Bibliographic Information

Multidimensional diffusion processes

Daniel W. Stroock, S.R. Srinivasa Varadhan

(Classics in mathematics)

Springer, c2006

Repr. of the 1997 ed

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Note

Originally published: Berlin : Springer, 1997. (Grundlehren der mathematischen Wissenschaften ; v. 233)

Includes bibliographical references (p. [328]-335) and index

Description and Table of Contents

Description

From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik

Table of Contents

Preliminary Material: Extension Theorems, Martingales, and Compactness.- Markov Processes, Regularity of Their Sample Paths, and the Wiener Measure.- Parabolic Partial Differential Equations.- The Stochastic Calculus of Diffusion Theory.- Stochastic Differential Equations.- The Martingale Formulation.- Uniqueness.- Ito's Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-Unique Case

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Details
  • NCID
    BA7544834X
  • ISBN
    • 9783540289982
  • LCCN
    2005934787
  • Country Code
    gw
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Berlin ; Heidelberg ; New York
  • Pages/Volumes
    xii, 338 p.
  • Size
    24 cm
  • Classification
  • Subject Headings
  • Parent Bibliography ID
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