Stochastic processes : selected papers of Hiroshi Tanaka
Author(s)
Bibliographic Information
Stochastic processes : selected papers of Hiroshi Tanaka
World Scientific, c2002
Available at 38 libraries
Note
Includes bibliographical references
Description and Table of Contents
Description
Hiroshi Tanaka is noted for his discovery of the “Tanaka formula”, which is a generalization of the Itô formula in stochastic analysis. This important book is a selection of his brilliant works on stochastic processes and related topics. It contains Tanaka's papers on (i) Brownian motion and stochastic differential equations (additive functionals of Brownian paths and stochastic differential equations with reflecting boundaries), (ii) the probabilistic treatment of nonlinear equations (Boltzmann equation, propagation of chaos and McKean-Vlasov limit), and (iii) stochastic processes in random environments (especially limit theorems on the stochastic processes in one-dimensional random environments and their refinements). The book also includes essays by Henry McKean, Marc Yor, Shinzo Watanabe and Hiroshi Tanaka on Tanaka's works.
Table of Contents
- Existence of Diffusions with Continuous Coefficients
- On the Uniqueness of Markov Process Associated with the Boltzmann Equation of Maxwellian Molecules
- Stochastic Differential Equations with Reflecting Boundary Condition in Convex Regions
- Limit Distributions for One-Dimensional Diffusion Processes in Self-Similar Random Environments
- Recurrence of a Diffusion Process in a Multidimensional Brownian Environment
- Diffusion Processes in Random Environments
- and other papers.
by "Nielsen BookData"