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Lectures on Stochastic Analysis : Diffusion Theory - Daniel W. Stroock

Lectures on Stochastic Analysis

Diffusion Theory


Published: 20th April 1987
RRP $43.95
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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.

Stochastic processes and measures on function space
Diffusions and martingales
The martingale problem formulation of diffusion theory
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521336451
ISBN-10: 0521336457
Series: London Mathematical Society Student Texts
Audience: Tertiary; University or College
Format: Paperback
Language: English
Number Of Pages: 140
Published: 20th April 1987
Publisher: Cambridge University Press
Country of Publication: GB
Dimensions (cm): 23.5 x 15.6  x 0.8
Weight (kg): 0.21