Markov processes, semigroups and generators.
The book consists of two parts. Part I is a well-written course on the theory of the Brownian motion and more general Markov processes touching, in more or less detail, many related subjects, such as martingales, Malliavin calculus, Lévy processes, various classes of stochastic integrals, stochastic differential equations and martingale problems. In Part II, the book becomes a research monograph, and the subjects covered here reflect the author's interests and achievements. In his words, ``the main results concern: {\parindent=7,5mm \begin{itemize}\item[(i)] various constructions and basic continuity properties of Markov processes, including processes stopped or killed at the boundary (as well as related boundary points classification and sensitivity analysis); \item[(ii)] in particular, heat kernel estimates for stable-like processes; \item[(iii)] limiting processes for position-dependent continuous time random walks (obtained by a random time change from the Markov processes) and related fractional (in time) dynamics; \item[(iv)] the rigorous Feynman path-integral representation for the solutions of the basic equations of quantum mechanics, via jump-type Markov processes. \end{itemize}} We also touch upon the theory of stochastic monotonicity, stochastic scattering, stochastic quasi-classical (also called small diffusion) asymptotics, and stochastic control. An interesting feature of the author's style is to give several alternative descriptions of the same object. Thus, he gives four different constructions of the Brownian motion (via approximation by piecewise-linear curves, via Hilbert space methods, via tightness of random-walk approximations, via the Kolmogorov-Chentsov continuity criterium), two constructions of the Poisson process, and several approaches to proving functional central limit theorems. The book contains an extensive bibliography. As a whole, the book is a valuable source of information both for specialists in the field and those who study the theory of stochastic processes.
- Markov processes, Feller semigroups and evolution equations.
- scientific article; zbMATH DE number 2069981
- Feller semigroups and Markov processes
- Semigroups, boundary value problems and Markov processes
- On Markov processes with decomposable pseudo-differential generators
- Markov operators, positive semigroups and approximation processes
- scientific article; zbMATH DE number 4024431
- scientific article; zbMATH DE number 1487749
- scientific article; zbMATH DE number 2237386
- A class of generators of pseudo-Markov chains
- Regularity and stability for the semigroup of jump diffusions with state-dependent intensity
- Large-time asymptotics of a fractional drift-diffusion-Poisson system via the entropy method
- On semi-Markov processes and their Kolmogorov's integro-differential equations
- Time fractional equations and probabilistic representation
- Generalised fractional evolution equations of Caputo type
- Fractional partial differential equations with boundary conditions
- Semi-Markov models and motion in heterogeneous media
- Differential equations driven by rough paths with jumps
- On the domain of fractional Laplacians and related generators of Feller processes
- Fluctuations of the empirical measure of freezing Markov chains
- On martingale problems and Feller processes
- Correlated continuous time random walks and fractional Pearson diffusions
- Extension of Mikhlin multiplier theorem to fractional derivatives and stable processes
- Hausdorff dimension of the range and the graph of stable-like processes
- Stochastic representation of solution to nonlocal-in-time diffusion
- Locally Feller processes and martingale local problems
- Integro-differential equations generated by stochastic problems
- Periodic homogenization of a Lévy-type process with small jumps
- On discrete-time semi-Markov processes
- Schauder estimates for Poisson equations associated with non-local Feller generators
- Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds
- A differential game with the possibility of early termination
- Feller generators with measurable lower order terms
- Fractional kinetic equations
- Fractional boundary value problems
- CTRW modeling of quantum measurement and fractional equations of quantum stochastic filtering and control
- Spectral heat content for \(\alpha \)-stable processes in \({C^{1,1}}\) open sets
- Differential game with discrete stopping time
- A non-linear stable non-Gaussian process in fractional time
- Deterministic limit of mean field games associated with nonlinear Markov processes
- A Kac model for kinetic annihilation
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- Markov process representation of semigroups whose generators include negative rates
- What is the fractional Laplacian? A comparative review with new results
- Lattice approximations of the first-order mean field type differential games
- Precise asymptotic approximations for kernels corresponding to Lévy processes
- Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed
- Relaxation patterns and semi-Markov dynamics
- From coalescing random walks on a torus to Kingman's coalescent
- Preface: Numerical analysis of fractional differential equations
- Mixed fractional differential equations and generalized operator-valued Mittag-Leffler functions
- Regime switching affine processes with applications to finance
- Lyapunov criteria for the Feller-Dynkin property of martingale problems
- The probabilistic point of view on the generalized fractional partial differential equations
- Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
- Random walks and Lévy processes as rough paths
- Perpetual integrals via random time changes
- On fully mixed and multidimensional extensions of the Caputo and Riemann-Liouville derivatives, related Markov processes and fractional differential equations
- A CLT for degenerate diffusions with periodic coefficients, and application to homogenization of linear PDEs
- Geodesic random walks, diffusion processes and Brownian motion on Finsler manifolds
- Subexponential upper and lower bounds in Wasserstein distance for Markov processes
- Upper functions for sample paths of Lévy(-type) processes
- On multidimensional stable-driven stochastic differential equations with Besov drift
- On random dynamical systems generated by white noise time change of deterministic dynamical systems
- Generated dynamics of Markov and quantum processes
- A unified approach to infinite-dimensional integration
- Motion among random obstacles on a hyperbolic space
- Approximate solutions of continuous-time stochastic games
- Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
- Markov semigroups, monoids and groups.
- Ergodicity of Lévy-type processes
- A class of Lévy driven SDEs and their explicit invariant measures
- Generation of some important classes of stochastic processes
- Time-inhomogeneous jump processes and variable order operators
- scientific article; zbMATH DE number 4169792 (Why is no real title available?)
- Nonlinear Markov processes and kinetic equations.
- Continuous time finite state mean field games
- Nonlinear diffusions and stable-like processes with coefficients depending on the median or var
- scientific article; zbMATH DE number 52118 (Why is no real title available?)
- scientific article; zbMATH DE number 1535832 (Why is no real title available?)
- On the theory of Lorentz gases with long range interactions
- An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space
- One-dimensional dissipative Boltzmann equation: measure solutions, cooling rate, and self-similar profile
- Approximate Public-Signal Correlated Equilibria for Nonzero-Sum Differential Games
- Well-posedness and regularity of the Cauchy problem for nonlinear fractional in time and space equations
- Radiative transport limit of Dirac equations with random electromagnetic field
- Recurrence and transience criteria for two cases of stable-like Markov chains
- On exponential functionals of Lévy processes
- Positional strategies in mean-field control problems on a finite state space
- LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
- On deterministic Markov processes: expandability and related topics
- Maximum principles for nonlocal parabolic Waldenfels operators
- Fractional-in-time and multifractional-in-space stochastic partial differential equations
- Regularization effects of a noise propagating through a chain of differential equations: an almost sharp result
- Fractional kinetic hierarchies and intermittency
- Approximation of value function of differential game with minimal cost
- Symmetric measures, continuous networks, and dynamics
- Differential game with discrete stopping time
- Probabilistic solutions to nonlinear fractional differential equations of generalized Caputo and Riemann-Liouville type
- Random time change and related evolution equations. Time asymptotic behavior
- Markov approximations of nonzero-sum differential games
- Optimal estimates for far field asymptotics of solutions to the quasi-geostrophic equation
- Sharp Schauder estimates for some degenerate Kolmogorov equations
- Limit theorems for some branching measure-valued processes
- The fractional Hamilton-Jacobi-Bellman equation
- Extended generators of Markov processes and applications
- Continuous time Markov processes. An introduction.
- Markov Processes, Brownian Motion, and Time Symmetry
- scientific article; zbMATH DE number 2237386 (Why is no real title available?)
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