Stochastic processes : selected papers of Hiroshi Tanaka
著者
書誌事項
Stochastic processes : selected papers of Hiroshi Tanaka
World Scientific, c2002
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注記
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
- 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.
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