Introduction to the theory of diffusion processes
Author(s)
Bibliographic Information
Introduction to the theory of diffusion processes
(Translations of mathematical monographs, v. 142)
American Mathematical Society, c1995
- Other Title
-
Введение в теорию диффузионных процессов
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Note
"Translated by Valim Khidekel and Gennady Pasechnik from an original Russian manuscript"--Half t.p. verso
Includes bibliographical references (p. 267-268) and index
Description and Table of Contents
Description
Focusing on one of the major branches of probability theory, this book treats the large class of processes with continuous sample paths that possess the Markov property. The exposition is based on the theory of stochastic analysis, which uses such notions as stochastic differentials and stochastic integrals.
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