Multidimensional Diffusion Processes

From the reviews: "... Both the Markov-process approach and the Itô approach ... have been immensely successful in diffusion theory. The Stroock-Varadhan book, developed from the historic 1969 papers by its authors, presents the martingale-problem approach as a more powerful - and, in certain...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Stroock, Daniel W. (Autor), Varadhan, S.R.S (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
Edición:1st ed. 2006.
Colección:Classics in Mathematics,
Temas:
Probabilities.
Mathematical physics.
Probability Theory.
Theoretical, Mathematical and Computational Physics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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