HAUSDORFF measure and dimension 2.6. Kxc's formula for BRowNian funetionals 2.7. BESSEL processes 2.8. Standard BRowNian local time 2.9. BRowNian excursions 2.10. Application of the BESSEL process to BROWNian excursions 2.11. A time substitutionChapter 3. The general t-dimensional diffusion 3.t. Definition 3.2. MARKOV times 3.3. Matching numbers 3.4. Singular points 3.5. Decomposing the general diffusion into simple pieces 3.6. GREEN operators and the spaceD 3.7. Generators 3.8. Generators continued 3.9. Stopped diffusionChapter 4. Generators 4.1. A general view 4.2. as local differential operator: conservative non-singular case 4.3. as local differential operator: general non-singular case 4.4. A second proof 4.5. at an isolated singular point 4.6. Solving 4.7. as global differential operator: non-singular case 4.8. on the shunts 4.9. as global differential operator: singular case 4.10. Passage times Note 1: Differential processes with increasing paths 4.ft. Eigen-differential expansions for GREEN functions and transition densities 4.12. KOLMOGOROV'S testChapter 5. Time changes and killing 5.1. Construction of sample paths: a general view 5.2. Time changes 5.3. Time changes 5.4. Local times 5.5. Subordination and chain rule 5.6. Killing times 5.7. FELLER'S BROWNlan motions 5.8. IKEDA'S example 5.9. Time substitutions must come from local time integrals 5.10. Shunts 5.11. Shunts with killing 5.12. Creation of mass 5.13. A parabolic equation 5.f4. Explosions 5.15. A non-linear parabolic equationChapter 6. Local and inverse local times 6.1. Local and inverse local times 6.2. LEVY measures 6.3. t and the intervals of [0, + ∞) 6.4. A counter example: t and the intervals of [0, +∞) 6.5a t and downcrossings 6.5b t as HAUSDORFF measure 6.5c t as diffusion 6.5d Excursions 6.6. Dimension numbers 6.7. Comparison tests Notension Dimension numbers and fractional dimensional capacities 6.8. An individual ergodic theoremChapter 7. BRowNian motion in several dimensions 7.1. Diffusion in several dimensions 7.2. The standard BRowNian motion in several dimensions 7.3. Wandering out to oo 7.4. GREENian domains and GREEN functions 7.5. Excessive functions 7.6. Application to the spectrum of /1/2 7.7. Potentials and hitting probabilities 7.8. NEWTONian capacities 7.9. GAUSS's quadratic form 7.10. WIENER'S test 7.11. Applicatiors of WIENER'S test 7.12. DIRICHLET problem 7.13. NEUHANN problem 7.14. Space-time BROWNian moticn 7.15. Spherical BROWNian motion and skew products 7.16. Spinning 7.17. An individual ergodic theorem for the standard 2-dimensional BROWNian motion 7.18. Covering BROWNian motions 7.19. Diffusions with BROWNian hitting probabilities 7.20. Right-continuous paths 7.21. RIESZ potentialsChapter 8. A general view of diffusion in several dimensions 8.1. Similar diffusions 8.2. as differential operater 8.3. Time substitutions 8.4. Potentials 8.5. Boundaries 8.6. Elliptic operators 8.7. FELLER'S little boundary and tail algebrasBibliographyList of notationsIndex

擴散過程及其樣本軌道

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