Multidimensional Diffusion Processes
1st Edition
Published on 3. February 2007
XII, 338 pages
978-3-540-28999-9 (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
Other editions
Additional editions
Daniel W. Stroock | S.R.S. Varadhan
Multidimensional Diffusion Processes
Book
11/2005
Springer
€53.49
Article exhausted; check different version
Daniel W. Stroock | S.R.S. Varadhan
Multidimensional Diffusion Processes
Book
06/1997
Springer
€85.59
Article exhausted; check different version
Persons
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.
