Burdzy Brownian Motion and its Applications to Mathematical Analysis

École d'Été de Probabilités de Saint-Flour XLIII – 2013
Erscheinungsjahr 2014
ISBN: 978-3-319-04394-4
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 137 Seiten, eBook

Reihe: École d'Été de Probabilités de Saint-Flour

These lecture notes provide an introduction to the applications of Brownian motion to analysis and more generally, connections between Brownian motion and analysis. Brownian motion is a well-suited model for a wide range of real random phenomena, from chaotic oscillations of microscopic objects, such as flower pollen in water, to stock market fluctuations. It is also a purely abstract mathematical tool which can be used to prove theorems in "deterministic" fields of mathematics.The notes include a brief review of Brownian motion and a section on probabilistic proofs of classical theorems in analysis. The bulk of the notes are devoted to recent (post-1990) applications of stochastic analysis to Neumann eigenfunctions, Neumann heat kernel and the heat equation in time-dependent domains.

Zielgruppe

Research

Autoren/Hrsg.

Burdzy, Krzysztof

Inhaltsverzeichnis

1. Brownian motion.- 2. Probabilistic proofs of classical theorems.- 3. Overview of the "hot spots" problem.- 4. Neumann eigenfunctions and eigenvalues.- 5. Synchronous and mirror couplings.- 6. Parabolic boundary Harnack principle.- 7. Scaling coupling.- 8. Nodal lines.- 9. Neumann heat kernel monotonicity.- 10. Reflected Brownian motion in time dependent domains.