Multidimensional diffusion processes
Author(s)
Bibliographic Information
Multidimensional diffusion processes
（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
by "Nielsen BookData"
