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Core papers emanating from the research network, DFG-Schwerpunkt: Interacting stochastic systems of high complexity.
Interactive particle systems is a branch of probability theory with close connections to mathematical physics and mathematical biology. This book takes three of the most important models in the area, and traces advances in our understanding of them since 1985. It explains and develops many of the most useful techniques in the field.
At what point in the development of a new field should a book be written about it? This question is seldom easy to answer. In the case of interacting particle systems, important progress continues to be made at a substantial pace. A number of problems which are nearly as old as the subject itself remain open, and new problem areas continue to arise and develop. Thus one might argue that the time is not yet ripe for a book on this subject. On the other hand, this field is now about fifteen years old. Many important of several basic models is problems have been solved and the analysis almost complete. The papers written on this subject number in the hundreds. It has become increasingly difficult for newcomers to master the proliferating literature, and for workers in allied areas to make effective use of it. Thus I have concluded that this is an appropriate time to pause and take stock of the progress made to date. It is my hope that this book will not only provide a useful account of much of this progress, but that it will also help stimulate the future vigorous development of this field.
The Research Network on "Interacting stochastic systems of high complexity" set up by the German Research Foundation aimed at exploring and developing connections between research in infinite-dimensional stochastic analysis, statistical physics, spatial population models from mathematical biology, complex models of financial markets or of stochastic models interacting with other sciences. This book presents a structured collection of papers on the core topics, written at the close of the 6-year programme by the research groups who took part in it. The structure chosen highlights the interweaving of certain themes and certain interconnections discovered through the joint work. This yields a reference work on results and methods that will be useful to all who work between applied probability and the physical, economic, and life sciences.
Complex stochastic systems comprises a vast area of research, from modelling specific applications to model fitting, estimation procedures, and computing issues. The exponential growth in computing power over the last two decades has revolutionized statistical analysis and led to rapid developments and great progress in this emerging field. In Complex Stochastic Systems, leading researchers address various statistical aspects of the field, illustrated by some very concrete applications. A Primer on Markov Chain Monte Carlo by Peter J. Green provides a wide-ranging mixture of the mathematical and statistical ideas, enriched with concrete examples and more than 100 references. Causal Inference from Graphical Models by Steffen L. Lauritzen explores causal concepts in connection with modelling complex stochastic systems, with focus on the effect of interventions in a given system. State Space and Hidden Markov Models by Hans R. Künschshows the variety of applications of this concept to time series in engineering, biology, finance, and geophysics. Monte Carlo Methods on Genetic Structures by Elizabeth A. Thompson investigates special complex systems and gives a concise introduction to the relevant biological methodology. Renormalization of Interacting Diffusions by Frank den Hollander presents recent results on the large space-time behavior of infinite systems of interacting diffusions. Stein's Method for Epidemic Processes by Gesine Reinert investigates the mean field behavior of a general stochastic epidemic with explicit bounds. Individually, these articles provide authoritative, tutorial-style exposition and recent results from various subjects related to complex stochastic systems. Collectively, they link these separate areas of study to form the first comprehensive overview of this rapidly developing field.
This volume provides an overview of two of the most important examples of interacting particle systems, the contact process, and the voter model, as well as their many variants introduced in the past 50 years. These stochastic processes are organized by domains of application (epidemiology, population dynamics, ecology, genetics, sociology, econophysics, game theory) along with a flavor of the mathematical techniques developed for their analysis.
This book has been long awaited in the "interacting particle systems" community. Begun by Claude Kipnis before his untimely death, it was completed by Claudio Landim, his most brilliant student and collaborator. It presents the techniques used in the proof of the hydrodynamic behavior of interacting particle systems.