N G van Kampen 1981 Amsterdam: North-Holland xiv + 419 pp price Dfl 180 This is a book which, at a lower price, could be expected to become an essential part of the library of every physical scientist concerned with problems involving fluctuations and stochastic processes, as well as those who just enjoy a beautifully written book. It provides an extensive graduate-level introduction which is clear, cautious, interesting and readable.

https://iopscience.iop.org/article/10.1088/0031-9112/34/4/040/pdf

Stochastic Processes in Physics and Chemistry

Preface to the revised edition Remarks on notation 1. Basic examples 2. Characterization and existence 3. Stable processes and their extensions 4. The Levy-Ito decomposition of sample functions 5. Distributional properties of Levy processes 6. Subordination and density transformation 7. Recurrence and transience 8. Potential theory for Levy processes 9. Wiener-Hopf factorizations 10. More distributional properties Supplement Solutions to exercises References and author index Subject index.

Lévy processes and infinitely divisible distributions

We provide an overview of such properties of the Brownian motion on complete non-compact Riemannian manifolds as recurrence and non-explosion. It is shown that both properties have various analytic characterizations, in terms of the heat kernel, Green function, Liouville properties etc. On the other hand, we consider a number of geometric conditions such as the volume growth, isoperimetric inequalities, curvature bounds etc. which are related to recurrence and non-explosion.

/pdf/analytic-and-geometric-background-of-recurrence-and-non-52dn9fdnqn.pdf

Analytic and geometric background of recurrence and non-explosion of the Brownian motion on Riemannian manifolds

Applied Probability and Queues.

(2003). Comparison Methods for Stochastic Models and Risks. Technometrics: Vol. 45, No. 4, pp. 370-371.

Comparison Methods for Stochastic Models and Risks

Probability and Statistics are as much about intuition and problem solving as they are about theorem proving. Because of this, students can find it very difficult to make a successful transition from lectures to examinations to practice, since the problems involved can vary so much in nature. Since the subject is critical in many modern applications such as mathematical finance, quantitative management, telecommunications, signal processing, bioinformatics, as well as traditional ones such as insurance, social science andengineering, the authors have rectified deficiencies in traditional lecture-based methods by collecting together a wealth of exercises with complete solutions, adapted to needs and skills of students. Following on from the success of Probability and Statistics by Example: Basic Probability and Statistics, the authors here concentrate on random processes, particularly Markov processes, emphasising modelsrather than general constructions. Basic mathematical facts are supplied as and when they are needed andhistorical information is sprinkled throughout.

Probability and Statistics by Example

This fundamental monograph introduces both the probabilistic and algebraic aspects of information theory and coding. It has evolved from the authors' years of experience teaching at the undergraduate level, including several Cambridge Maths Tripos courses. The book provides relevant background material, a wide range of worked examples and clear solutions to problems from real exam papers. It is a valuable teaching aid for undergraduate and graduate students, or for researchers and engineers who want to grasp the basic principles.

/pdf/information-theory-and-coding-by-example-278djekhcf.pdf

Information Theory and Coding by Example

Pulses and Other Wave Processes in Fluids

A one-dimensional lattice of SIR (susceptible/infected/removed) epidemic centres is considered numerically and analytically. The limiting solutions describing the behaviour of the standard SIR model with a small number of initially infected individuals are derived, and expres- sions found for the duration of an outbreak. We study a model for a weakly mixed population distributed between the interacting centres. The centres are modelled as SIR nodes with interac- tion between sites determined by a diffusion-type migration process. Under the assumption of fast migration, a one-dimensional lattice of SIR nodes is studied numerically with deterministic and random coupling, and travelling wave-like solutions are found in both cases. For weak coupling, the main part of the travelling wave is well approximated by the limiting SIR solution. Explicit formulae are found for the speed of the travelling waves and compared with results of numeri- cal simulation. Approximate formulae for the epidemic propagation speed are also derived when coupling coefficients are randomly distributed, they allow us to estimate how the average speed in random media is slowed down.

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The Speed of Epidemic Waves in a One-Dimensional Lattice of SIR Models

The concept of weighted entropy takes into account values of different outcomes, i.e., makes entropy context-dependent, through the weight function. In this paper, we establish a number of simple inequalities for the weighted entropies (general as well as specific), mirroring similar bounds on standard (Shannon) entropies and related quantities. The required assumptions are written in terms of various expectations of weight functions. Examples are weighted Ky Fan and weighted Hadamard inequalities involving determinants of positive-definite matrices, and weighted Cramer-Rao inequalities involving the weighted Fisher information matrix.

Mark Kelbert

Papers

Probability and Statistics by Example

Information Theory and Coding by Example

Pulses and Other Wave Processes in Fluids

The Speed of Epidemic Waves in a One-Dimensional Lattice of SIR Models

Basic inequalities for weighted entropies