Multidimensional Diffusion Processes
Published on 19. June 1997
Book
Hardback
XII, 338 pages
978-3-540-90353-6 (ISBN)
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
More details
Series
Edition
1st Corrected ed. 2006. Corr. 2nd printing 0
Language
English
Place of publication
Heidelberg
Germany
Publishing group
Springer Berlin
Target group
College/higher education
Professional and scholarly
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Weight
640 gr
ISBN-13
978-3-540-90353-6 (9783540903536)
DOI
10.1007/3-540-28999-2
Schweitzer Classification
Other editions
Additional editions
Daniel W. Stroock | S.R.S. Varadhan
Multidimensional Diffusion Processes
Book
08/2014
Springer
€58.84
Shipment within 7-9 days
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