Lévy processes, integral equations, statistical physics. Connections and interactions (Q411316)

The book is devoted to interconnections between analysis (integral and differential equations, spectral theory, operator theory) and probability problems and their applications, and statistical physics (Boltzmann equations, entropy, laws of thermodynamics, Gibbs type formulae etc). A special emphasis is on methods from analysis that can be successfully employed in solving probability theory problems. The first chapter of the book is dedicated to the theory of Lévy processes. It is shown that, for a broad class of Lévy processes, the Itô representation of the infinitesimal generator for the strongly continuous semigroup can be written in a convolution type from. This representation is used to study the probability that a Lévy process will stay within a given domain. The obtained results are compared with the well-known classical results for: the iterated logarithm law, the first hitting time, the most visited sites. The second chapter deals with a weaker version of the imperceptibility of the boundary in the theory of stable processes formulated by M. Kac. The third chapter is dedicated to the approximation of positive functions by some linear polynomial operators. This type of approximations may appear in some probabilistic problems, where the density function needs to be approximated. Chapter 4 deals with the problems of optimal filtering and prediction for the \(S_j\)-generalized stationary processes. Also, some subclasses of these processes are introduced and analyzed. An effective construction of a class of positive operators in Hilbert spaces which do not admit triangular factorization is presented in Chapter 5. The non-factorable operators are used in various problems in optics, in random matrices theory, Bose gas theory or generalized stationary processes. Chapter 6 is devoted to the comparison of thermodynamic characteristics of quantum and classical approaches for energy, statistical sum and entropy when the Planck constant is not necessarily small. In the next chapter, the author gives a generalization of the Kac-Krein notion of dual string equations for some classes of canonical continuous and discrete systems. Some examples are discussed, such as the Laguerre and the Jacobi polynomials. Chapter 8 deals with a class of generalized integral operators and their interconnections with the Riemann-Hilbert problems and the canonical systems. Various examples are presented. In Chapter 9, the game theoretic approach is applied to some important problems from quantum and classical mechanics, non-extensive statistical mechanics or algorithmic information theory. The classical and quantum versions of the Boltzmann equations are investigated in Chapter 10. Comparisons between the classical and quantum approaches are given. The last chapter of the book introduces and discusses the main notions of the Bézoutiant theory. Some applications of this theory are considered. The book ends with a few comments related to the problems studied in the book, a bibliography and a glossary.