Multidimensional Diffusion Processes
Springer Berlin (Verlag)
978-3-662-22201-0 (ISBN)
Review: "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
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.
Erscheint lt. Verlag | 23.8.2014 |
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Reihe/Serie | Classics in Mathematics |
Zusatzinfo | XII, 338 p. |
Verlagsort | Berlin |
Sprache | englisch |
Maße | 155 x 235 mm |
Gewicht | 539 g |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
Naturwissenschaften ► Physik / Astronomie | |
Schlagworte | differential equation • Diffision processes • Diffusion • diffusion process • Excel • Markov process • Markov Processes • Martingal • Martingale • measure • measure theory • MSC (2000): 60J60, 28A65 • partial differential equation • Probability • Probability Theory • Statistics • Stochastic Calculus • stochastic differential equation • YellowSale2006 |
ISBN-10 | 3-662-22201-9 / 3662222019 |
ISBN-13 | 978-3-662-22201-0 / 9783662222010 |
Zustand | Neuware |
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