
Multidimensional Diffusion Processes
Springer (Publisher)
Published on 4. November 2005
Book
Hardback
XII, 338 pages
978-3-540-28998-2 (ISBN)
Description
"This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. This approach was initiated by Stroock and Varadhan in their famous papers. (...) The proofs and techniques are presented in such a way that an adaptation in other contexts can be easily done. (...) The reader must be familiar with standard probability theory and measure theory which are summarized at the beginning of the book. 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, 1981
More details
Series
Edition
2006
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Research
Product notice
Laminated cover
Illustrations
biography
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Thickness: 20 mm
Weight
1490 gr
ISBN-13
978-3-540-28998-2 (9783540289982)
DOI
10.1007/3-540-28999-2
Schweitzer Classification
Other editions
Additional editions

Daniel W. Stroock | S.R.S. Varadhan
Multidimensional Diffusion Processes
E-Book
02/2007
1st Edition
Springer
€58.84
Available for download
Content
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