Orthogonal Polynomials in the Spectral Analysis of Markov Processes

Erscheinungsjahr 2021
ISBN: 978-1-316-51655-3
Verlag: Cambridge University Press

Buch, Englisch, Band 181, 390 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 751 g

Reihe: Encyclopedia of Mathematics and its Applications

In pioneering work in the 1950s, S. Karlin and J. McGregor showed that probabilistic aspects of certain Markov processes can be studied by analyzing orthogonal eigenfunctions of associated operators. In the decades since, many authors have extended and deepened this surprising connection between orthogonal polynomials and stochastic processes. This book gives a comprehensive analysis of the spectral representation of the most important one-dimensional Markov processes, namely discrete-time birth-death chains, birth-death processes and diffusion processes. It brings together the main results from the extensive literature on the topic with detailed examples and applications. Also featuring an introduction to the basic theory of orthogonal polynomials and a selection of exercises at the end of each chapter, it is suitable for graduate students with a solid background in stochastic processes as well as researchers in orthogonal polynomials and special functions who want to learn about applications of their work to probability.

Autoren/Hrsg.

de la Iglesia, Manuel Domínguez

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik
• Mathematik | Informatik Mathematik Mathematische Analysis

Inhaltsverzeichnis

1. Orthogonal polynomials; 2. Spectral representation of discrete-time birth-death chains; 3. Spectral representation of birth-death processes; 4. Spectral representation of diffusion processes; References; Index.

Über Autor(innen)

de la Iglesia, Manuel Domínguez
Manuel Domínguez de la Iglesia is a Full Professor at the Instituto de Matemáticas of the Universidad Nacional Autónoma de México.