Multidimensional Diffusion Processes
Published on 23. August 2014
Book
Paperback/Softback
XII, 338 pages
978-3-662-22201-0 (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
Illustrations
XII, 338 p.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 20 mm
Weight
540 gr
ISBN-13
978-3-662-22201-0 (9783662222010)
DOI
10.1007/3-540-28999-2
Schweitzer Classification
Other editions
Additional editions
Daniel W. Stroock | S.R.S. Varadhan
Multidimensional Diffusion Processes
Book
06/1997
Springer
€85.59
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Persons
Daniel W. Stroock is Emeritus professor of mathematics at MIT. He is a respected mathematician in the areas of analysis, probability theory and stochastic processes. Prof. Stroock has had an active career in both the research and education. From 2002 until 2006, he was the first holder of the second Simons Professorship of Mathematics. In addition, he has held several administrative posts, some within the university and others outside. In 1996, the AMS awarded him together with his former colleague jointly S.R.S. Varadhan the Leroy P. Steele Prize for seminal contributions to research in stochastic processes. Finally, he is a member of both the American Academy of Arts and Sciences, the National Academy of Sciences and a foreign member of the Polish Academy of Arts and Sciences.
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.- Itô's Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-unique Case.