Markov processes, semigroups and generators.

DOI10.1515/9783110250114zbMATH Open1220.60003OpenAlexW621213496MaRDI QIDQ2430552FDOQ2430552

Authors: Vassili Kolokoltsov 

Publication date: 7 April 2011

Published in: De Gruyter Studies in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/9783110250114

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zbMATH Keywords

Markov processBrownian motionheat kernel estimatescontinuous time random walksFeynman path-integralLévy process

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Transition functions, generators and resolvents (60J35)

Cited In (only showing first 100 items - show all)

• Greenian bounds for Markov processes.
• Generalised fractional evolution equations of Caputo type
• Martingale problems for some degenerate Kolmogorov equations
• Mixed fractional differential equations and generalized operator-valued Mittag-Leffler functions
• Fractional kinetic equations
• Well-posedness and regularity of the Cauchy problem for nonlinear fractional in time and space equations
• Generated dynamics of Markov and quantum processes
• Precise asymptotic approximations for kernels corresponding to Lévy processes
• On the domain of fractional Laplacians and related generators of Feller processes
• Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed
• Title not available (Why is that?)
• From Markov processes to semimartingales
• Title not available (Why is that?)
• Motion among random obstacles on a hyperbolic space
• Regularity and stability for the semigroup of jump diffusions with state-dependent intensity
• Markov Processes, Brownian Motion, and Time Symmetry
• A class of generators of pseudo-Markov chains
• Title not available (Why is that?)
• On martingale problems and Feller processes
• Approximate solutions of continuous-time stochastic games
• Fractional-in-time and multifractional-in-space stochastic partial differential equations
• Hausdorff dimension of the range and the graph of stable-like processes
• On fully mixed and multidimensional extensions of the Caputo and Riemann-Liouville derivatives, related Markov processes and fractional differential equations
• On semi-Markov processes and their Kolmogorov's integro-differential equations
• Fluctuations of the empirical measure of freezing Markov chains
• Radiative transport limit of Dirac equations with random electromagnetic field
• Semi-Markov models and motion in heterogeneous media
• Subexponential upper and lower bounds in Wasserstein distance for Markov processes
• Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator
• Markov approximations of nonzero-sum differential games
• Blow-up for a non-linear stable non-Gaussian process in fractional time
• Maximal inequalities and some applications
• Extended generators of Markov processes and applications
• Nonlinear Markov processes and kinetic equations.
• Relaxation patterns and semi-Markov dynamics
• Recurrence and transience criteria for two cases of stable-like Markov chains
• Bistable behaviour of a jump-diffusion driven by a periodic stable-like additive process
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Stochastic duality of Markov processes: A study via generators
• Regime switching affine processes with applications to finance
• Continuous time Markov processes. An introduction.
• Random walks and Lévy processes as rough paths
• Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
• Homogenization of periodic diffusion with small jumps
• Regularization effects of a noise propagating through a chain of differential equations: an almost sharp result
• Time-inhomogeneous jump processes and variable order operators
• A unified approach to infinite-dimensional integration
• Integro-differential equations generated by stochastic problems
• Random time change and related evolution equations. Time asymptotic behavior
• A class of Lévy driven SDEs and their explicit invariant measures
• Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
• Stochastic coalescence multi-fragmentation processes
• Time fractional equations and probabilistic representation
• On the boundary classification of \(\Lambda\)-Wright-Fisher processes with frequency-dependent selection
• Extension of Mikhlin multiplier theorem to fractional derivatives and stable processes
• Limit theorems for some branching measure-valued processes
• On the theory of Lorentz gases with long range interactions
• Ergodicity of Lévy-type processes
• Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology
• Fractional partial differential equations with boundary conditions
• One-dimensional dissipative Boltzmann equation: measure solutions, cooling rate, and self-similar profile
• Fractional kinetic hierarchies and intermittency
• Continuous time finite state mean field games
• Nonlinear diffusions and stable-like processes with coefficients depending on the median or var
• Differential equations driven by rough paths with jumps
• Correlated continuous time random walks and fractional Pearson diffusions
• Fractional boundary value problems
• Stochastic representation of solution to nonlocal-in-time diffusion
• Applications of inverse tempered stable subordinators
• On exponential functionals of Lévy processes
• Geodesic random walks, diffusion processes and Brownian motion on Finsler manifolds
• Large-time asymptotics of a fractional drift-diffusion-Poisson system via the entropy method
• Positional strategies in mean-field control problems on a finite state space
• Locally Feller processes and martingale local problems
• Upper functions for sample paths of Lévy(-type) processes
• Symmetric measures, continuous networks, and dynamics
• Preface: Numerical analysis of fractional differential equations
• CTRW modeling of quantum measurement and fractional equations of quantum stochastic filtering and control
• CTRW approximations for fractional equations with variable order
• An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space
• Periodic homogenization of a Lévy-type process with small jumps
• Evolution driven by the infinity fractional Laplacian
• The probabilistic point of view on the generalized fractional partial differential equations
• Generation of some important classes of stochastic processes
• LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
• Sharp Schauder estimates for some degenerate Kolmogorov equations
• What is the fractional Laplacian? A comparative review with new results
• Probabilistic solutions to nonlinear fractional differential equations of generalized Caputo and Riemann-Liouville type
• On discrete-time semi-Markov processes
• Equations related to stochastic processes: semigroup approach and Fourier transform
• Markov semigroups, monoids and groups.
• A CLT for degenerate diffusions with periodic coefficients, and application to homogenization of linear PDEs
• Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes
• Schauder estimates for Poisson equations associated with non-local Feller generators
• Optimal estimates for far field asymptotics of solutions to the quasi-geostrophic equation
• Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
• On deterministic Markov processes: expandability and related topics
• Approximation of value function of differential game with minimal cost
• Differential game with discrete stopping time
• Perpetual integrals via random time changes

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