Random Walk: A Modern Introduction

Author: Gregory F. Lawler,Vlada Limic

Publisher: Cambridge University Press

ISBN: 1139488767

Category: Mathematics

Page: N.A

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Random walks are stochastic processes formed by successive summation of independent, identically distributed random variables and are one of the most studied topics in probability theory. This contemporary introduction evolved from courses taught at Cornell University and the University of Chicago by the first author, who is one of the most highly regarded researchers in the field of stochastic processes. This text meets the need for a modern reference to the detailed properties of an important class of random walks on the integer lattice. It is suitable for probabilists, mathematicians working in related fields, and for researchers in other disciplines who use random walks in modeling.

Random Walk and the Heat Equation

Author: Gregory F. Lawler

Publisher: American Mathematical Soc.

ISBN: 0821848291

Category: Mathematics

Page: 156

View: 9190

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The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation and considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In this book, Lawler introduces the heat equations and the closely related notion of harmonic functions from a probabilistic perspective. The theme of the first two chapters of the book is the relationship between random walks and the heat equation. This first chapter discusses the discrete case, random walk and the heat equation on the integer lattice; and the second chapter discusses the continuous case, Brownian motion and the usual heat equation. Relationships are shown between the two. For example, solving the heat equation in the discrete setting becomes a problem of diagonalization of symmetric matrices, which becomes a problem in Fourier series in the continuous case. Random walk and Brownian motion are introduced and developed from first principles. The latter two chapters discuss different topics: martingales and fractal dimension, with the chapters tied together by one example, a random Cantor set. The idea of this book is to merge probabilistic and deterministic approaches to heat flow. It is also intended as a bridge from undergraduate analysis to graduate and research perspectives. The book is suitable for advanced undergraduates, particularly those considering graduate work in mathematics or related areas.

Riemannian Geometry

A Modern Introduction

Author: Isaac Chavel

Publisher: Cambridge University Press

ISBN: 1139452576

Category: Mathematics

Page: N.A

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This book provides an introduction to Riemannian geometry, the geometry of curved spaces, for use in a graduate course. Requiring only an understanding of differentiable manifolds, the author covers the introductory ideas of Riemannian geometry followed by a selection of more specialized topics. Also featured are Notes and Exercises for each chapter, to develop and enrich the reader's appreciation of the subject. This second edition, first published in 2006, has a clearer treatment of many topics than the first edition, with new proofs of some theorems and a new chapter on the Riemannian geometry of surfaces. The main themes here are the effect of the curvature on the usual notions of classical Euclidean geometry, and the new notions and ideas motivated by curvature itself. Completely new themes created by curvature include the classical Rauch comparison theorem and its consequences in geometry and topology, and the interaction of microscopic behavior of the geometry with the macroscopic structure of the space.

An Introduction to Random Matrices

Author: Greg W. Anderson,Alice Guionnet,Ofer Zeitouni

Publisher: Cambridge University Press

ISBN: 0521194520

Category: Mathematics

Page: 492

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A rigorous introduction to the basic theory of random matrices designed for graduate students with a background in probability theory.

A Basic Course in Probability Theory

Author: Rabi Bhattacharya,Edward C. Waymire

Publisher: Springer

ISBN: 3319479741

Category: Mathematics

Page: 265

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This text develops the necessary background in probability theory underlying diverse treatments of stochastic processes and their wide-ranging applications. In this second edition, the text has been reorganized for didactic purposes, new exercises have been added and basic theory has been expanded. General Markov dependent sequences and their convergence to equilibrium is the subject of an entirely new chapter. The introduction of conditional expectation and conditional probability very early in the text maintains the pedagogic innovation of the first edition; conditional expectation is illustrated in detail in the context of an expanded treatment of martingales, the Markov property, and the strong Markov property. Weak convergence of probabilities on metric spaces and Brownian motion are two topics to highlight. A selection of large deviation and/or concentration inequalities ranging from those of Chebyshev, Cramer–Chernoff, Bahadur–Rao, to Hoeffding have been added, with illustrative comparisons of their use in practice. This also includes a treatment of the Berry–Esseen error estimate in the central limit theorem. The authors assume mathematical maturity at a graduate level; otherwise the book is suitable for students with varying levels of background in analysis and measure theory. For the reader who needs refreshers, theorems from analysis and measure theory used in the main text are provided in comprehensive appendices, along with their proofs, for ease of reference. Rabi Bhattacharya is Professor of Mathematics at the University of Arizona. Edward Waymire is Professor of Mathematics at Oregon State University. Both authors have co-authored numerous books, including a series of four upcoming graduate textbooks in stochastic processes with applications.

Algorithms and Computation

26th International Symposium, ISAAC 2015, Nagoya, Japan, December 9-11, 2015, Proceedings

Author: Khaled Elbassioni,Kazuhisa Makino

Publisher: Springer

ISBN: 3662489716

Category: Computers

Page: 793

View: 3172

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This book constitutes the refereed proceedings of the 26th International Symposium on Algorithms and Computation, ISAAC 2015, held in Nagoya, Japan, in December 2015. The 65 revised full papers presented together with 3 invited talks were carefully reviewed and selected from 180 submissions for inclusion in the book. The focus of the volume is on the following topics: computational geometry; data structures; combinatorial optimization and approximation algorithms; randomized algorithms; graph algorithms and FPT; computational complexity; graph drawing and planar graphs; online and streaming algorithms; and string and DNA algorithms.

Non-homogeneous Random Walks

Lyapunov Function Methods for Near-Critical Stochastic Systems

Author: Mikhail Menshikov,Serguei Popov,Andrew Wade

Publisher: Cambridge University Press

ISBN: 1316867366

Category: Mathematics

Page: N.A

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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.

Probability and Statistical Physics in St. Petersburg

Author: V. Sidoravicius,S. Smirnov

Publisher: American Mathematical Soc.

ISBN: 1470422484

Category: Combinatorial analysis

Page: 471

View: 1481

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This book brings a reader to the cutting edge of several important directions of the contemporary probability theory, which in many cases are strongly motivated by problems in statistical physics. The authors of these articles are leading experts in the field and the reader will get an exceptional panorama of the field from the point of view of scientists who played, and continue to play, a pivotal role in the development of the new methods and ideas, interlinking it with geometry, complex analysis, conformal field theory, etc., making modern probability one of the most vibrant areas in mathematics.

Elements of the Random Walk

An introduction for Advanced Students and Researchers

Author: Joseph Rudnick,George Gaspari

Publisher: Cambridge University Press

ISBN: 9781139450140

Category: Science

Page: N.A

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Random walks have proven to be a useful model in understanding processes across a wide spectrum of scientific disciplines. Elements of the Random Walk is an introduction to some of the most powerful and general techniques used in the application of these ideas. The mathematical construct that runs through the analysis of the topics covered in this book, unifying the mathematical treatment, is the generating function. Although the reader is introduced to analytical tools, such as path-integrals and field-theoretical formalism, the book is self-contained in that basic concepts are developed and relevant fundamental findings fully discussed. Mathematical background is provided in supplements at the end of each chapter, when appropriate. This text will appeal to graduate students across science, engineering and mathematics who need to understand the applications of random walk techniques, as well as to established researchers.

A Guide to First-Passage Processes

Author: Sidney Redner

Publisher: Cambridge University Press

ISBN: 0521652480

Category: Business & Economics

Page: 312

View: 708

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The basic theory presented in a way which emphasizes intuition, problem-solving and the connections with other fields.

Brownian Motion

Author: T. Hida

Publisher: Springer Science & Business Media

ISBN: 1461260302

Category: Mathematics

Page: 327

View: 9113

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Following the publication of the Japanese edition of this book, several inter esting developments took place in the area. The author wanted to describe some of these, as well as to offer suggestions concerning future problems which he hoped would stimulate readers working in this field. For these reasons, Chapter 8 was added. Apart from the additional chapter and a few minor changes made by the author, this translation closely follows the text of the original Japanese edition. We would like to thank Professor J. L. Doob for his helpful comments on the English edition. T. Hida T. P. Speed v Preface The physical phenomenon described by Robert Brown was the complex and erratic motion of grains of pollen suspended in a liquid. In the many years which have passed since this description, Brownian motion has become an object of study in pure as well as applied mathematics. Even now many of its important properties are being discovered, and doubtless new and useful aspects remain to be discovered. We are getting a more and more intimate understanding of Brownian motion.

Fractals in Probability and Analysis

Author: Christopher J. Bishop,Yuval Peres

Publisher: Cambridge University Press

ISBN: 1107134110

Category: Mathematics

Page: 412

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This is a mathematically rigorous introduction to fractals which emphasizes examples and fundamental ideas. Building up from basic techniques of geometric measure theory and probability, central topics such as Hausdorff dimension, self-similar sets and Brownian motion are introduced, as are more specialized topics, including Kakeya sets, capacity, percolation on trees and the traveling salesman theorem. The broad range of techniques presented enables key ideas to be highlighted, without the distraction of excessive technicalities. The authors incorporate some novel proofs which are simpler than those available elsewhere. Where possible, chapters are designed to be read independently so the book can be used to teach a variety of courses, with the clear structure offering students an accessible route into the topic.

Markov Chains and Mixing Times: Second Edition

Author: David A. Levin,Yuval Peres

Publisher: American Mathematical Soc.

ISBN: 1470429624

Category: Distribution (Probability theory)

Page: 447

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This book is an introduction to the modern theory of Markov chains, whose goal is to determine the rate of convergence to the stationary distribution, as a function of state space size and geometry. This topic has important connections to combinatorics, statistical physics, and theoretical computer science. Many of the techniques presented originate in these disciplines. The central tools for estimating convergence times, including coupling, strong stationary times, and spectral methods, are developed. The authors discuss many examples, including card shuffling and the Ising model, from statistical mechanics, and present the connection of random walks to electrical networks and apply it to estimate hitting and cover times. The first edition has been used in courses in mathematics and computer science departments of numerous universities. The second edition features three new chapters (on monotone chains, the exclusion process, and stationary times) and also includes smaller additions and corrections throughout. Updated notes at the end of each chapter inform the reader of recent research developments.

An Introduction to the Theory of Large Deviations

Author: D.W. Stroock

Publisher: Springer Science & Business Media

ISBN: 1461385148

Category: Mathematics

Page: 196

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These notes are based on a course which I gave during the academic year 1983-84 at the University of Colorado. My intention was to provide both my audience as well as myself with an introduction to the theory of 1arie deviations • The organization of sections 1) through 3) owes something to chance and a great deal to the excellent set of notes written by R. Azencott for the course which he gave in 1978 at Saint-Flour (cf. Springer Lecture Notes in Mathematics 774). To be more precise: it is chance that I was around N. Y. U. at the time'when M. Schilder wrote his thesis. and so it may be considered chance that I chose to use his result as a jumping off point; with only minor variations. everything else in these sections is taken from Azencott. In particular. section 3) is little more than a rewrite of his exoposition of the Cramer theory via the ideas of Bahadur and Zabel. Furthermore. the brief treatment which I have given to the Ventsel-Freidlin theory in section 4) is again based on Azencott's ideas. All in all. the biggest difference between his and my exposition of these topics is the language in which we have written. However. another major difference must be mentioned: his bibliography is extensive and constitutes a fine introduction to the available literature. mine shares neither of these attributes. Starting with section 5).

An Introduction to Combinatorial Analysis

Author: John Riordan

Publisher: Princeton University Press

ISBN: 1400854334

Category: Mathematics

Page: 258

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This book introduces combinatorial analysis to the beginning student. The author begins with the theory of permutation and combinations and their applications to generating functions. In subsequent chapters, he presents Bell polynomials; the principle of inclusion and exclusion; the enumeration of permutations in cyclic representation; the theory of distributions; partitions, compositions, trees and linear graphs; and the enumeration of restricted permutations. Originally published in 1980. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Upper and Lower Bounds for Stochastic Processes

Modern Methods and Classical Problems

Author: Michel Talagrand

Publisher: Springer Science & Business Media

ISBN: 3642540759

Category: Mathematics

Page: 626

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The book develops modern methods and in particular the "generic chaining" to bound stochastic processes. This methods allows in particular to get optimal bounds for Gaussian and Bernoulli processes. Applications are given to stable processes, infinitely divisible processes, matching theorems, the convergence of random Fourier series, of orthogonal series, and to functional analysis. The complete solution of a number of classical problems is given in complete detail, and an ambitious program for future research is laid out.

Probability and Random Variables

A Beginner's Guide

Author: David Stirzaker

Publisher: Cambridge University Press

ISBN: 9780521644457

Category: Mathematics

Page: 368

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This concise introduction to probability theory is written in an informal tutorial style with concepts and techniques defined and developed as necessary. Examples, demonstrations, and exercises are used to explore ways in which probability is motivated by, and applied to, real life problems in science, medicine, gaming and other subjects of interest. It assumes minimal prior technical knowledge and is suitable for students taking introductory courses, those needing a working knowledge of probability theory and anyone interested in this endlessly fascinating and entertaining subject.

Groups, Graphs and Random Walks

Author: Tullio Ceccherini-Silberstein,Maura Salvatori,Ecaterina Sava-Huss

Publisher: Cambridge University Press

ISBN: 1316604403

Category: Mathematics

Page: 542

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An accessible and panoramic account of the theory of random walks on groups and graphs, stressing the strong connections of the theory with other branches of mathematics, including geometric and combinatorial group theory, potential analysis, and theoretical computer science. This volume brings together original surveys and research-expository papers from renowned and leading experts, many of whom spoke at the workshop 'Groups, Graphs and Random Walks' celebrating the sixtieth birthday of Wolfgang Woess in Cortona, Italy. Topics include: growth and amenability of groups; Schrdinger operators and symbolic dynamics; ergodic theorems; Thompson's group F; Poisson boundaries; probability theory on buildings and groups of Lie type; structure trees for edge cuts in networks; and mathematical crystallography. In what is currently a fast-growing area of mathematics, this book provides an up-to-date and valuable reference for both researchers and graduate students, from which future research activities will undoubtedly stem.

Probability on Trees and Networks

Author: Russell Lyons,Yuval Peres

Publisher: Cambridge University Press

ISBN: 1316785335

Category: Mathematics

Page: N.A

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Starting around the late 1950s, several research communities began relating the geometry of graphs to stochastic processes on these graphs. This book, twenty years in the making, ties together research in the field, encompassing work on percolation, isoperimetric inequalities, eigenvalues, transition probabilities, and random walks. Written by two leading researchers, the text emphasizes intuition, while giving complete proofs and more than 850 exercises. Many recent developments, in which the authors have played a leading role, are discussed, including percolation on trees and Cayley graphs, uniform spanning forests, the mass-transport technique, and connections on random walks on graphs to embedding in Hilbert space. This state-of-the-art account of probability on networks will be indispensable for graduate students and researchers alike.

Random Walks and Heat Kernels on Graphs

Author: Martin T. Barlow

Publisher: Cambridge University Press

ISBN: 1107674425

Category: Mathematics

Page: 226

View: 1218

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This introduction to random walks on infinite graphs gives particular emphasis to graphs with polynomial volume growth. It offers an overview of analytic methods, starting with the connection between random walks and electrical resistance, and then proceeding to study the use of isoperimetric and Poincar inequalities. The book presents rough isometries and looks at the properties of a graph that are stable under these transformations. Applications include the 'type problem': determining whether a graph is transient or recurrent. The final chapters show how geometric properties of the graph can be used to establish heat kernel bounds, that is, bounds on the transition probabilities of the random walk, and it is proved that Gaussian bounds hold for graphs that are roughly isometric to Euclidean space. Aimed at graduate students in mathematics, the book is also useful for researchers as a reference for results that are hard to find elsewhere.