Lectures on stochastic analysis : diffusion theory
Author(s)
Bibliographic Information
Lectures on stochastic analysis : diffusion theory
（London Mathematical Society student texts, 6）
Cambridge University Press, 1987
- : pbk
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
519.1-194s081000083763*
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Note
Includes index
Description and Table of Contents
Description
This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
Table of Contents
- 1. Stochastic processes and measures on function space
- 2. Diffusions and martingales
- 3. The martingale problem formulation of diffusion theory.
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