Random evolutions and their applications

Publication date 15 September 1997

martingale problems renewal process semi-Markov random evolutions stochastic systems in random media theory of random evolutions

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on general state spaces (60J25) Markov renewal processes, semi-Markov processes (60K15)

Review text

In the handbook an attempt is done to systematize the ideas and results obtained by many authors in the last three decades in the theory of random evolutions and their applications to the probabilistic representation of solutions of deterministic evolution by means of the suitable expectation semigroups as well as to the investigation of stochastic systems in random media. Main attention is paid to the properties of the semi-Markov random evolutions \(V(t)\), \(t\geq 0\), which are defined as the solutions of the stochastic operator equations in a separable Banach space \((B,\|\cdot\|)\): \[ V(t)f= f+ \int^t_0 \Gamma(X(s))V(s)f ds+ \sum^{\nu(t)}_{k= 1} (D(X_{k- 1}, X_k)- I)V(\tau_{k^-})f,\quad t\geq 0,\;f\in B, \] where \((X_n,\theta)\), \(n\geq 0\), is a Markov renewal process, \(\tau_n= \sum^n_{j= 1}\theta_j\), \(\nu(t)=\max\{n:\tau_n\leq t\}\), \(X(t)= X_{\nu(t)}\), \(t\geq 0\), is a semi-Markov process with a measurable state space \((X,{\mathcal X})\), \(\{\Gamma(x), x\in X\}\) is a family of generators of strongly continuous semigroups of linear operators in \(B\) and \(\{D(x,y), x,y\in X\}\) is a family of bounded operators in \(B\). The deepest results in the theory of random evolutions are related to their limiting behaviour under singular perturbations. A rather complete survey of such results on averaging, merging, diffusion approximation, normal fluctuations and rates of convergence is presented in the handbook. As concrete models of random evolutions there are considered traffic, storage, diffusion, infinitely divisible, branching etc. processes in a semi-Markov random media. The power of the martingale methods is demonstrated. New trends in the theory of random evolutions, including some applications to the mathematics of finance, are also traced.

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