Lectures on Stochastic Analysis: Diffusion Theory
1st Edition
Published on 4. April 2011
978-0-511-87237-2 (ISBN)
Description
This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
Illustrations
Worked examples or Exercises
File size
10,64 MB
ISBN-13
978-0-511-87237-2 (9780511872372)
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Schweitzer Classification
Other editions
Additional editions
Daniel W. Stroock
Lectures on Stochastic Analysis: Diffusion Theory
Book
02/1987
Cambridge University Press
€43.40
Shipment within 15-20 days
Daniel W. Stroock
Lectures on Stochastic Analysis: Diffusion Theory
Book
02/1987
Cambridge University Press
€37.08
Article exhausted; check for reprint
Content
1. Stochastic processes and measures on function space; 2. Diffusions and martingales; 3. The martingale problem formulation of diffusion theory.
