多次元拡散過程<br>Multidimensional Diffusion Processes (Classics in Mathematics (CIM)) （2006. XII, 338 p.）

  • ポイントキャンペーン

多次元拡散過程
Multidimensional Diffusion Processes (Classics in Mathematics (CIM)) （2006. XII, 338 p.）

  • ただいまウェブストアではご注文を受け付けておりません。 ⇒古書を探す
  • 製本 Hardcover:ハードカバー版／ページ数 338 p.
  • 言語 ENG
  • 商品コード 9783540289982

基本説明

An excellent presentation of the application of martingale theory to the theory of Markov processed, especially multidimensional diffusions. "Mathematische Operationsforschung und Statistik, 1981. Originally published as Vol. 233 in the series "Grundlehren der mathematishen Wissenschaften" Reprint of the 1st ed., 1979.

Full Description

From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] 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

Contents

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.- Ito's Uniqueness and Uniqueness to the Martingale Problem.- Some Estimates on the Transition Probability Functions.- Explosion.- Limit Theorems.- The Non-Unique Case